Abstract

http://ssrn.com/abstract=296786
 
 

Citations



 


 



Production and the Real Rate of Interest: A Sample Path Equilibrium


David Feldman


University of New South Wales - Banking & Finance, Australian School of Business; Financial Research Network (FIRN)


European Finance Review, Vol. 6, pp. 247-275, 2002

Abstract:     
This paper examines a multiperiod production economy where investors do not observe the realizations of productivity factors or security expected returns. Unlike previous work, which expresses the equilibrium conditions as functions of unobservable (to both real-world investors and empiricists) moments of the distributions of returns, we express the equilibrium real rate as a function of the observable sample paths of realizations of returns. We provide a framework for empirically testing this and other asset pricing models without outside-the-model econometric assumptions needed for producing the unobservable moments of returns. We construct versions of the restrictions for any time interval between observations.

Keywords: incomplete information, equilibrium interest rates, asset pricing, sample path equilibrium

JEL Classification: E43, G12, D92, D80, D51

Accepted Paper Series





Not Available For Download

Date posted: January 13, 2002  

Suggested Citation

Feldman, David, Production and the Real Rate of Interest: A Sample Path Equilibrium. European Finance Review, Vol. 6, pp. 247-275, 2002. Available at SSRN: http://ssrn.com/abstract=296786

Contact Information

David Feldman (Contact Author)
University of New South Wales - Banking & Finance, Australian School of Business ( email )
UNSW Sydney, NSW 2052
Australia
+61 2 9385 5748 (Phone)
+61 2 9385 6347 (Fax)
Financial Research Network (FIRN)
C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia
HOME PAGE: http://www.firn.org.au

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