Aase, Knut K.; Lillestøl, Jostein - Institutt for foretaksøkonomi, Norges Handelshøyskole … - 2015
The paper investigates the effects of deviations from normality on the estimates of risk premiums and the real equilibrium, short-term interest rate in the conventional rational expectations equilibrium model of Lucas (1978). We consider a time-continuous approach, where both the aggregate...