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Solving asset pricing models with Gaussian shocks

Burnside, C. (1998) Solving asset pricing models with Gaussian shocks. Journal of Economic Dynamics and Control, 22 (3). pp. 329-340. ISSN 0165-1889 (doi:10.1016/S0165-1889(97)00075-4)

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Publisher's URL: http://dx.doi.org/10.1016/S0165-1889(97)00075-4

Abstract

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.

Item Type:Article
Status:Published
Refereed:Yes
Glasgow Author(s) Enlighten ID:Burnside, Prof Craig
Authors: Burnside, C.
College/School:College of Social Sciences > Adam Smith Business School > Economics
Journal Name:Journal of Economic Dynamics and Control
ISSN:0165-1889
Published Online:11 June 1998

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