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Thursday, July 30, 2020 | History

2 edition of Portfolio choice in a monetary open-economy DSGE model found in the catalog.

Portfolio choice in a monetary open-economy DSGE model

Charles Engel

Portfolio choice in a monetary open-economy DSGE model

by Charles Engel

  • 118 Want to read
  • 19 Currently reading

Published by International Monetary Fund, Research Dept. in Washington, D.C .
Written in English

    Subjects:
  • Portfolio management -- Econometric models.,
  • Investment analysis -- Econometric models.,
  • Equilibrium (Economics) -- Mathematical models.,
  • Investments, Foreign -- Econometric models.

  • About the Edition

    This paper develops a two-country monetary DSGE (dynamic stochastic general equilibrium) model in which households choose a portfolio of home and foreign equities, and a forward position in foreign exchange. Some goods prices are set without full information of the state. Home and foreign portfolios are not identical in equilibrium. In response to technology shocks, sticky prices generate a negative correlation between labor income and the profits of domestic firms, biasing portfolios in favor of home equities. In contrast, under flexible prices, labor income and the profits of the domestic firms are positively correlated.

    Edition Notes

    Statementprepared by Charles Engel and Akito Matsumoto.
    SeriesIMF working paper -- WP/05/165
    ContributionsMatsumoto, Akito., International Monetary Fund. Research Dept.
    The Physical Object
    Pagination42 p. :
    Number of Pages42
    ID Numbers
    Open LibraryOL20240258M

    2. Model and parameters Model overview This section gives an overview of the model economy. In appendix A the theoretical model is described in greater detail.3 The model is an . has been given its own name, New Open Economy Macroeconomics (NOEM).1 The New Keynesian Phillips curve is a key equation in these models, representing the supply side of the Cited by: 1.

    equilibrium model” to refer to quantitative models of growth or business cycle fluc-tuations. A classic example of a quantitative DSGE model is the real business cycle model associated File Size: KB.   Portfolio Choice in a Monetary Open-Economy DSGE Model. National Bureau of Economic Research, No. w Google Scholar. Faia, E., and T. Monacelli. “Optimal Author: Tae-Seok Jang.

    Effects of monetary policy I Impulse response functions in the DSGE and the BVAR (Minnesota prior, recursiveness assumption) BVAR with Minnesota prior not a very useful tool to get . In this paper we develop a dynamic stochastic general equilibrium (DSGE) model for an open economy where the uncovered interest rate parity is not required to hold. We extend the open .


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Portfolio choice in a monetary open-economy DSGE model by Charles Engel Download PDF EPUB FB2

Portfolio Choice in a Monetary Open-Economy DSGE Model Prepared by Charles Engel and Akito Matsumoto1 Authorized for distribution by Eswar Prasad August Abstract This Cited by: 1. Portfolio Choice in a Monetary Open-Economy DSGE Model Charles Engel, Akito Matsumoto.

NBER Working Paper No. Issued in May NBER Program(s):International Finance. Downloadable. This paper develops a two-country monetary DSGE model in which households choose a portfolio of home and foreign equities, and a forward position in foreign exchange. This paper develops a two-country monetary DSGE (dynamic stochastic general equilibrium) model in which households choose a portfolio of home and foreign equities, and a Cited by: 1.

Downloadable. This paper develops a two-country monetary DSGE (dynamic stochastic general equilibrium) model in which households choose a portfolio of home and foreign equities, and a. Request PDF | Portfolio Choice in a Monetary Open-Economy DSGE Model | This paper develops a two-country monetary DSGE (dynamic stochastic general equilibrium) model in which.

Get this from a library. Portfolio choice in a monetary open-economy DSGE model. [Charles Engel; Akito Matsumoto; National Bureau of Economic Research.] -- "This paper develops a.

Monetary Policy and Portfolio Choice Choice in an Open Economy Macro Model Article in Journal of the European Economic Association 5() April with 38 Reads How we. Get this from a library. Portfolio choice in a monetary open-economy DSGE model.

[Charles Engel; Akito Matsumoto; International Monetary Fund. Research Department,] -- This paper. DSGE model economies. I focus on analysis of optimal monetary policy and welfare in a model of a small open economy with multiple domestic sectors, which have di⁄er-ent structural File Size: 2MB.

Policy Analysis Using DSGE Models: An Introduction uction n recent years, there has been a significant evolution in the formulation and communication of monetary policy at a. BEHAVIOR OF THE CZECH ECONOMY: NEW OPEN ECONOMY MACROECONOMICS DSGE MODEL Abstract: The paper introduces a New Keynesian Dynamic Stochastic Gen-eral.

Portfolios and Business Cycles in an Open Economy Monetary policy is endogenous in the model and it affects equilibrium portfolios. We confront the predictions to data present a.

QUEST III: An Estimated Open-Economy DSGE Model of the Euro Area with Fiscal and Monetary Policy Marco Rattoa, Werner Roegerb, Jan in ’t Veldb a Joint Research Centre, European Commission File Size: 2MB.

2 A Compact pen Economy DSGE Model for Switzerland Contents Contents 2 Abstract 3 1. Introduction 4 2. Model specification 6 Domestic households 6 Domestic producers of. DSGE models are fast becoming the workhorses of modern macroeconomics. Many central banks have their own DSGE models to determine how certain policies or shocks affect the.

our model in stages. In Section 2, we develop a standard open economy counterpart to the baseline model.

Section 3 then introduces the financial frictions and, in addition, an open. Monetary and Fiscal Policy Analyses in Estimated DSGE Models Dissertation zur Erlangung des Grades Doktor der Wirtschaftswissenschaft (Dr.

rer. pol.) der Juristischen und. Justiniano, A., and B. Preston (): “Small Open Economy DSGE Models: Spec- ification, Estimation, and Model Fit,” Working paper, IMF and Columbia University. Kaplow, L. (): Cited by: Earlier drafts of this paper were circulated under the title “Home Bias in Equities under New Open Economy Macroeconomics” and “Portfolio Choice and Home Bias in Equities in a Monetary.

This thesis proposes a new open economy DSGE RBC model with –nancial intermediation. The objective is to provide a general equilibrium model that can simultaneously account for the .theoretical model. We will here discuss the model in its open economy form, but we explain in Section how we parameterize it to obtain a closed economy specification.

The model is Cited by: In section one we describe the model and characterise the shocks hitting the euro area economy. Section two briefly presents the empirical fit of our DSGE model. Section three analyses fiscal File Size: KB.