Show simple item record

dc.contributor.authorBROGUEIRA, João
dc.contributor.authorSCHÜTZE, Fabian
dc.date.accessioned2015-04-10T14:38:52Z
dc.date.available2015-04-10T14:38:52Z
dc.date.issued2015
dc.identifier.issn1725-6704
dc.identifier.urihttps://hdl.handle.net/1814/35324
dc.description.abstractThis 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.mimetypeapplication/pdfen
dc.language.isoenen
dc.relation.ispartofseriesEUI ECOen
dc.relation.ispartofseries2015/02en
dc.rightsinfo:eu-repo/semantics/openAccessen
dc.subjectAsset pricingen
dc.subjectExchange economyen
dc.subjectDynamic programmingen
dc.subjectEquilibrium conditionsen
dc.subjectC61en
dc.subjectC62en
dc.subjectD51en
dc.subjectG12en
dc.titleExistence and uniqueness of equilibrium in Lucas' asset pricing model when utility is unboundeden
dc.typeWorking Paperen


Files associated with this item

Icon

This item appears in the following Collection(s)

Show simple item record