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On Geometric Ergodicity of the Commodity Pricing Model

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dc.contributor.authorNishimura, K
dc.contributor.authorStachurski, John
dc.date.accessioned2015-12-07T22:55:28Z
dc.date.issued2009
dc.date.updated2016-02-24T12:00:49Z
dc.description.abstractWe 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.
dc.identifier.issn1742-7355
dc.identifier.urihttp://hdl.handle.net/1885/28394
dc.publisherWiley-Blackwell
dc.sourceInternational Journal of Economic Theory
dc.subjectKeywords: Ergodicity; Rates of convergence; Stationarity
dc.titleOn Geometric Ergodicity of the Commodity Pricing Model
dc.typeJournal article
local.bibliographicCitation.issue3
local.bibliographicCitation.lastpage300
local.bibliographicCitation.startpage293
local.contributor.affiliationNishimura, K, Toyama University
local.contributor.affiliationStachurski, John, College of Business and Economics, ANU
local.contributor.authoruidStachurski, John, u3915156
local.description.embargo2037-12-31
local.description.notesImported from ARIES
local.identifier.absfor140102 - Macroeconomic Theory
local.identifier.absseo910199 - Macroeconomics not elsewhere classified
local.identifier.ariespublicationu9501697xPUB57
local.identifier.citationvolume5
local.identifier.doi10.1111/j.1742-7363.2009.00110.x
local.identifier.scopusID2-s2.0-77957285404
local.identifier.thomsonID000269186500003
local.type.statusPublished Version

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