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1、AnIntertemporalGeneralEquilibriumModelofAssetPricesAuthor(s):JohnC.Cox,JonathanE.Ingersoll,Jr.andStephenA.RossSource:Econometrica,Vol.53,No.2(Mar.,1985),pp.363-384Publishedby:EconometricSocietyStableURL:http://www.jstor.org/stable/1911241Accessed:05-03-201603:24UTCYouruseoftheJS
2、TORarchiveindicatesyouracceptanceoftheTerms&ConditionsofUse,availableathttp://www.jstor.org/page/info/about/policies/terms.jspJSTORisanot-for-profitservicethathelpsscholars,researchers,andstudentsdiscover,use,andbuilduponawiderangeofcontentinatrusteddigitalarchive.Weuseinformati
3、ontechnologyandtoolstoincreaseproductivityandfacilitatenewformsofscholarship.FormoreinformationaboutJSTOR,pleasecontactsupport@jstor.org.WileyandEconometricSocietyarecollaboratingwithJSTORtodigitize,preserveandextendaccesstoEconometrica.http://www.jstor.orgThiscontentdownloadedf
4、rom152.3.208.204onSat,05Mar201603:24:48UTCAllusesubjecttoJSTORTermsandConditionsEconometrica,Vol.53,No.2(March,1985)ANINTERTEMPORALGENERALEQUILIBRIUMMODELOFASSETPRICES'BYJOHNC.COX,JONATHANE.INGERSOLL,JR.,ANDSTEPHENA.RossThispaperdevelopsacontinuoustimegeneralequilibriummodelofas
5、implebutcompleteeconomyandusesittoexaminethebehaviorofassetprices.Inthismodel,assetpricesandtheirstochasticpropertiesaredeterminedendogenously.Oneprincipalresultisapartialdifferentialequationwhichassetpricesmustsatisfy.Thesolutionofthisequationgivestheequilibriumpriceofanyasseti
6、ntermsoftheunderlyingrealvariablesintheeconomy.1.INTRODUCTIONINTHISPAPER,wedevelopageneralequilibriumassetpricingmodelforuseinappliedresearch.Animportantfeatureofthemodelisitsintegrationofrealandfinancialmarkets.Amongotherthings,themodelendogenouslydeterminesthestochasticprocess
7、followedbytheequilibriumpriceofanyfinancialassetandshowshowthisprocessdependsontheunderlyingrealvariables.Themodelisfullyconsistentwithrationalexpectationsandmaximizingbehavioronthepartofallagents.Ourframeworkisgeneralenoughtoincludemanyofthefundamentalforcesaffectingassetmarket
8、s,yetitistractableenoughtobespecializedeasilyto
