Autori
BROGUEIRA, João
SCHÜTZE, Fabian

Titolo
Existence and uniqueness of equilibrium in Lucas' asset pricing model when utility is unbounded
Periodico
European University Institute of Badia Fiesolana (Fi). Department of Economics - Working papers
Anno: 2015 - Fascicolo: 2 - Pagina iniziale: 1 - Pagina finale: 11

This note proves existence of a unique equilibrium in a Lucas (1978) economy when the utility function displays constant relative risk aversion and log dividends follow a normally distributed AR(1) process with positive auto-correlation. In particular, the note provides restrictions on the coefficient of relative risk aversion, the discount factor and the conditional variance of the consumption process that ensure existence of a unique equilibrium.




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