Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/146178
Authors: 
Dlugoszek, Grzegorz R.
Year of Publication: 
2016
Series/Report no.: 
SFB 649 Discussion Paper 2016-009
Abstract: 
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.
Subjects: 
Country Portfolios
Solution Method
Asymmetric Countries
JEL: 
E44
F41
G11
Document Type: 
Working Paper

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