Arbeitspapier
Solving DSGE portfolio choice models with asymmetric countries
This paper proposes a combination of bifurcation methods and nonlinear moving average as a tool to solve asymmetric DSGE models with portfolio choice. Its performance is compared to the workhorse routine developed by Devereux and Sutherland (2010, 2011). The proposed technique has two advantages. First, it captures the direct effect of uncertainty on portfolio holdings. Second, it reflects the presence of asymmetries by yielding risk adjusted asset positions that lie close to the ergodic mean of the global solution. In terms of Euler equation errors, the proposed method is shown to be on average at least as good as the standard approach.
- Sprache
-
Englisch
- Erschienen in
-
Series: SFB 649 Discussion Paper ; No. 2016-009
- Klassifikation
-
Wirtschaft
Financial Markets and the Macroeconomy
Open Economy Macroeconomics
Portfolio Choice; Investment Decisions
- Thema
-
Country Portfolios
Solution Method
Asymmetric Countries
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Dlugoszek, Grzegorz R.
- Ereignis
-
Veröffentlichung
- (wer)
-
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
- (wo)
-
Berlin
- (wann)
-
2016
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Dlugoszek, Grzegorz R.
- Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
Entstanden
- 2016
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