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Authors
Advisor(s)
Abstract(s)
In a Yaari-Blanchard overlapping generations endowment economy, and drawing on the equivalence between Radner (R) and Arrow-Debreu (AD) equilibria, 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.
Description
Keywords
Overlapping Generations Asset Pricing Bubbles Integral Equations
Pedagogical Context
Citation
Brito, Paulo .(2008). “Equilibrium asset prices and bubbles in a continuous time OLG model”. MPRA - Working Paper No. 10701. 2008. (Search PDF in 2024).
Publisher
MPRA - Munich Personal RePEc Archive