On geometric ergodicity of the commodity pricing model

Kazuo Nishimura and John Stachurski ()

International Journal of Economic Theory, 2009, vol. 5, issue 3, 293-300

Abstract: We provide a simple proof of geometric ergodicity for Samuelson's (1971) commodity pricing model. The proof yields a rate of convergence to the stationary distribution stated in terms of model primitives. We also provide a rate of convergence for prices to the stationary price process, and for the joint distribution of the state process to the stationary state process.

Date: 2009
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https://doi.org/10.1111/j.1742-7363.2009.00110.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:ijethy:v:5:y:2009:i:3:p:293-300

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