A note on the exact solution of asset pricing models with habit persistence

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dc.contributor.authorCollard, F.
dc.contributor.authorFeve, P.
dc.contributor.authorGhattassi, I.
dc.date.issued2006
dc.description.abstractThis paper provides a closed-form solution to a standard asset pricing model with habit formation when the growth rate of endowment follows a first-order Gaussian autoregressive process. We determine conditions that guarantee the existence of a stationary bounded equilibrium. The findings are useful because they allow to evaluate the accuracy of various approximation methods to nonlinear rational expectation models. Furthermore, they can be used to perform simulation experiments to study the finite sample properties of various estimation methods.
dc.description.statementofresponsibilityFabrice Collard, Patrick Fève and Imen Ghattassi
dc.identifier.citationMacroeconomic Dynamics, 2006; 10(2):273-283
dc.identifier.doi10.1017/S1365100506050139
dc.identifier.issn1365-1005
dc.identifier.issn1469-8056
dc.identifier.urihttp://hdl.handle.net/2440/57541
dc.language.isoen
dc.publisherCambridge Univ Press
dc.rights© 2006 Cambridge University Press
dc.source.urihttps://doi.org/10.1017/s1365100506050139
dc.subjectAsset Pricing
dc.subjectPrice–Dividend Ratio
dc.subjectHabit Persistence.
dc.titleA note on the exact solution of asset pricing models with habit persistence
dc.typeJournal article
pubs.publication-statusPublished

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