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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


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