Asset pricing in production economies

Abstract This paper studies asset returns in different versions of the one-sector real business cycle model. We show that a model with habit formation preferences and capital adjustment costs can explain the historical equity premium and the average risk-free return while replicating the salient business cycle properties. The paper also applies a solution technique that combines loglinear methods with lognormal asset pricing formulae.

• Publication year

  1998

• Venue

  Journal of Monetary Economics

• Publication date

  1998-02-27

• Fields of study

  Economics

• Identifiers
  DOI 10.1016/S0304-3932(97)00078-0
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

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