Solving stochastic money-in-the-utility-function models
By: Travis D. Nesmith.
Series: Finance and economics discussion series ;; 2005-52; Finance and economics discussion series (Online) ;; 2005-52.
Publisher: Federal Reserve Board
Published: 2005
Place of publication: Washington, D.C
Language: eng
Format: Electronic resource
Description: "This paper analyzes the necessary and sufficient conditions for solving money-in-the-utility-function models when contemporaneous asset returns are uncertain.  A unique solution to such models is shown to exist under certain measurability conditions.  Stochastic Euler equations, whose existence is normally assumed in these models, are then formally derived.  The regularity conditions are weak, and economically innocuous.  The results apply to the broad range of discrete-time monetary and financial models that are special cases of the model used in this paper.  The method is also applicable to other dynamic models that incorporate contemporaneous uncertainty"--Federal Reserve Board web site.
Notes: Also available in print.
Includes bibliographical references.
Title from PDF file as viewed on 12/8/2005.
System requirements: Adobe Acrobat Reader.
Mode of access: World Wide Web.