Stability of equilibrium asset pricing models: A necessary and sufficient condition
نویسندگان
چکیده
We obtain an exact necessary and sufficient condition for the existence uniqueness of equilibrium asset prices in infinite horizon, discrete-time, arbitrage free environments. Using local spectral radius methods, we connect condition, hence problem prices, with recent literature on stochastic discount factor decompositions. Our results include a globally convergent method computing whenever they exist. Convergence this iterative itself implies both prices.
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ژورنال
عنوان ژورنال: Journal of Economic Theory
سال: 2021
ISSN: ['1095-7235', '0022-0531']
DOI: https://doi.org/10.1016/j.jet.2021.105227