Existence of solutions and asset pricing bubbles in general equilibrium models

Claudio Mattalia ()

ICER Working Papers - Applied Mathematics Series from ICER - International Centre for Economic Research

Abstract: This paper analyses the problem represented by the presence of speculative bubbles on asset prices in general equilibrium models. The main results concerning the existence of solutions in intertemporal general equilibrium models are summarized, then the specific problem of asset pricing is discussed. In particular, the theoretical results concerning the existence of speculative bubbles on asset prices are presented, together with the results that can be obtained through a new approach, based on Euler equations. In the last part a series of examples in which speculative bubbles on asset prices do appear are illustrated, and the corresponding conditions that allow to exclude the presence of such bubbles are derived. Finally, some considerations are developed in order to match the predictions of the theory with the empirical observations concerning the behavior of asset prices.

Keywords: General Equilibrium; Asset Pricing; Speculative Bubbles (search for similar items in EconPapers)
JEL-codes: C61 C62 D51 G12 (search for similar items in EconPapers)
Pages: 56 pages
Date: 2003-01
New Economics Papers: this item is included in nep-cfn
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:icr:wpmath:02-2003

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