The equity premium in consumption and production models

Akdeniz L., Dechert W. D.

Macroeconomic Dynamics, cilt.16, sa.SUPPL. 1, ss.139-148, 2012 (SSCI) identifier

  • 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: Evet

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 .