On geometric ergodicity of the commodity pricing model

Kazuo Nishimura; John Stachurski

doi:10.1111/j.1742-7363.2009.00110.x

On geometric ergodicity of the commodity pricing model

Kazuo Nishimura, John Stachurski^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

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.

Original language	English
Pages (from-to)	293-300
Number of pages	8
Journal	International Journal of Economic Theory
Volume	5
Issue number	3
DOIs	https://doi.org/10.1111/j.1742-7363.2009.00110.x
Publication status	Published - 2009
Externally published	Yes

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10.1111/j.1742-7363.2009.00110.x

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title = "On geometric ergodicity of the commodity pricing model",

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.",

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author = "Kazuo Nishimura and John Stachurski",

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AU - Stachurski, John

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AB - 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.

KW - Ergodicity

KW - Rates of convergence

KW - Stationarity

UR - https://www.scopus.com/pages/publications/77957285404

U2 - 10.1111/j.1742-7363.2009.00110.x

DO - 10.1111/j.1742-7363.2009.00110.x

M3 - Article

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VL - 5

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JO - International Journal of Economic Theory

JF - International Journal of Economic Theory

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On geometric ergodicity of the commodity pricing model

Abstract

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