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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.

Suggested Citation

  • Mehra, Rajnish, 1988. "On the Existence and Representation of Equilibrium in an Economy with Growth and Nonstationary Consumption," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 29(1), pages 131-135, February.
  • 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, Marco & Garcia, Rene, 1996. "Consumption and equilibrium asset pricing: An empirical assessment," Journal of Empirical Finance, Elsevier, vol. 3(3), pages 239-265, September.
    3. Cysne, Rubens Penha, 2005. "Equity-premium puzzle: evidence from Brazilian data," FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE) 586, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
    4. Mehra, Rajnish & Prescott, Edward C., 2003. "The equity premium in retrospect," Handbook of the Economics of Finance,in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 14, pages 889-938 Elsevier.
    5. Pepin Dominique, 2016. "The subjective discount factor and the coefficient of relative risk aversion under time-additive isoelastic expected utility model," Economics Bulletin, AccessEcon, vol. 36(2), pages 931-935.
    6. Ravi Kashyap, 2016. "Solving the Equity Risk Premium Puzzle and Inching Towards a Theory of Everything," Papers 1604.04872, arXiv.org, revised Mar 2018.
    7. 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, January.
    8. 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.
    9. 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.
    10. Rajnish Mehra, 2013. "Asset Pricing Implications of Macroeconomic Interventions An Application to Climate Policy," NBER Working Papers 19146, National Bureau of Economic Research, Inc.
    11. Rajnish Mehra, 2006. "Recursive Competitive Equilibrium," NBER Working Papers 12433, National Bureau of Economic Research, Inc.
    12. George Constantinides & John Donaldson & Rajnish Mehra, 2007. "Junior is rich: bequests as consumption," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 32(1), pages 125-155, July.
    13. Francisco Azeredo, 2014. "The equity premium: a deeper puzzle," Annals of Finance, Springer, vol. 10(3), pages 347-373, August.
    14. 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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