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The risky steady state

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Author Info

  • 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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Bibliographic Info

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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References

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  1. Stephanie Schmitt-Grohe & Martin Uribe, 2002. "Closing Small Open Economy Models," NBER Working Papers 9270, National Bureau of Economic Research, Inc.
  2. 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.
  3. Clarida, Richard H, 1987. "Consumption, Liquidity Constraints and Asset Accumulation in the Presence of Random Income Fluctuations," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 28(2), pages 339-51, June.
  4. Christopher D. Carroll, 2001. "A Theory of the Consumption Function, With and Without Liquidity Constraints (Expanded Version)," NBER Working Papers 8387, National Bureau of Economic Research, Inc.
  5. 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.
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Cited by:
  1. repec:hal:cesptp:halshs-00613188 is not listed on IDEAS
  2. Oliver de Groot, 2014. "The Risk Channel of Monetary Policy," International Journal of Central Banking, International Journal of Central Banking, vol. 10(2), pages 115-160, June.
  3. Coeurdacier, Nicolas & Rey, Hélène, 2012. "Home Bias in Open Economy Financial Macroeconomics," CEPR Discussion Papers 8746, C.E.P.R. Discussion Papers.
  4. Eleni Iliopulos & Thepthida Sopraseuth, 2011. "L'intermédiation financière dans l'analyse macroéconomique : le défi de la crise," Documents de travail du Centre d'Economie de la Sorbonne 11046, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  5. repec:hal:psewpa:halshs-00744047 is not listed on IDEAS
  6. de Groot, Oliver, 2013. "Computing the risky steady state of DSGE models," Economics Letters, Elsevier, vol. 120(3), pages 566-569.
  7. Kliem, Martin & Uhlig, Harald, 2013. "Bayesian estimation of a DSGE model with asset prices," Discussion Papers 37/2013, Deutsche Bundesbank, Research Centre.
  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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