ASSET PRICES IN AN EXCHANGE ECONOMY

@article{Lucas1978ASSETPI,
  title={ASSET PRICES IN AN EXCHANGE ECONOMY},
  author={Robert E. Lucas},
  journal={Econometrica},
  year={1978},
  volume={46},
  pages={1429-1445}
}
  • R. Lucas
  • Published 1 November 1978
  • Economics
  • Econometrica
THIS PAPER IS A THEORETICAL examination of the stochastic behavior of equilibrium asset prices in a one-good, pure exchange economy with identical consumers. The single good in this economy is (costlessly) produced in a number of different productive units; an asset is a claim to all or part of the output of one of these units. Productivity in each unit fluctuates stochastically through time, so that equilibrium asset prices will fluctuate as well. Our objective will be to understand the… 
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