Asset pricing and productivity growth: The role of consumption scenarios

Böhm V, Kikuchi T, Vachadze G (2008)
Computational Economics 32(1-2): 163-181.

Journal Article | Published | English

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The paper analyzes the performance of asset prices implied by an aggregate macroeconomic growth model under two different consumption hypotheses: overlapping generations of agents with two period lives versus the infinitely lived agent. The production side of the economy is described by a random growth model with a competitive labor market and an exogenously given random dividend payout ratio. For an isoelastic technology with multiplicative production shocks this implies a random dynamical system for the firm's rate of profit with a unique asymptotically stable random fixed point for a large class of productivity growth and dividend payout ratio processes. Based on an extensive numerical study of stationary solutions we show that the two consumption scenarios imply a limited number of diverse effects regarding equity and bond returns and equity premia.
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Böhm V, Kikuchi T, Vachadze G. Asset pricing and productivity growth: The role of consumption scenarios. Computational Economics. 2008;32(1-2):163-181.
Böhm, V., Kikuchi, T., & Vachadze, G. (2008). Asset pricing and productivity growth: The role of consumption scenarios. Computational Economics, 32(1-2), 163-181.
Böhm, V., Kikuchi, T., and Vachadze, G. (2008). Asset pricing and productivity growth: The role of consumption scenarios. Computational Economics 32, 163-181.
Böhm, V., Kikuchi, T., & Vachadze, G., 2008. Asset pricing and productivity growth: The role of consumption scenarios. Computational Economics, 32(1-2), p 163-181.
V. Böhm, T. Kikuchi, and G. Vachadze, “Asset pricing and productivity growth: The role of consumption scenarios”, Computational Economics, vol. 32, 2008, pp. 163-181.
Böhm, V., Kikuchi, T., Vachadze, G.: Asset pricing and productivity growth: The role of consumption scenarios. Computational Economics. 32, 163-181 (2008).
Böhm, Volker, Kikuchi, Tomoo, and Vachadze, George. “Asset pricing and productivity growth: The role of consumption scenarios”. Computational Economics 32.1-2 (2008): 163-181.
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