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On Geometric Ergodicity of the Commodity Pricing Model

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Date

2009

Authors

Nishimura, K
Stachurski, John

Journal Title

Journal ISSN

Volume Title

Publisher

Wiley-Blackwell

Abstract

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.

Description

Keywords

Keywords: Ergodicity; Rates of convergence; Stationarity

Citation

URI

http://hdl.handle.net/1885/28394

Collections

ANU Research Publications

Source

International Journal of Economic Theory

Type

Journal article

Book Title

Entity type

Access Statement

License Rights

DOI

10.1111/j.1742-7363.2009.00110.x

Restricted until

2037-12-31

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