JEBO Parameters

Consumer parameter assumptions:

• "PermGroFac": 1.0,
• "Rfree": 1.0,
• "CRRA": 5,
• "DiscFac" : 0.90 (quarterly?!)
• LivPrb : 1.0
• Infinite horizon (cycles = 0)
• permanent income shocks standard deviation ... (Scaled to quarterly?!)
• transitory income shock standard deviation ... (Scaled to quarterly?!)

... what else?

Economic system assumptions:

• Dividend growth rate
• Dividend shock standard deviation.
• One consumer 'period' is a quarter.
• Number of days in a quarter: 60.

Derived consumer parameters:

• Risky expectations are derived from the dividend growth and shock rates. (they reflect full rate of return which include dividend/price growth and payout)
• Starting wealth:
  • "aNrmInitMean": 2.79433936935, # calculated using dashboard from default init_portfolio stats, ln(16.35182266895578)
  • Derived from Risky expectations, preferences, income shocks.
  • code for computing expected return from dividend stats
  • Math is in Section 6 of the LAP notes: https://llorracc.github.io/LucasAssetPrice/