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A new approach to updating SAMs

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  • Thissen, Mark

    (Groningen University)

Abstract

The paper considers a (static) portfolio system that satisfies adding-up contraints and the gross substitution theorem. The paper shows the relationship of the two conditions to the weak dominant diagonal property of the matrix of interest rate elasticities. This enables to investigate the impact of simultaneous changes in interest rates on the asset demands.

Suggested Citation

  • Thissen, Mark, 1995. "A new approach to updating SAMs," Research Report 95D25, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    • Handle: RePEc:gro:rugsom:95d25
    as

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    File URL: http://irs.ub.rug.nl/ppn/143813544
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    Cited by:

    1. M Thissen & H Löfgren, 1998. "A New Approach to SAM Updating with an Application to Egypt," Environment and Planning A, , vol. 30(11), pages 1991-2003, November.

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