COUNTRY PORTFOLIOS IN OPEN ECONOMY MACRO-MODELS

• 成果类型: Article
• 署名作者: Devereux, Michael B.; Sutherland, Alan
• 署名单位: University of British Columbia; University of St Andrews
• 刊物名称: JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION
• ISSN/ISSBN: 1542-4766
• DOI: 10.1111/j.1542-4774.2010.01010.x
• 发表日期: 2011
• 页码: 337-369
• 关键词: international diversification puzzle; external wealth; foreign-assets; liabilities; NATIONS

摘要

This paper develops a simple approximation method for computing equilibrium portfolios in dynamic general equilibrium open economy macro-models. The method is widely applicable, simple to implement, and gives analytical solutions for equilibrium portfolio positions in any combination or types of asset. It can be used in models with any number of assets, whether markets are complete or incomplete, and can be applied to stochastic dynamic general equilibrium models of any dimension, so long as the model is amenable to a solution using standard approximation methods. We first illustrate the approach using a simple two-asset endowment economy model, and then show how the results extend to the case of any number of assets and general economic structure.