Log-normal approximation of the equity premium in the production model

被引:0
作者
Heer, Burkhard [2 ,3 ]
Maussner, Alfred [1 ]
机构
[1] Univ Augsburg, Dept Econ, D-86159 Augsburg, Germany
[2] Free Univ Bozen Bolzano, Sch Econ & Management, I-39100 Bozen Bolzano, Italy
[3] CESifo, Munich, Germany
关键词
equity premium; log-normal approximation;
D O I
10.1080/13504851.2011.581201
中图分类号
F [经济];
学科分类号
02 ;
摘要
The conditional equity premium in the model with production is often approximated by assuming a jointly log-normal distribution of the marginal rate of substitution in consumption and the marginal productivity of capital. We show that, for standard parameterization, this premium is about one-third less than that implied by a nonlinear approximation of the Euler equations.
引用
收藏
页码:407 / 412
页数:6
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