Rational asset pricing bubbles

Manuel Santos, Michael Woodford

Research output: Contribution to journalArticle

205 Citations (Scopus)

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 languageEnglish (US)
Pages (from-to)19-57
Number of pages39
JournalEconometrica
Volume65
Issue number1
StatePublished - Jan 1997
Externally publishedYes

Fingerprint

Asset Pricing
Bubble
pricing
assets
Competitive Equilibrium
Nonexistence
economy
Economics
economics
Imply
Asset pricing

Keywords

  • Asset pricing bubbles
  • Money
  • Rational expectations
  • Sequentially incomplete markets

ASJC Scopus subject areas

  • Economics and Econometrics
  • Mathematics (miscellaneous)
  • Statistics and Probability
  • Social Sciences (miscellaneous)

Cite this

Santos, M., & Woodford, M. (1997). Rational asset pricing bubbles. Econometrica, 65(1), 19-57.

Rational asset pricing bubbles. / Santos, Manuel; Woodford, Michael.

In: Econometrica, Vol. 65, No. 1, 01.1997, p. 19-57.

Research output: Contribution to journalArticle

Santos, M & Woodford, M 1997, 'Rational asset pricing bubbles', Econometrica, vol. 65, no. 1, pp. 19-57.
Santos M, Woodford M. Rational asset pricing bubbles. Econometrica. 1997 Jan;65(1):19-57.
Santos, Manuel ; Woodford, Michael. / Rational asset pricing bubbles. In: Econometrica. 1997 ; Vol. 65, No. 1. pp. 19-57.
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