| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/t0174 |
| 来源ID | Technical Working Paper 0174 |
| Dynamic Equilibrium Economies: A Framework for Comparing Models and Data | |
| Francis X. Diebold; Lee E. Ohanian; Jeremy Berkowitz | |
| 发表日期 | 1995-02-01 |
| 出版年 | 1995 |
| 语种 | 英语 |
| 摘要 | Many recent theoretical papers have come under attack for modeling prices as Geometric Brownian Motion. This process can diverge over time, implying that firms facing this price process can earn infinite profits. We explore the significance of this attack and contrast investment under Geometric Brownian Motion with investment assuming mean reversion. While analytically more complex, mean reversion in many cases is a more plausible assumption, allowing for supply responses to increasing prices. We show a mean reversion process rather than Geometric Brownian Motion and provide an explanation for this result. |
| 主题 | Econometrics ; Estimation Methods ; Macroeconomics ; Macroeconomic Models |
| URL | https://www.nber.org/papers/t0174 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/562432 |
| 推荐引用方式 GB/T 7714 | Francis X. Diebold,Lee E. Ohanian,Jeremy Berkowitz. Dynamic Equilibrium Economies: A Framework for Comparing Models and Data. 1995. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| t0174.pdf（914KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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