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Publisher's URL: http://dx.doi.org/10.1016/S0165-1889(97)00075-4
This paper provides a closed-form solution for the price-dividend ratio in a standard asset pricing model when the growth rate of the endowment is a first-order Gaussian autoregression. It determines the conditions under which this solution is bounded. The findings are useful in allowing comparisons among numerical methods used to approximate the nontrivial closed-form. The solution method is extended to accommodate multivariate and higher-ordered autoregressive processes.
|Glasgow Author(s):||Burnside, Prof Craig|
|College/School:||College of Social Sciences > Adam Smith Business School > Economics|
|Journal Name:||Journal of Economic Dynamics and Control|
|Published Online:||11 June 1998|