quant-econ Solutions: The Lucas Asset Pricing Model

Solutions for http://quant-econ.net/py/lucas_model.html



In [1]:

    
%matplotlib inline

Let's start with standard imports



In [2]:

    
from __future__ import division  # Omit for Python 3.x
import numpy as np
import matplotlib.pyplot as plt
from quantecon.models import LucasTree

Exercise 1



In [4]:

    
fig, ax = plt.subplots(figsize=(10,7))

ax.set_xlabel(r'$y$', fontsize=16)
ax.set_ylabel(r'price', fontsize=16)

for beta in (.95, 0.98):
    print("Comuting at beta = {}".format(beta))
    tree = LucasTree(gamma=2, beta=beta, alpha=0.90, sigma=0.1)
    grid, price_vals = tree.grid, tree.compute_lt_price()
    label = r'$\beta = {}$'.format(beta)
    ax.plot(grid, price_vals, lw=2, alpha=0.7, label=label)

ax.legend(loc='upper left')
ax.set_xlim(min(grid), max(grid))









    



Comuting at beta = 0.95
Comuting at beta = 0.98






    Out[4]:





(0.39945149497311855, 2.5034328637756031)



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