Dependent Background Risks and Asset Prices

Yusuke Osaki ()
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Yusuke Osaki: Graduate School of Economics, Osaka University

No 05-13, Discussion Papers in Economics and Business from Osaka University, Graduate School of Economics

Abstract: Dependent background risks which have functional forms are introduced into Lucas economies. This paper determines the conditions on preferences to guarantee the monotonicity of asset prices, when dependent background risks satisfy the monotonicity and the single crossing conditions.

Keywords: Asset Price; Dependent Background Risk; Monotonicity; Single Crossing Condition. (search for similar items in EconPapers)
JEL-codes: D51 D81 G12 (search for similar items in EconPapers)
Pages: 11 pages
Date: 2005-05
New Economics Papers: this item is included in nep-fin and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:osk:wpaper:0513

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