The equity premium in consumption and production models?
dc.citation.epage | 148 | en_US |
dc.citation.issueNumber | 1 | en_US |
dc.citation.spage | 139 | en_US |
dc.citation.volumeNumber | 16 | en_US |
dc.contributor.author | Akdeniz, L. | en_US |
dc.contributor.author | Dechert, W. D. | en_US |
dc.date.accessioned | 2015-07-28T12:00:40Z | |
dc.date.available | 2015-07-28T12:00:40Z | |
dc.date.issued | 2012-02-27 | en_US |
dc.department | Department of Management | en_US |
dc.description.abstract | In this paper we use a simple model with a single Cobb–Douglas firm and a consumer with a CRRA utility function to show the difference between the equity premia in the production-based Brock model and the consumption-based Lucas model. With this simple example we show that the equity premium in the production-based model exceeds that of the consumption-based model with probability 1. | en_US |
dc.description.provenance | Made available in DSpace on 2015-07-28T12:00:40Z (GMT). No. of bitstreams: 1 10.1017-S1365100511000708.pdf: 92911 bytes, checksum: 6415e53a1380cb9c9e5ec82acb7d0d32 (MD5) | en |
dc.identifier.doi | 10.1017/S1365100511000708 | en_US |
dc.identifier.issn | 1365-1005 | |
dc.identifier.uri | http://hdl.handle.net/11693/12231 | |
dc.language.iso | English | en_US |
dc.publisher | Cambridge University Press | en_US |
dc.relation.isversionof | http://dx.doi.org/10.1017/S1365100511000708 | en_US |
dc.source.title | Macroeconomic Dynamics | en_US |
dc.subject | Computational economics | en_US |
dc.subject | Projection methods | en_US |
dc.subject | Asset pricing models, stochastic growth models. | en_US |
dc.title | The equity premium in consumption and production models? | en_US |
dc.type | Article | en_US |
Files
Original bundle
1 - 1 of 1
Loading...
- Name:
- 10.1017-S1365100511000708.pdf
- Size:
- 90.73 KB
- Format:
- Adobe Portable Document Format
- Description:
- Full printable version