Skip navigation
Skip navigation

On Geometric Ergodicity of the Commodity Pricing Model

Nishimura, K; Stachurski, John


We provide a simple proof of geometric ergodicity for Samuelson's (1971) commodity pricing model. The proof yields a rate of convergence to the stationary distribution stated in terms of model primitives. We also provide a rate of convergence for prices to the stationary price process, and for the joint distribution of the state process to the stationary state process.

CollectionsANU Research Publications
Date published: 2009
Type: Journal article
Source: International Journal of Economic Theory
DOI: 10.1111/j.1742-7363.2009.00110.x


File Description SizeFormat Image
01_Nishimura_On_Geometric_Ergodicity_of_the_2009.pdf146.39 kBAdobe PDFThumbnail

Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.

Updated:  17 November 2022/ Responsible Officer:  University Librarian/ Page Contact:  Library Systems & Web Coordinator