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Equilibrium price dynamics in an overlapping-generations exchange economy

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Author Info
Paulo Brito
Rui Dilao

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Abstract

We present a continuous time overlapping generations model for an endowment Arrow-Debreu economy with an age-structured population. For an economy with a balanced growth path, we prove that Arrow-Debreu equilibrium prices exist, and their dynamic properties are age-dependent. Our model allows for an explicit dependence of prices on critical age-specific endowment parameters. We show that, if endowments are distributed earlier than some critical age, then speculative bubbles for prices do exist.

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Publisher Info
Paper provided by Department of Economics at the School of Economics and Management (ISEG), Technical University of Lisbon. in its series Working Papers with number 2006/27.

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Date of creation: 2006
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Handle: RePEc:ise:isegwp:wp272006

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Postal: Department of Economics, School of Economics and Management (ISEG), Technical University of Lisbon, Rua do Quelhas 6, 1200-781 LISBON, PORTUGAL
Web page: http://www.iseg.utl.pt/departamentos/economia/

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Related research
Keywords: Arrow-Debreu equilibrium; overlapping generations models; McKendrick model.;

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Find related papers by JEL classification:
D51 - Microeconomics - - General Equilibrium and Disequilibrium - - - Exchange and Production Economies
G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
J0 - Labor and Demographic Economics - - General

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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.:
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  2. Azariadis, Costas & Bullard, James & Ohanian, Lee, 2004. "Trend-reverting fluctuations in the life-cycle model," Journal of Economic Theory, Elsevier, vol. 119(2), pages 334-356, December. [Downloadable!] (restricted)
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  7. Balasko, Yves & Shell, Karl, 1980. "The overlapping-generations model, I: The case of pure exchange without money," Journal of Economic Theory, Elsevier, vol. 23(3), pages 281-306, December. [Downloadable!] (restricted)
  8. Author-Name: John Geanakoplos & Michael Magill & Martine Quinzii, 2004. "Demography and the Long-Run Predictability of the Stock Market," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 35(2004-1), pages 241-326. [Downloadable!]
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  9. 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)
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Cited by:
(explanations, 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. Brito, Paulo, 2008. "Equilibrium asset prices and bubbles in a continuous time OLG model," MPRA Paper 10701, University Library of Munich, Germany. [Downloadable!]
  2. Jamsheed Shorish, 2007. "Welfare analysis of HIV/AIDS: Formulating and computing a continuous time overlapping generations policy model," The School of Economics Discussion Paper Series 0709, Economics, The University of Manchester. [Downloadable!]
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