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On the Existence and Representation of Equilibrium in an Economy with Growth and Nonstationary Consumption

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  • Mehra, Rajnish

Abstract

In this paper, the author generalizes R. E. Lucas's asset pricing model to allow for nonstationary consumption. He defines the e quilibrium in this setting and demonstrates its existence and represe ntation as a competitive equilibrium. The author believes that these extensions will facilitate the empirical testing of consumption-based , asset-pricing models in the Lucas-Prescott research tradition. Copyright 1988 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.

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Bibliographic Info

Article provided by Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association in its journal International Economic Review.

Volume (Year): 29 (1988)
Issue (Month): 1 (February)
Pages: 131-35

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Handle: RePEc:ier:iecrev:v:29:y:1988:i:1:p:131-35

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Cited by:
  1. Lynne EVANS & Anamaria NICOLAE, 2008. "The Output Effect Of Stopping Inflation When Velocity Is Time Varying," Journal of Information Systems & Operations Management, Romanian-American University, vol. 2(1), pages 231-253, July.
  2. Bonomo, M. & Garcia, R., 1991. "Consumption and Equilibrium Asset Pricing: an Empirical Assessment," Cahiers de recherche 9126, Universite de Montreal, Departement de sciences economiques.
  3. Rubens Penha Cysne, 2005. "Equity-Premium Puzzle: Evidence From Brazilian Data," Anais do XXXIII Encontro Nacional de Economia [Proceedings of the 33th Brazilian Economics Meeting] 088, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics].
  4. Rajnish Mehra & Edward C. Prescott, 2003. "The Equity Premium in Retrospect," NBER Working Papers 9525, National Bureau of Economic Research, Inc.
  5. G. M. Constantinides & J. B. Donaldson & R. Mehra, 2005. "Junior must pay: pricing the implicit put in privatizing Social Security," Annals of Finance, Springer, vol. 1(1), pages 1-34, 01.
  6. Cole, Harold L. & Obstfeld, Maurice, 1991. "Commodity trade and international risk sharing : How much do financial markets matter?," Journal of Monetary Economics, Elsevier, vol. 28(1), pages 3-24, August.
  7. Lynne Evans & Anamaria Nicolae, 2008. "The Output Effect Of Stopping Inflation When Velocity Is Time Varying," Romanian Economic Business Review, Romanian-American University, vol. 3(2), pages 60-77, June.
  8. Rajnish Mehra, 2006. "Recursive Competitive Equilibrium," NBER Working Papers 12433, National Bureau of Economic Research, Inc.
  9. George M. Constantinides & John B. Donaldson & Rajnish Mehra, 2005. "Junior is Rich: Bequests as Consumption," NBER Working Papers 11122, National Bureau of Economic Research, Inc.
  10. Andrew B. Abel, 2006. "Equity Premia with Benchmark Levels of Consumption: Closed-Form Results," NBER Working Papers 12290, National Bureau of Economic Research, Inc.

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