@article{7ebfb4eeb1c144649725a0e72762c229,
title = "Stability of equilibrium asset pricing models: A necessary and sufficient condition",
abstract = "We obtain an exact necessary and sufficient condition for the existence and uniqueness of equilibrium asset prices in infinite horizon, discrete-time, arbitrage free environments. Using local spectral radius methods, we connect the condition, and hence the problem of existence and uniqueness of asset prices, with the recent literature on stochastic discount factor decompositions. Our results include a globally convergent method for computing prices whenever they exist. Convergence of this iterative method itself implies both existence and uniqueness of equilibrium asset prices.",
keywords = "Asset pricing, Equilibrium prices, Spectral methods",
author = "Jaroslav Borovi{\v c}ka and John Stachurski",
note = "Funding Information: We thank Ippei Fujiwara, Sean Meyn, Thomas J. Sargent, co-editor Guillermo Ordo{\~n}ez and two referees for many valuable comments and suggestions, as well as participants at the plenary lecture of the SNDE 2018 Annual symposium at Keio University. In addition, special thanks are due to Miros{\l}awa Zima for detailed discussion of local spectral radius conditions. Financial support from ARC grant FT160100423 and Alfred P. Sloan Foundation grant G-2016-7052 is also gratefully acknowledged. Publisher Copyright: {\textcopyright} 2021 Elsevier Inc. Copyright: Copyright 2021 Elsevier B.V., All rights reserved.",
year = "2021",
month = apr,
doi = "10.1016/j.jet.2021.105227",
language = "English (US)",
volume = "193",
journal = "Journal of Economic Theory",
issn = "0022-0531",
publisher = "Academic Press Inc.",
}