Rational asset pricing bubbles

Manuel S. Santos, Michael Woodford

Research output: Contribution to journalArticle

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

Keywords

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

ASJC Scopus subject areas

  • Economics and Econometrics

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