A Two-Country Discontinuous General Equilibrium Model

The aim of this paper is to develop a continuous time general equilibrium model for a two country Lucas type economy. The model assumes that the output in the two countries follows a jump-diffusion stochastic process. We obtain the results concerning the evaluation of financial assets, the determination of the exchange rate, of the interest rate, and of the risk premium in this two-country economy.

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Year of publication:	2008-12
Authors:	Necula, Ciprian
Institutions:	Center for Advanced Research in Finance and Banking (CARFIB), Academia de Studii Economice din Bucureşti
Subject:	general equilibrium model \| two-country Lucas economy \| exchange rate \| risk premium \| jump-diffusion

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Extent:	application/pdf
Series:	Advances in Economic and Financial Research - DOFIN Working Paper Series. - ISSN 1844-6612.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 23
Classification:	C02 - Mathematical Methods ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; D50 - General Equilibrium and Disequilibrium. General ; G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005036730