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Stability of equilibrium asset pricing models: A necessary and sufficient condition

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dc.contributor.authorBorovicka, Jaroslav
dc.contributor.authorStachurski, John
dc.date.accessioned2024-01-12T00:36:11Z
dc.date.issued2021
dc.date.updated2022-09-25T08:16:53Z
dc.description.abstractWe obtain an exact necessary and sufficient condition for the existence and uniqueness of equilibrium asset prices in infinite horizon, discrete-time, arbitrage free environments. Using local spectral radius methods, we connect the condition, and hence the problem of existence and uniqueness of asset prices, with the recent literature on stochastic discount factor decompositions. Our results include a globally convergent method for computing prices whenever they exist. Convergence of this iterative method itself implies both existence and uniqueness of equilibrium asset prices.en_AU
dc.description.sponsorshipFinancial support from ARC grant FT160100423 and Alfred P. Sloan Foundation grant G-2016-7052 is also gratefully acknowledged.en_AU
dc.format.mimetypeapplication/pdfen_AU
dc.identifier.issn0022-0531en_AU
dc.identifier.urihttp://hdl.handle.net/1885/311372
dc.language.isoen_AUen_AU
dc.publisherAcademic Pressen_AU
dc.relationhttp://purl.org/au-research/grants/arc/FT160100423en_AU
dc.rights© 2021 Elsevier Inc.en_AU
dc.sourceJournal of Economic Theoryen_AU
dc.subjectAsset pricingen_AU
dc.subjectEquilibrium pricesen_AU
dc.subjectSpectral methodsen_AU
dc.titleStability of equilibrium asset pricing models: A necessary and sufficient conditionen_AU
dc.typeJournal articleen_AU
local.bibliographicCitation.lastpage27en_AU
local.bibliographicCitation.startpage1en_AU
local.contributor.affiliationBorovicka, Jaroslav, New York Universityen_AU
local.contributor.affiliationStachurski, John, College of Business and Economics, ANUen_AU
local.contributor.authoruidStachurski, John, u3915156en_AU
local.description.embargo2099-12-31
local.description.notesImported from ARIESen_AU
local.identifier.absfor380303 - Mathematical economicsen_AU
local.identifier.absseo150209 - Savings and investmentsen_AU
local.identifier.ariespublicationa383154xPUB17650en_AU
local.identifier.citationvolume193en_AU
local.identifier.doi10.1016/j.jet.2021.105227en_AU
local.identifier.scopusID2-s2.0-85101800873
local.identifier.thomsonIDWOS:000636794100010
local.publisher.urlhttps://www.elsevier.com/en-auen_AU
local.type.statusPublished Versionen_AU

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