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.
- Language
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Englisch
- Bibliographic citation
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Series: SFB 649 Discussion Paper ; No. 2016-009
- Classification
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Wirtschaft
Financial Markets and the Macroeconomy
Open Economy Macroeconomics
Portfolio Choice; Investment Decisions
- Subject
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Country Portfolios
Solution Method
Asymmetric Countries
- Event
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Geistige Schöpfung
- (who)
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Dlugoszek, Grzegorz R.
- Event
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Veröffentlichung
- (who)
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Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
- (where)
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Berlin
- (when)
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2016
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Dlugoszek, Grzegorz R.
- Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
Time of origin
- 2016
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