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Country Portfolio Dynamics Author info | Abstract | Publisher info | Download info | Related research | Statistics Michael B Devereux
Alan Sutherland
This paper presents a general approximation method for characterizing timevarying equilibrium portfolios in a two-country dynamic general equilibrium model. The method can be easily adapted to most dynamic general equilibrium models, it applies to environments in which markets are complete or incomplete, and it can be used for models of any dimension. Moreover, the approximation provides simple, easily interpretable closed form solutions for the dynamics of equilibrium portfolios.
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Paper provided by Centre for Dynamic Macroeconomic Analysis in its series CDMA Conference Paper Series with number
0706.
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Date of creation: Nov 2007Date of revision:
Handle: RePEc:san:cdmacp:0706Contact details of provider: Postal: Department of Economics, University of St. Andrews, Fife KY16 9AL Phone: 01334 462420 Fax: 01334 462444 Email: Web page: http://www.st-andrews.ac.uk/cdma More information through EDIRC
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Keywords: Country portfolios ; solution methods. ; Find related papers by JEL classification: E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies F41 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Open Economy Macroeconomics
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"THE EXTERNAL WEALTH OF NATIONS: Measures of Foreign Assets and Liabilities For Industrial and Developing Countries ,"
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"The External Wealth of Nations - Measures of Foreign Assets and Liabilities for Industrial and Developing Countries ,"
IMF Working Papers
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"THE EXTERNAL WEALTH OF NATIONS: Measures of Foreign Assets and Liabilities For Industrial and Developing Countries ,"
Trinity Economics Papers
20014, Trinity College Dublin, Department of Economics.
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"The external wealth of nations: measures of foreign assets and liabilities for industrial and developing countries ,"
Journal of International Economics ,
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"The impact of exchange rate movements on U.S. foreign debt ,"
Current Issues in Economics and Finance ,
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Schmitt-Grohe, Stephanie & Uribe, Martin, 2004.
"Solving dynamic general equilibrium models using a second-order approximation to the policy function ,"
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Elsevier, vol. 28(4), pages 755-775, January.
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Schmitt-Grohé, Stephanie & Uribe, Martín, 2001.
"Solving Dynamic General Equilibrium Models Using a Second-Order Approximation to the Policy Function ,"
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2963, C.E.P.R. Discussion Papers.
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"Solving Dynamic General Equilibrium Models Using a Second-Order Approximation to the Policy Function ,"
Departmental Working Papers
200106, Rutgers University, Department of Economics.
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Other versions: Samuelson, Paul A, 1970.
"The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances, and Higher Moments ,"
Review of Economic Studies ,
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references Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
Martin Schmitz, 2007.
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Didier, Tatiana & Lowenkron, Alexandre, 2009.
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Devereux, Michael B. & Sutherland, Alan, 2008.
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[Downloadable!] (restricted) Michael B. Devereux & Alan Sutherland, 2009.
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Other versions: Charles Engel & Akito Matsumoto, 2009.
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Other versions: Michael B. Devereux & Alan Sutherland, 2008.
"Country portfolios in open economy macro models ,"
Globalization and Monetary Policy Institute Working Paper
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