The equity premium in consumption and production models
Macroeconomic Dynamics, cilt.16, sa.SUPPL. 1, ss.139-148, 2012 (SSCI, Scopus)
- Yayın Türü: Makale / Tam Makale
- Cilt numarası: 16 Sayı: SUPPL. 1
- Basım Tarihi: 2012
- Doi Numarası: 10.1017/s1365100511000708
- Dergi Adı: Macroeconomic Dynamics
- Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus
- Sayfa Sayıları: ss.139-148
- TED Üniversitesi Adresli: Hayır
Özet
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. © 2012 Cambridge University Press .