Consumption and bubbles

• 成果类型: Article
• 署名作者: Loewenstein, Mark; Willard, Gregory A.
• 署名单位: University System of Maryland; University of Maryland College Park
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2012.07.001
• 发表日期: 2013
• 页码: 563-600
• 关键词: Bubble; arbitrage; Wealth constraint; asset pricing; Market clearing

摘要

We show that an unbounded number of consumption dates is necessary to support an asset pricing bubble. We work in a continuous-time model where the number of trade dates is infinite but the number of consumption dates is flexible and can be chosen to be uniformly bounded, finite almost surely, or infinite. Market clearing, together with monotone preferences for consumption, limits the properties of bubbles and provides restrictions on wealth constraints. In the special case of a uniformly bounded number of consumption dates, assets in positive net supply cannot have asset pricing bubbles and wealth constraints cannot allow limited arbitrage. (C) 2013 Elsevier Inc. All rights reserved.