Country portfolios in open economy macro-models

Journal of the European Economic Association

Volumn 9, Issue 2, 2011, Pages 337-369

  Devereux, Michael B ^a   Sutherland, Alan ^b  

^a UNIVERSITY OF BRITISH COLUMBIA   (Canada)

^b UNIVERSITY OF ST ANDREWS   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 79952645274     PISSN: 15424766     EISSN: 15424774     Source Type: Journal    
DOI: 10.1111/j.1542-4774.2010.01010.x     Document Type: Article

References (28)

1. Baxter, Marianne and Urban Jermann (1997). "The International Diversification Puzzle is Worse than you Think. American Economic Review, 87, 170-180.
2. Benigno, Gianluca and Pierpaolo Benigno (2003). "Price Stability in Open Economies. Review of Economics Studies, 70, 743-764.
3. Campbell, John and Luis Viceira (2002). Strategic Asset Allocation, Oxford University Press.
4. Corsetti, Giancarlo and Paolo Pesenti (2005). "International Dimensions of Optimal Monetary Policy. Journal of Monetary Economics, 52, 281-305.
5. Coeurdacier, Nicolas (2009). "Do Trade Costs in Goods Market Lead to Home Bias in Equities? Journal of International Economics, 77, 86-100.
6. Coeurdacier, Nicolas, Robert Kollmann, and Philippe Martin (2008). "International Portfolios, Capital Accumulation and Foreign Assets Dynamics." Working Paper, London Business School
7. Devereux, Michael B. and Charles Engel (2003). "Monetary Policy in an Open Economy Revisited: Price Setting and Exchange Rate Flexibility. Review of Economic Studies, 70, 765-783.
8. Devereux, Michael B. and Makoto Saito (2005). "A Portfolio Theory of International Capital Flows." Working Paper, UBC
9. Devereux, Michael B. and Alan Sutherland (2009). "A Portfolio Model of Capital Flows to Emerging Markets. Journal of Development Economics, 89, 181-193.
10. Devereux, Michael B. and Alan Sutherland (2010). "Country Portfolio Dynamics. Journal of Economic Dynamics and Control, 34, 1325-1342.
11. Engel, Charles and Akito Matsumoto (2009). "The International Diversification Puzzle when Goods Prices are Sticky: It's Really about Exchange-Rate Hedging, not Equity Portfolios. American Economic Journal: Macroeconomics, 1(2), 155-188.
12. Evans, Martin and Viktoria Hnatkovska (2005). "International Capital Flows, Returns and World Financial Integration." NBER Working Paper No. 11701.
13. Ghironi, Fabio, Jaewoo Lee and Alessandro Rebucci (2005). "The Valuation Channel of External Adjustment." Working Paper, Boston College
14. Gourinchas, Pierre-Olivier and Hélène Rey (2007). "International Financial Adjustment. Journal of Political Economy, 115, 665-703.
15. Heathcote, Jonathan and Fabrizio Perri (2004). "The International Diversification Puzzle is Not as Bad as You Think." Working Paper, Georgetown University and New York University
16. Judd, Kenneth (1998). Numerical Methods in Economics, MIT Press.
17. Judd, Kenneth and Sy-ming Guu (2001). "Asymptotic Methods for Asset Market Equilibrium Analysis. Economic Theory, 18, 127-157.
18. Judd, Kenneth, Felix Kubler, and Karl Schmedders (2002). "A Solution Method for Incomplete Asset Markets with Heterogeneous Agents." Working Paper, Stanford University
19. Kollmann, Robert (2006). "International Portfolio Equilibrium and the Current Account." CEPR Discussion Paper No. 5512.
20. Lane, Philip and Gian Maria Milesi-Ferretti (2001). "The External Wealth of Nations: Measures of Foreign Assets and Liabilities for Industrial and Developing Countries. Journal of International Economics, 55, 263-294.
21. Lane, Philip and Gian Maria Milesi-Ferretti (2007). "The External Wealth of Nations Mark II. Journal of International Economics, 73, 223-250.
22. Obstfeld, Maurice and Kenneth Rogoff (1995). "Exchange Dynamics Redux. Journal of Political Economy, 103, 624-660.
23. Obstfeld, Maurice and Kenneth Rogoff (2000). "The Six Major Puzzles in International Macroeconomics: Is there a Common Cause. NBER Macroeconomics Annual, 15, 339-390.
24. Samuelson, Paul (1970). "The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments. Review of Economic Studies, 37, 537-542.
25. Schmitt-Grohe, Stephanie and Martin Uribe (2003). "Closing Small Open Economy Models. Journal of International Economics, 59, 137-159.
26. Tille, Cedric (2003). "The Impact of Exchange Rate Movements on U.S. Foreign Debt. Current Issues in Economics and Finance, 9, 1-7.
27. Tille, Cedric (2008). "Financial Integration and the Wealth Effect of Exchange Rate Fluctuations. Journal of International Economics, 75, 283-294.
28. Tille, Cedric and Eric van Wincoop (2010). "International Capital Flows. Journal of International Economics, 80, 157-175.