Portfolio choice in a monetary open-economy DSGE model /

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Bibliographic Details
Author / Creator:	Engel, Charles, author.
Imprint:	Washington, D.C. : International Monetary Fund, Research Dept., ©2005.
Description:	1 online resource (42 pages) : illustrations
Language:	English
Series:	IMF working paper ; WP/05/165 IMF working paper ; WP/05/165.
Subject:	Portfolio management -- Econometric models. Investment analysis -- Econometric models. Equilibrium (Economics) -- Mathematical models. Investments, Foreign -- Econometric models. Equilibrium (Economics) -- Mathematical models. Investment analysis -- Econometric models. Investments, Foreign -- Econometric models. Portfolio management -- Econometric models.
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/12498447

Hidden Bibliographic Details
Other authors / contributors:	Matsumoto, Akito, author. International Monetary Fund. Research Department, issuing body.
ISBN:	1282474200 9781282474208 9781451907209 1451907206 1462343775 9781462343775 1452762279 9781452762272 9786613821737 661382173X
Notes:	Includes bibliographical references (pages 39-42). English. Print version record.
Summary:	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.
Other form:	Print version: Engel, Charles. Portfolio choice in a monetary open-economy DSGE model. Washington, D.C. : International Monetary Fund, Research Dept., ©2005

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