No CrossRef data available.
Article contents
THE EQUITY PREMIUM IN CONSUMPTION AND PRODUCTION MODELS
Published online by Cambridge University Press: 27 February 2012
Abstract
In this paper we use a simple model with a single Cobb–Douglas firm and a consumer with a CRRA utility function to show the difference between the equity premia in the production-based Brock model and the consumption-based Lucas model. With this simple example we show that the equity premium in the production-based model exceeds that of the consumption-based model with probability 1.
- Type
- Articles
- Information
- Macroeconomic Dynamics , Volume 16 , Supplement S1: Nonlinear Dynamics in Equilibrium Models , April 2012 , pp. 139 - 148
- Copyright
- Copyright © Cambridge University Press 2012