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The risky steady state

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  • Pablo Winant

    (Centre de Recherche en Économie et Statistique)

  • Hélène Rey

    (Department of Economics)

  • Nicolas Coeurdacier

    (Département d'économie)

Abstract

We propose a simple quantitative method to linearize around the risky steady state of a small open economy. Unlike when the deterministic steady state is used, the net foreign asset position is well defined. We allow for stochastic income and stochastic interest rate.

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Paper provided by Sciences Po in its series Sciences Po publications with number info:hdl:2441/c8dmi8nm4pdjkuc9g704ld0h3.

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Date of creation: 2011
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Handle: RePEc:spo:wpmain:info:hdl:2441/c8dmi8nm4pdjkuc9g704ld0h3

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  1. Richard H. Clarida, 1984. "Consumption, Liquidity Constraints and Asset Accumulation in the Presence of Random Income Fluctuations," Cowles Foundation Discussion Papers 705R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1985.
  2. Schmitt-Grohe, Stephanie & Uribe, Martin, 2003. "Closing small open economy models," Journal of International Economics, Elsevier, vol. 61(1), pages 163-185, October.
  3. Michel Juillard & Ondra Kamenik, 2005. "Solving SDGE Models: Approximation About The Stochastic Steady State," Computing in Economics and Finance 2005 106, Society for Computational Economics.
  4. Christopher D. Carroll, 2001. "A Theory of the Consumption Function, with and without Liquidity Constraints," Journal of Economic Perspectives, American Economic Association, vol. 15(3), pages 23-45, Summer.
  5. Gary Chamberlain & Charles A. Wilson, 2000. "Optimal Intertemporal Consumption Under Uncertainty," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 3(3), pages 365-395, July.
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Cited by:
  1. repec:hal:cesptp:halshs-00613188 is not listed on IDEAS
  2. DeGroot, Oliver, 2014. "The Risk Channel of Monetary Policy," Finance and Economics Discussion Series 2014-31, Board of Governors of the Federal Reserve System (U.S.).
  3. Kliem, Martin & Uhlig, Harald, 2013. "Bayesian estimation of a DSGE model with asset prices," Discussion Papers 37/2013, Deutsche Bundesbank, Research Centre.
  4. Nicolas Coeurdacier & Hélène Rey, 2013. "Home Bias in Open Economy Financial Macroeconomics," Journal of Economic Literature, American Economic Association, vol. 51(1), pages 63-115, March.
  5. Eleni Iliopulos & Thepthida Sopraseuth, 2012. "L’intermédiation financière dans l’analyse macroéconomique : Le défi de la crise," TEPP Research Report 2012-02, TEPP.
  6. de Groot, Oliver, 2013. "Computing the risky steady state of DSGE models," Economics Letters, Elsevier, vol. 120(3), pages 566-569.
  7. repec:hal:psewpa:halshs-00744047 is not listed on IDEAS
  8. Christophe Gouel, 2013. "Comparing Numerical Methods for Solving the Competitive Storage Model," Computational Economics, Society for Computational Economics, vol. 41(2), pages 267-295, February.

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