Theory Seminar: Stability of Equilibrium Asset Pricing: A Necessary and Sufficient Condition – School of Economics Theory Seminar: Stability of Equilibrium Asset Pricing: A Necessary and Sufficient Condition – School of Economics

Theory Seminar: Stability of Equilibrium Asset Pricing: A Necessary and Sufficient Condition

The School of Economics invites you to an Economic Theory seminar presented by John Stachurski (ANU). 

Abstract

We obtain an exact necessary and sufficient condition for the existence and uniqueness of equilibrium asset prices in infinite horizon, discrete-time, arbitrage free environments. Through several applications we show how the condition sharpens and improves on previous results. We connect the condition, and hence the problem of existence and uniqueness of asset prices, with the recent literature on stochastic discount factor decompositions. Finally, we discuss computation of the test value associated with our condition, providing a Monte Carlo method that is naturally parallelizable.

 

 

Date

Jul 15 2019
Expired!

Time

11:00 am - 12:00 pm

Location

Room 650, Social Sciences Building (A02)
Category

Organizer

Dave Mc Manamon
Phone
93514587
Email
dave.mcmanamon@sydney.edu.au

Leave a Reply

Your email address will not be published.