dc.contributor.author | BROGUEIRA, João | |
dc.contributor.author | SCHÜTZE, Fabian | |
dc.date.accessioned | 2015-04-10T14:38:52Z | |
dc.date.available | 2015-04-10T14:38:52Z | |
dc.date.issued | 2015 | |
dc.identifier.issn | 1725-6704 | |
dc.identifier.uri | https://hdl.handle.net/1814/35324 | |
dc.description.abstract | This note proves existence of a unique equilibrium in a Lucas (1978) economy when the utility function displays constant relative risk aversion and log dividends follow a normally distributed AR(1) process with positive auto-correlation. In particular, the note provides restrictions on the coefficient of relative risk aversion, the discount factor and the conditional variance of the consumption process that ensure existence of a unique equilibrium. | en |
dc.format.mimetype | application/pdf | en |
dc.language.iso | en | en |
dc.relation.ispartofseries | EUI ECO | en |
dc.relation.ispartofseries | 2015/02 | en |
dc.rights | info:eu-repo/semantics/openAccess | en |
dc.subject | Asset pricing | en |
dc.subject | Exchange economy | en |
dc.subject | Dynamic programming | en |
dc.subject | Equilibrium conditions | en |
dc.subject | C61 | en |
dc.subject | C62 | en |
dc.subject | D51 | en |
dc.subject | G12 | en |
dc.title | Existence and uniqueness of equilibrium in Lucas' asset pricing model when utility is unbounded | en |
dc.type | Working Paper | en |