Hidden Bibliographic Details
| Other authors / contributors: | Matsumoto, Akito, author.
International Monetary Fund. Research Department, issuing body.
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| ISBN: | 1282474200
9781282474208
9781451907209
1451907206
1462343775
9781462343775
1452762279
9781452762272
9786613821737
661382173X
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| Notes: | Includes bibliographical references (pages 39-42).
English.
Print version record.
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| 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.
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| 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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