Production and the Real Rate of Interest: A Sample Path Equilibrium

David Feldman

Research output: Contribution to journalArticlepeer-review

6 Scopus citations


This paper examines a multiperiod production economy where investors do not observe the realizations of productivity factors or security expected returns. Unlike previous work, which expresses the equilibrium conditions as functions of unobservable (to both real-world investors and empiricists) moments of the distributions of returns, we express the equilibrium real rate as a function of the observable sample paths of realizations of returns. We provide a framework for empirically testing this and other asset pricing models without outside-the-model econometric assumptions needed for producing the unobservable moments of returns. We construct versions of the restrictions for any time interval between observations.

Original languageEnglish
Pages (from-to)247-275
Number of pages29
JournalReview of Finance
Issue number2
StatePublished - 1 Jan 2002


  • Asset pricing
  • Equilibrium interest rates
  • Incomplete information
  • Sample path equilibrium

ASJC Scopus subject areas

  • Accounting
  • Finance
  • Economics and Econometrics


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