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On Fragility of Bubbles in Equilibrium Asset Pricing Models of Lucas-Type

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Montrucchio, Luigi
Privileggi, Fabio

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Article provided by Elsevier in its journal Journal of Economic Theory.

Volume (Year): 101 (2001)
Issue (Month): 1 (November)
Pages: 158-188
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Handle: RePEc:eee:jetheo:v:101:y:2001:i:1:p:158-188

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Web page: http://www.elsevier.com/locate/inca/622869

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Zilcha, Itzhak, 1976. "Characterization by prices of optimal programs under uncertainty," Journal of Mathematical Economics, Elsevier, vol. 3(2), pages 173-183, July. [Downloadable!] (restricted)
  2. Epstein, Larry G & Wang, Tan, 1994. "Intertemporal Asset Pricing Under Knightian Uncertainty," Econometrica, Econometric Society, vol. 62(2), pages 283-322, March. [Downloadable!] (restricted)
  3. Tirole, Jean, 1982. "On the Possibility of Speculation under Rational Expectations," Econometrica, Econometric Society, vol. 50(5), pages 1163-81, September. [Downloadable!] (restricted)
  4. Montrucchio, Luigi & Privileggi, Fabio, 1999. "On Fragility of Bubbles in Equilibrium Asset Pricing Models of Lucas-Type," P.O.L.I.S. department's Working Papers 5, Department of Public Policy and Public Choice - POLIS. [Downloadable!]
    Other versions:
  5. Kandori, Michihiro, 1988. "Equivalent Equilibria," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 29(3), pages 401-17, August. [Downloadable!] (restricted)
  6. Gilles, Christian & LeRoy, Stephen F, 1992. "Bubbles and Charges," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 33(2), pages 323-39, May. [Downloadable!] (restricted)
  7. Manuel S. Santos & Michael Woodford, 1997. "Rational Asset Pricing Bubbles," Econometrica, Econometric Society, vol. 65(1), pages 19-58, January.
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  8. Cass, David, 1972. "On capital overaccumulation in the aggregative, neoclassical model of economic growth: A complete characterization," Journal of Economic Theory, Elsevier, vol. 4(2), pages 200-223, April. [Downloadable!] (restricted)
  9. Kevin X.D. Huang & Jan Werner, 1997. "Valuation Bubbles and Sequential Bubbles," Economics Working Papers 303, Department of Economics and Business, Universitat Pompeu Fabra, revised Dec 1997. [Downloadable!]
  10. Wilson, Charles A., 1981. "Equilibrium in dynamic models with an infinity of agents," Journal of Economic Theory, Elsevier, vol. 24(1), pages 95-111, February. [Downloadable!] (restricted)
  11. Brock, William A., 1980. "Asset Prices in a Production Economy," Working Papers 275, California Institute of Technology, Division of the Humanities and Social Sciences. [Downloadable!]
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  12. Takashi Kamihigashi, 1998. "Uniqueness of asset prices in an exchange economy with unbounded utility," Economic Theory, Springer, vol. 12(1), pages 103-122. [Downloadable!] (restricted)
  13. Brock, William A, 1970. "On Existence of Weakly Maximal Programmes in a Multi-Sector Economy," Review of Economic Studies, Blackwell Publishing, vol. 37(2), pages 275-80, April. [Downloadable!] (restricted)
  14. Shell, Karl, 1971. "Notes on the Economics of Infinity," Journal of Political Economy, University of Chicago Press, vol. 79(5), pages 1002-11, Sept.-Oct. [Downloadable!] (restricted)
  15. Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 46(6), pages 1429-45, November. [Downloadable!] (restricted)
  16. Magill, Michael & Quinzii, Martine, 1996. "Incomplete markets over an infinite horizon: Long-lived securities and speculative bubbles," Journal of Mathematical Economics, Elsevier, vol. 26(1), pages 133-170. [Downloadable!] (restricted)
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  1. Thibault Gajdos & Jean-Marc Tallon & Jean-Christophe Vergnaud, 2002. "Decision Making with Imprecise Probabilistic Information," ICER Working Papers - Applied Mathematics Series 18-2003, ICER - International Centre for Economic Research, revised May 2003. [Downloadable!]
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  2. Antonio Lijoi & Igor Prünster & Stephen G. Walker, 2004. "Contributions to the understanding of Bayesian consistency," ICER Working Papers - Applied Mathematics Series 13-2004, ICER - International Centre for Economic Research. [Downloadable!]
  3. Massimo Guidolin & Allan Timmerman, 2005. "Properties of equilibrium asset prices under alternative learning schemes," Working Papers 2005-009, Federal Reserve Bank of St. Louis. [Downloadable!]
