Injecting rational bubbles

• 成果类型: Article
• 署名作者: Kocherlakota, Narayana
• 署名单位: University of Minnesota System; University of Minnesota Twin Cities; National Bureau of Economic Research
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2006.07.010
• 发表日期: 2008
• 页码: 218-232
• 关键词: Bubbles; Solvency constraints

摘要

This paper proves two theorems about economies with a finite number of infinitely lived agents who trade a complete set of one-period Arrow securities and several infinitely lived securities at each date, subject to short-sales constraints. The first theorem in the paper considers an equilibrium to an economy of this kind. It proves that there exists another economy with perturbed short-sales constraints in which there is an allocation-equivalent equilibrium in which asset prices have a bubble. The second theorem extends to the result to the case in short-sales constraints are endogenously determined in the sense of Alvarez and Jermann [Efficiency, equilibrium, and asset pricing with risk of default, Econometrica 68 (2000) 775-797]. (C) 2006 Elsevier Inc. All rights reserved.