A TWO-COUNTRY DISCONTINUOUS GENERAL EQUILIBRIUM MODEL

被引：0
|
作者：
Necula, Ciprian [1 ]
机构：
[1] Bucharest Acad Econ Studies, Bucharest, Romania
来源：
ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH | 2010年 / 44卷 / 02期
关键词：
general equilibrium model; two-country Lucas economy; exchange rate; risk premium; jump-diffusion; ASSET PRICING MODEL; INTEREST-RATES; TERM STRUCTURE; PRICES; CONSUMPTION; INFORMATION; INFLATION; ECONOMIES; PORTFOLIO; OPTIONS;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
The aim of this paper is to develop a continuous time general equilibrium model for a two country Lucas type economy. The model assumes that the output in the two countries follows a jump-diffusion stochastic process. We obtain the results concerning the evaluation of financial assets, the determination of the exchange rate, of the interest rate, and of the risk premium in this two-country economy.
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页码：187 / 200
页数：14
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