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Bublles and Charges

Author

Listed:
  • C. Gilles
  • S.F. Leroy

Abstract

The definition of "fundamental value" and "speculative bubbles" that are standard in macroeconomics and finance are given formal representations as the countably additive part and the purely finitely additive part (a measure and a pure charge, respectively) of the supporting price system when the commodity space is L(infinity). Examples illustrate that rational bubbles can occur in standard general equilibrium models with complete markets and a finite number of agents, even in the absence of uncertainty. Copyright 1992 by Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • C. Gilles & S.F. Leroy, 1989. "Bublles and Charges," Carleton Economic Papers 89-05, Carleton University, Department of Economics, revised May 1992.
  • Handle: RePEc:car:carecp:89-05
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    Other versions of this item:

    • 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 323-339, May.

    Citations

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    Cited by:

    1. 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.
    2. Aloisio Araujo, 2015. "General equilibrium, preferences and financial institutions after the crisis," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 58(2), pages 217-254, February.
    3. Rocheteau, Guillaume & Wright, Randall, 2013. "Liquidity and asset-market dynamics," Journal of Monetary Economics, Elsevier, vol. 60(2), pages 275-294.
    4. Vigfusson, R. & Van Norden, S., 1996. "Avoiding the Pitfalls: Can Regime-Switching Tests Detect Bubbles?," Staff Working Papers 96-11, Bank of Canada.
    5. Robert A. Jarrow, 2015. "Asset Price Bubbles," Annual Review of Financial Economics, Annual Reviews, vol. 7(1), pages 201-218, December.
    6. Gianluca Cassese, 2017. "Asset pricing in an imperfect world," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 64(3), pages 539-570, October.
    7. Montrucchio, Luigi & Privileggi, Fabio, 2001. "On Fragility of Bubbles in Equilibrium Asset Pricing Models of Lucas-Type," Journal of Economic Theory, Elsevier, vol. 101(1), pages 158-188, November.
    8. Cuong Le Van & Ngoc-Sang Pham, 2016. "Intertemporal equilibrium with financial asset and physical capital," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), pages 155-199.
    9. repec:eee:mateco:v:73:y:2017:i:c:p:1-12 is not listed on IDEAS
    10. Stephen F. LeRoy, 2012. "Infinite Portfolio Strategies," Contemporary Economics, University of Finance and Management in Warsaw, vol. 6(4), December.
    11. Loewenstein, Mark & Willard, Gregory A., 2000. "Rational Equilibrium Asset-Pricing Bubbles in Continuous Trading Models," Journal of Economic Theory, Elsevier, vol. 91(1), pages 17-58, March.
    12. van Norden, Simon, 1996. "Regime Switching as a Test for Exchange Rate Bubbles," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(3), pages 219-251, May-June.
    13. repec:bbz:fcpbbr:v:9:y:2012:i:4:p:51-86 is not listed on IDEAS
    14. 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.
    15. Tom Engsted, 2016. "Fama On Bubbles," Journal of Economic Surveys, Wiley Blackwell, vol. 30(2), pages 370-376, April.
    16. Gilles, Christian & LeRoy, Stephen F., 1998. "Arbitrage, martingales and bubbles," Economics Letters, Elsevier, vol. 60(3), pages 357-362, September.
    17. Araujo, Aloisio & Novinski, Rodrigo & Páscoa, Mário R., 2011. "General equilibrium, wariness and efficient bubbles," Journal of Economic Theory, Elsevier, vol. 146(3), pages 785-811, May.
    18. Jan Baldeaux & Katja Ignatieva & Eckhard Platen, 2016. "Detecting Money Market Bubbles," Research Paper Series 378, Quantitative Finance Research Centre, University of Technology, Sydney.
    19. Ahmed, Ehsan & Barkley Rosser, J. Jr. & Uppal, Jamshed Y., 1999. "Evidence of nonlinear speculative bubbles in pacific-rim stock markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 39(1), pages 21-36.
    20. Kountzakis, C. & Polyrakis, I.A., 2013. "Coherent risk measures in general economic models and price bubbles," Journal of Mathematical Economics, Elsevier, vol. 49(3), pages 201-209.
    21. Burke, Jonathan L., 2009. "Quasi equilibria for growth economies," Economics Letters, Elsevier, vol. 105(3), pages 197-199, December.
    22. repec:spr:empeco:v:53:y:2017:i:2:d:10.1007_s00181-016-1138-9 is not listed on IDEAS
    23. Bhattacharya, Utpal, 2003. "The optimal design of Ponzi schemes in finite economies," Journal of Financial Intermediation, Elsevier, vol. 12(1), pages 2-24, January.
    24. Werner, Jan, 2014. "Rational asset pricing bubbles and debt constraints," Journal of Mathematical Economics, Elsevier, vol. 53(C), pages 145-152.
    25. Kivedal, Bjørnar Karlsen, 2013. "Testing for rational bubbles in the US housing market," Journal of Macroeconomics, Elsevier, vol. 38(PB), pages 369-381.

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