Equilibrium asset prices and bubbles in a continuous time OLG model
AbstractIn 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.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 10701.
Date of creation: 22 Sep 2008
Date of revision:
overlapping generations; asset pricing; bubbles; integral equations; LambertW function;
Find related papers by JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing
- D51 - Microeconomics - - General Equilibrium and Disequilibrium - - - Exchange and Production Economies
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