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Portfolio Modelling and Growth

Author

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  • Paul J.J. Welfens

    (Europäisches Institut für Internationale Wirtschaftsbeziehungen (EIIW))

Abstract

The standard BRANSON model is modified in a way which allows one to focus on the short term dynamics of foreign bonds markets, the money market and the stock market - or alternatively the oil market. This allows us to explain the dynamics of the exchange rate and the oil price within a portfolio choice model; also we identify critical expectation dynamics in a more conventional pricing approach to the oil market - expectations determine whether or not the oil market equilibrium is compatible with a stationary price or with sustained oil price inflation. Moreover, a straightforward innovative way to combine a portfolio approach with a growth model is developed. New results are obtained - through multiplier analysis - about the long term effects of changes in the savings rate, the process innovation rate, the product innovation variable and the money supply on the exchange rate and the stock market price; this raises many empirical issues. Finally, the analysis presented sheds new light on the global asset price dynamics in the context of the banking crisis.

Suggested Citation

  • Paul J.J. Welfens, 2009. "Portfolio Modelling and Growth," EIIW Discussion paper disbei161, Universitätsbibliothek Wuppertal, University Library.
    • Handle: RePEc:bwu:eiiwdp:disbei161
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    File URL: https://eiiw.wiwi.uni-wuppertal.de/fileadmin/eiiw/Daten/Publikationen/Gelbe_Reihe/Disbei161.pdf
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    Citations

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    Cited by:

    1. Paul J.J. Welfens, 2008. "Portfoliomodell und langfristiges Wachstum: Neue Makroperspektiven," EIIW Discussion paper disbei157, Universitätsbibliothek Wuppertal, University Library.

    More about this item

    Keywords

    growth; portfolio model; innovation; stock markets; macroeconomics;
    All these keywords.

    JEL classification:

    • O40 - Economic Development, Innovation, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - General
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G20 - Financial Economics - - Financial Institutions and Services - - - General
    • D00 - Microeconomics - - General - - - General

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