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Real indeterminacy and dynamics of asset price bubbles in general equilibrium

Stefano Bosi, Cuong Le Van and Ngoc-Sang Pham ()
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Stefano Bosi: EPEE - Centre d'Etudes des Politiques Economiques - UEVE - Université d'Évry-Val-d'Essonne - Université Paris-Saclay, Université Paris-Saclay
Cuong Le Van: CNRS - Centre National de la Recherche Scientifique, PSE - Paris School of Economics - ENPC - École des Ponts ParisTech - ENS Paris - École normale supérieure - Paris - PSL - Université Paris sciences et lettres - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique - EHESS - École des hautes études en sciences sociales - INRAE - Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement, IPAG Business School, TIMAS - Institute of Mathematics and Applied Science, CES - Centre d'économie de la Sorbonne - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique

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Abstract: We show that both real indeterminacy and asset price bubble may appear in an infinite-horizon exchange economy with infinitely lived agents and an imperfect financial market. We explain how the asset structure and heterogeneity (in terms of preferences and endowments) affect the existence and the dynamics of asset price bubbles as well as the equilibrium indeterminacy. Moreover, this paper bridges the literature on bubbles in models with infinitely lived agents and that in overlapping generations models.

Keywords: intertemporal equilibrium; borrowing constraint; real indeterminacy; asset price bubble (search for similar items in EconPapers)
Date: 2021-09-25
New Economics Papers: this item is included in nep-dge, nep-isf and nep-mac
Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-02993656v2
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Related works:
Working Paper: Real indeterminacy and dynamics of asset price bubbles in general equilibrium (2021) Downloads
Working Paper: Real indeterminacy and dynamics of asset price bubbles in general equilibrium (2019) Downloads
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