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Rational Asset Pricing Bubbles

Manuel Santos () and Michael Woodford ()

Econometrica, 1997, vol. 65, issue 1, 19-58

Abstract: This paper provides a fairly systematic study of rational asset pricing bubbles in an intertemporal competitive equilibrium framework that allows for incomplete markets, productive assets, borrowing limits, and incomplete participation of agents in markets. The main results are concerned with nonexistence of asset pricing bubbles. These results imply that the conditions under which bubbles are possible--including some well-known examples of monetary equilibria--are relatively fragile.

Date: 1997
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Working Paper: Rational asset pricing bubbles (1995) Downloads
Working Paper: Rational Asset Pricing Bubbles (1993)
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