Rational asset pricing bubbles

Manuel S. Santos; Michael Woodford

doi:10.2307/2171812

Rational asset pricing bubbles

Manuel S. Santos, Michael Woodford

Research output: Contribution to journal › Article › peer-review

219 Scopus citations

Abstract

This paper provides a fairly systematic study of general economic conditions under which rational asset pricing bubbles may arise in an intertemporal competitive equilibrium framework. Our main results are concerned with nonexistence of asset pricing bubbles in those economies. These results imply that the conditions under which bubbles are possible - including some well-known examples of monetary equilibria - are relatively fragile.

Original language	English (US)
Pages (from-to)	19-57
Number of pages	39
Journal	Econometrica
Volume	65
Issue number	1
DOIs	https://doi.org/10.2307/2171812
State	Published - Jan 1997
Externally published	Yes

Keywords

Asset pricing bubbles
Money
Rational expectations
Sequentially incomplete markets

ASJC Scopus subject areas

Economics and Econometrics

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10.2307/2171812

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abstract = "This paper provides a fairly systematic study of general economic conditions under which rational asset pricing bubbles may arise in an intertemporal competitive equilibrium framework. Our main results are concerned with nonexistence of asset pricing bubbles in those economies. These results imply that the conditions under which bubbles are possible - including some well-known examples of monetary equilibria - are relatively fragile.",

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KW - Sequentially incomplete markets

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Rational asset pricing bubbles

Abstract

Keywords

ASJC Scopus subject areas

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