Brito, Paulo (2008): Equilibrium asset prices and bubbles in a continuous time OLG model.
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In a Yaari-Blanchard overlapping generations endowment economy, and drawing on the equivalence between Radner (R) and Arrow-Debreu (AD) equi- libria, we prove that equilibrium AD prices have an explicit representation as a double integral equation. This allows for an analytic characterization of the relationship between life-cycle and cohort heterogeneity and asset prices. For a simple distribution, we prove that bubbles may exist, and derive conditions for ruling them out.
|Item Type:||MPRA Paper|
|Original Title:||Equilibrium asset prices and bubbles in a continuous time OLG model|
|Keywords:||overlapping generations, asset pricing, bubbles, integral equations, LambertW function|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates
D - Microeconomics > D5 - General Equilibrium and Disequilibrium > D51 - Exchange and Production Economies
|Depositing User:||Paulo Brito|
|Date Deposited:||23. Sep 2008 06:53|
|Last Modified:||24. Feb 2013 14:08|
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