TY  - JOUR
AU  - Devereux,Michael B.
AU  - Sutherland,Alan
TI  - Country Portfolios in Open Economy Macro Models
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 14372
PY  - 2008
Y2  - October 2008
UR  - http://www.nber.org/papers/w14372
L1  - http://www.nber.org/papers/w14372.pdf
N1  - Author contact info:
Michael B. Devereux
Department of Economics
University of British Columbia
997-1873 East Mall
Vancouver, BC V6T 1Z1
CANADA
Tel: 604/822-2542
Fax: 604/822-5915
E-Mail: mbdevereux@gmail.com

Alan Sutherland
Department of Economics
University of St. Andrews
St. Andrews, Fife KY16 9AL
UK
E-Mail: ajs10@st-and.ac.uk
AB  - 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.
ER  -