Solving and Analyzing a Model with Two Lucas Trees
نویسنده
چکیده
This reproduces the calculations studied in Cochrane, Longstaff and Santa-Clara (‘Two Trees’, The Review of Financial Studies, vol. 21 no. 1, 2008) and Ian Martin, ‘The Lucas Orchard,’Econometrica, January 2013 (see especially Figure 3). It is an exercise that uses projection as a solution method. Consider an economy with two trees, tree number 1 and tree number 2. The quantity of fruit that falls from tree i in period t is denoted Di,t, i = 1, 2. The time t + 1 growth rate of the amount of fruit falling off tree number i is denoted εi,t+1, i = 1, 2 :
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