Equilibrium asset prices and bubbles in a continuous time OLG model

Paulo Brito ()

MPRA Paper from University Library of Munich, Germany

Abstract: In 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.

Keywords: overlapping generations; asset pricing; bubbles; integral equations; LambertW function (search for similar items in EconPapers)
JEL-codes: D51 G12 (search for similar items in EconPapers)
Date: 2008-09-22
New Economics Papers: this item is included in nep-dge
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:10701

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