Abstract
This paper develops the CIR model. In this model, labor is introduced in the production function and leisure in the direct utility function. We examine how the trade-off between labor and leisure would affect asset prices and derive a familiar principal partial differential equation which asset prices must satisfy. The solution of this equation gives the equilibrium price of any asset in terms of the underlying real variables in economy.
Similar content being viewed by others
References
Cox J C, J E Ingersoll J R, Ross S A. An intertemporal general equilibrium model of asset price.Econometrica, 1985 (2): 363–384
Fleming W H, Rishel R.Deterministic and Stochastic Optimal Control. New York: Springer-Verlag, 1975
Friedman A.Stochastic Differential Equations and Applications. Volume 1. New York: Academic Press, 1975
Author information
Authors and Affiliations
Additional information
Yang Yunhong: born in 1971, Ph. D
Rights and permissions
About this article
Cite this article
Yunhong, Y. An intertemporal general equilibrium model of asset prices with labor input. Wuhan Univ. J. Nat. Sci. 3, 129–134 (1998). https://doi.org/10.1007/BF02827534
Received:
Issue Date:
DOI: https://doi.org/10.1007/BF02827534