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The equity premium in Brock's asset pricing model

  • Akdeniz, Levent
  • Dechert, W. Davis
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    File URL: http://www.sciencedirect.com/science/article/pii/S0165-1889(06)00144-8
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    Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

    Volume (Year): 31 (2007)
    Issue (Month): 7 (July)
    Pages: 2263-2292

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    Handle: RePEc:eee:dyncon:v:31:y:2007:i:7:p:2263-2292
    Contact details of provider: Web page: http://www.elsevier.com/locate/jedc

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    1. Cochrane, John H. & Campbell, John, 1999. "By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior," Scholarly Articles 3119444, Harvard University Department of Economics.
    2. Brock, William A. & Mirman, Leonard J., 1972. "Optimal economic growth and uncertainty: The discounted case," Journal of Economic Theory, Elsevier, vol. 4(3), pages 479-513, June.
    3. Mehra, Rajnish & Prescott, Edward C., 1985. "The equity premium: A puzzle," Journal of Monetary Economics, Elsevier, vol. 15(2), pages 145-161, March.
    4. Turnovsky, Stephen J. & Bianconi, Marcelo, 2005. "Welfare Gains From Stabilization In A Stochastically Growing Economy With Idiosyncratic Shocks And Flexible Labor Supply," Macroeconomic Dynamics, Cambridge University Press, vol. 9(03), pages 321-357, June.
    5. Lawrence J. Christiano & Michele Boldrin & Jonas D. M. Fisher, 2001. "Habit Persistence, Asset Returns, and the Business Cycle," American Economic Review, American Economic Association, vol. 91(1), pages 149-166, March.
    6. Brock, William A., 1980. "Asset Prices in a Production Economy," Working Papers 275, California Institute of Technology, Division of the Humanities and Social Sciences.
    7. Constantinides, George M, 1990. "Habit Formation: A Resolution of the Equity Premium Puzzle," Journal of Political Economy, University of Chicago Press, vol. 98(3), pages 519-43, June.
    8. Brock, William A & Turnovsky, Stephen J, 1981. "The Analysis of Macroeconomic Policies in Perfect Foresight Equilibrium," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 22(1), pages 179-209, February.
    9. Danthine, Jean-Pierre & Donaldson, John B, 1986. "Inflation and Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 54(3), pages 585-605, May.
    10. John Y. Campbell, 2002. "Consumption-Based Asset Pricing," Harvard Institute of Economic Research Working Papers 1974, Harvard - Institute of Economic Research.
    11. Saito, Makoto, 1998. "A simple model of incomplete insurance the case of permanent shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 22(5), pages 763-777, May.
    12. Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 46(6), pages 1429-45, November.
    13. John Geweke, 1999. "Computational Experiments and Reality," Computing in Economics and Finance 1999 401, Society for Computational Economics.
    14. Kocherlakota, N., 1995. "The Equity Premium: It's Still a Puzzle," Working Papers 95-05, University of Iowa, Department of Economics.
    15. Akdeniz, Levent & Dechert, W. Davis, 1997. "Do CAPM results hold in a dynamic economy? A numerical analysis," Journal of Economic Dynamics and Control, Elsevier, vol. 21(6), pages 981-1003, June.
    16. Mehra, Rajnish, 1984. "Recursive competitive equilibrium : A parametric example," Economics Letters, Elsevier, vol. 16(3-4), pages 273-278.
    17. Judd, Kenneth L., 1992. "Projection methods for solving aggregate growth models," Journal of Economic Theory, Elsevier, vol. 58(2), pages 410-452, December.
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