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  4. Kevin X.D. Huang & Jan Werner, 2002. "Implementing Arrow-Debreu equilibria by trading infinitely-lived securities," Research Working Paper RWP 02-08, Federal Reserve Bank of Kansas City. [Downloadable!]
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  5. Antonio Lijoi & Igor Prünster & Stephen G. Walker, 2004. "On consistency of nonparametric normal mixtures for Bayesian density estimation," ICER Working Papers - Applied Mathematics Series 23-2004, ICER - International Centre for Economic Research. [Downloadable!]
  6. Jerome Renault & Sergio Scarlatti & Marco Scarsini, 2003. "A folk theorem for minority games," ICER Working Papers - Applied Mathematics Series 10-2003, ICER - International Centre for Economic Research. [Downloadable!]
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  7. Antonio Lijoi & Igor Prünster & Stephen G. Walker, 2004. "On rates of convergence for posterior distributions in infinite–dimensional models," ICER Working Papers - Applied Mathematics Series 24-2004, ICER - International Centre for Economic Research. [Downloadable!]
  8. Fabio Maccheroni & William H. Ruckle, 2001. "BV as a dual space," ICER Working Papers - Applied Mathematics Series 29-2001, ICER - International Centre for Economic Research. [Downloadable!]
  9. Thibault Gajdos & Eric Maurin, 2002. "Unequal uncertainties and uncertain inequalities: an axiomatic approach," ICER Working Papers - Applied Mathematics Series 15-2003, ICER - International Centre for Economic Research, revised Mar 2003. [Downloadable!]
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  10. Takashi Kamihigashi, 2007. "The Spirit of Capitalism, Stock Market Bubbles, and Output Fluctuations," Discussion Paper Series 205, Research Institute for Economics & Business Administration, Kobe University, revised Oct 2007. [Downloadable!]
  11. Erio Castagnoli & Fabio Maccheroni & Massimo Marinacci, 2002. "Insurance Premia Consistent with the Market," ICER Working Papers - Applied Mathematics Series 24-2002, ICER - International Centre for Economic Research. [Downloadable!]
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  12. Luigi Montrucchio & Fabio Privileggi, 2001. "On Fragility of Bubbles in Equilibrium Asset Pricing Models of Lucas-Type," ICER Working Papers - Applied Mathematics Series 05-2001, ICER - International Centre for Economic Research. [Downloadable!]
    Other versions:
  13. Massimo Marinacci & Paolo Ghirardato, 2001. "Risk, ambiguity, and the separation of utility and beliefs," ICER Working Papers - Applied Mathematics Series 21-2001, ICER - International Centre for Economic Research. [Downloadable!]
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  14. Takashi Kamihigashi, 2006. "Transversality Conditions and Dynamic Economic Behavior," Discussion Paper Series 180, Research Institute for Economics & Business Administration, Kobe University. [Downloadable!]
  15. Alfred Müller & Marco Scarsini, 2003. "Archimedean Copulae and Positive Dependence," ICER Working Papers - Applied Mathematics Series 25-2003, ICER - International Centre for Economic Research. [Downloadable!]
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  16. Fernando Díaz & Rodrigo Sánchez, 2001. "Acciones Tecnológicas: ¿Un Episodio De Burbujas Especulativas En El Mercado?," Abante, Escuela de Administracion. Pontificia Universidad Católica de Chile., vol. 4(1), pages 37-82. [Downloadable!]
  17. Claudio Mattalia, 2003. "Existence of solutions and asset pricing bubbles in general equilibrium models," ICER Working Papers - Applied Mathematics Series 02-2003, ICER - International Centre for Economic Research. [Downloadable!]
  18. Salvatore Modica & Marco Scarsini, 2003. "The convexity-cone approach to comparative risk and downside risk," ICER Working Papers - Applied Mathematics Series 01-2003, ICER - International Centre for Economic Research. [Downloadable!]
  19. Taizhong Hu & Alfred Müller & Marco Scarsini, 2002. "Some Counterexamples in Positive Dependence," ICER Working Papers - Applied Mathematics Series 28-2003, ICER - International Centre for Economic Research, revised Jul 2003. [Downloadable!]
  20. Zanola, Roberto, 2000. "Public goods versus publicly provided private goods in a two-class economy," P.O.L.I.S. department's Working Papers 12, Department of Public Policy and Public Choice - POLIS. [Downloadable!]
  21. Takashi Kamihigashi, 2001. "Necessity of Transversality Conditions for Stochastic Problems," Department of Economics Working Papers 01-02, Stony Brook University, Department of Economics. [Downloadable!]
  22. Enrico Diecidue & Fabio Maccheroni, 2002. "Coherence without Additivity," ICER Working Papers - Applied Mathematics Series 10-2002, ICER - International Centre for Economic Research. [Downloadable!]
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