Please use this identifier to cite or link to this item: http://hdl.handle.net/2440/57541
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Type: Journal article
Title: A note on the exact solution of asset pricing models with habit persistence
Author: Collard, F.
Feve, P.
Ghattassi, I.
Citation: Macroeconomic Dynamics, 2006; 10(2):273-283
Publisher: Cambridge Univ Press
Issue Date: 2006
ISSN: 1365-1005
1469-8056
Statement of
Responsibility: 
Fabrice Collard, Patrick Fève and Imen Ghattassi
Abstract: This paper provides a closed-form solution to a standard asset pricing model with habit formation when the growth rate of endowment follows a first-order Gaussian autoregressive process. We determine conditions that guarantee the existence of a stationary bounded equilibrium. The findings are useful because they allow to evaluate the accuracy of various approximation methods to nonlinear rational expectation models. Furthermore, they can be used to perform simulation experiments to study the finite sample properties of various estimation methods.
Keywords: Asset Pricing; Price–Dividend Ratio; Habit Persistence.
Rights: © 2006 Cambridge University Press
RMID: 0020095695
DOI: 10.1017/S1365100506050139
Appears in Collections:Economics publications

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