Rational asset pricing bubbles and portfolio constraints

• 成果类型: Article
• 署名作者: Hugonnier, Julien
• 署名单位: Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; Swiss Finance Institute (SFI)
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2012.05.003
• 发表日期: 2012
• 页码: 2260-2302
• 关键词: Rational bubbles; Portfolio constraints; general equilibrium; Limited participation; Real indeterminacy

摘要

This article shows that portfolio constraints can give rise to rational asset pricing bubbles in equilibrium even if there are unconstrained agents in the economy who can benefit from the induced limited arbitrage opportunities. Furthermore, it is shown that bubbles can lead to both multiplicity and real indeterminacy of equilibria. The general results are illustrated by two explicitly solved examples where seemingly innocuous portfolio constraints make bubbles a necessary condition for the existence of an equilibrium. (c) 2012 Elsevier Inc. All rights reserved.