Comparative Dynamics of an Equilibrium Intertemporal Asset Pricing Model
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Publication:3329165
DOI10.2307/2297436zbMath0541.90013OpenAlexW2035870695MaRDI QIDQ3329165
Rajnish Mehra, John B. Donaldson
Publication date: 1984
Published in: The Review of Economic Studies (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/2297436
rational expectationsrisk premiumsrecursive competitive equilibriumcentral planning stochastic growth modeldisturbed production functionMarkov disturbance process
Economic growth models (91B62) Financial applications of other theories (91G80) General equilibrium theory (91B50)
Related Items (9)
The volatility of asset prices in a stochastic production economy ⋮ On the volatility of stock prices: an exercise in quantitative theory ⋮ Recursive competitive equilibrium: a parametric example ⋮ Price volatility and risk with non-separability of preferences ⋮ International asset market, nonconvergence, and endogenous fluctuations ⋮ ASSET PRICING IN DYNAMIC STOCHASTIC GENERAL EQUILIBRIUM MODELS WITH INDETERMINACY ⋮ On the term structure of interest rates ⋮ On the fluctuations in consumption and market returns in the presence of labor and human capital: An equilibrium analysis ⋮ A comparative study of portfolio insurance.
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