抄録
The paper analyzes the performance of asset prices implied by an aggregate macroeconomic growth model under two different consumption hypotheses: overlapping generations of agents with two period lives versus the infinitely lived agent. The production side of the economy is described by a random growth model with a competitive labor market and an exogenously given random dividend payout ratio. For an isoelastic technology with multiplicative production shocks this implies a random dynamical system for the firm's rate of profit with a unique asymptotically stable random fixed point for a large class of productivity growth and dividend payout ratio processes. Based on an extensive numerical study of stationary solutions we show that the two consumption scenarios imply a limited number of diverse effects regarding equity and bond returns and equity premia.
本文言語 | English |
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ページ(範囲) | 163-181 |
ページ数 | 19 |
ジャーナル | Computational Economics |
巻 | 32 |
号 | 1-2 |
DOI | |
出版ステータス | Published - 2008 9月 |
外部発表 | はい |
ASJC Scopus subject areas
- 経済学、計量経済学および金融学(その他)
- コンピュータ サイエンスの応用