Discussion paper

DP6208 Country Portfolio Dynamics

This paper presents a general approximation method for characterizing time-varying 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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Citation

Sutherland, A and M Devereux (2007), ‘DP6208 Country Portfolio Dynamics‘, CEPR Discussion Paper No. 6208. CEPR Press, Paris & London. https://cepr.org/publications/dp6208