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 |
| State | Published - Jan 1997 |
| Externally published | Yes |
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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
Rational asset pricing bubbles. / Santos, Manuel; Woodford, Michael.
In: Econometrica, Vol. 65, No. 1, 01.1997, p. 19-57.Research output: Contribution to journal › Article
}
TY - JOUR
T1 - Rational asset pricing bubbles
AU - Santos, Manuel
AU - Woodford, Michael
PY - 1997/1
Y1 - 1997/1
N2 - 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.
AB - 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.
KW - Asset pricing bubbles
KW - Money
KW - Rational expectations
KW - Sequentially incomplete markets
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UR - http://www.scopus.com/inward/citedby.url?scp=0002190490&partnerID=8YFLogxK
M3 - Article
AN - SCOPUS:0002190490
VL - 65
SP - 19
EP - 57
JO - Econometrica
JF - Econometrica
SN - 0012-9682
IS - 1
ER -