The equity premium in Brock's asset pricing model

dc.citation.epage2292en_US
dc.citation.issueNumber7en_US
dc.citation.spage2263en_US
dc.citation.volumeNumber31en_US
dc.contributor.authorAkdeniz, L.en_US
dc.contributor.authorDechert, W. D.en_US
dc.date.accessioned2015-07-28T11:58:06Z
dc.date.available2015-07-28T11:58:06Z
dc.date.issued2007en_US
dc.departmentDepartment of Managementen_US
dc.description.abstractIn this paper we combine dynamic programming methods with projection methods for solving stochastic growth models. As an application of these methods, we solve Brock’s asset pricing model with a variety of parameterizations. We focused on finding parameterizations that result in an equity premium that is high relative to the variation in consumption. We show (both analytically and numerically) that the equity premium can be higher in a production based asset pricing model than it is in the consumption based asset pricing model, even when the real output level is the same in both models.en_US
dc.identifier.doi10.1016/j.jedc.2006.06.008en_US
dc.identifier.issn0165-1889
dc.identifier.urihttp://hdl.handle.net/11693/11579
dc.language.isoEnglishen_US
dc.publisherElsevieren_US
dc.relation.isversionofhttp://dx.doi.org/10.1016/j.jedc.2006.06.008en_US
dc.source.titleJournal of Economic Dynamics and Controlen_US
dc.subjectComputational economicsen_US
dc.subjectProjection methodsen_US
dc.subjectAsset pricing modelsen_US
dc.subjectStochastic growth modelsen_US
dc.titleThe equity premium in Brock's asset pricing modelen_US
dc.typeArticleen_US
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