Brito, Paulo (2008): Equilibrium asset prices and bubbles in a continuous time OLG model.

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Abstract
In a YaariBlanchard overlapping generations endowment economy, and drawing on the equivalence between Radner (R) and ArrowDebreu (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 lifecycle 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 
Language:  English 
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 
Item ID:  10701 
Depositing User:  Paulo Brito 
Date Deposited:  23 Sep 2008 06:53 
Last Modified:  30 Sep 2019 22:11 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/10701 