Faria, Gonçalo; Correia-da-Silva, João - In: Annals of Finance 8 (2012) 4, pp. 507-531
We consider a version of the intertemporal general equilibrium model of Cox et al. (Econometrica 53:363–384, <CitationRef CitationID="CR10">1985</CitationRef>) with a single production process and two correlated state variables. It is assumed that only one of them, Y <Subscript>2</Subscript>, has shocks correlated with those of the economy’s output rate...</subscript></citationref>
