Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/168182
Authors: 
Dlugoszek, Grzegorz
Year of Publication: 
2017
Series/Report no.: 
Beiträge zur Jahrestagung des Vereins für Socialpolitik 2017: Alternative Geld- und Finanzarchitekturen - Session: Postersession P00-V8
Abstract: 
This paper combines the bifurcation theory and the nonlinear moving average approximation to solve asymmetric DSGE models with portfolio choice. Contrary to existing local solution techniques, the proposed method captures the direct effect of risk on agents’ portfolios. The risk-adjusted net and gross asset positions are shown to lie close to the ergodic mean of the global solution. Hence, the method is able to account for asymmetries in the model, which improves accuracy of the approximation.
JEL: 
E44
F41
G11
Document Type: 
Conference Paper

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