Autori: BROGUEIRA, João, SCHÜTZE, Fabian
Titolo: Existence and uniqueness of equilibrium in Lucas' asset pricing model when utility is unbounded
Periodico: European University Institute of Badia Fiesolana (Fi). Department of Economics - Working papers
Anno: 2015 - Fascicolo: 2 - Pagina iniziale: 1 - Pagina finale: 11

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.





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