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

来源：

APPLIED ECONOMICS LETTERS | 2012年 / 19卷 / 05期

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

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页码：407 / 412

页数：6

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