Hi,
is there any sample of dynare codes of a model with multiple assets ( like an asset pricing model with n >1 assets ) that I can use?
Thank you in advance
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asset pricing model
by Econ » Sat Jul 25, 2015 3:25 pm
- Econ
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Re: asset pricing model
by jpfeifer » Sun Jul 26, 2015 2:13 pm
Pricing any given asset is easy. Just plug the cash flow into Euler equation and you are done. For an example, search for example for the Jermann (1998) model.
The problem is always portfolio choice as the steady state allocation is indeterminate. This is more complicated and requires tricks like the Devereux/Sutherland approach. I am not aware of straightforward implementations here.
The problem is always portfolio choice as the steady state allocation is indeterminate. This is more complicated and requires tricks like the Devereux/Sutherland approach. I am not aware of straightforward implementations here.
- jpfeifer
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