On fragility of bubbles in equilibrium asset pricing models of Lucas-type
成果类型：
Article
署名作者：
Montrucchio, L; Privileggi, F
刊物名称：
JOURNAL OF ECONOMIC THEORY
ISSN/ISSBN：
0022-0531
DOI：
10.1006/jeth.2000.2718
发表日期：
2001
页码：
158-188
关键词：
摘要：
In this paper we study the existence of bubbles for pricing equilibria in a pure exchange economy a Lucas, with infinitely lived homogeneous agents. The model is analyzed under fairly general assumptions: no restrictions either on the stochastic process governing dividends' distribution or on the utilities (possibly unbounded) are required. We prove that the pricing equilibrium is unique as long its the agents exhibit uniformly bounded relative risk aversion. A generic uniqueness result is also given regardless of agent's preferences. A few pathological examples or economics exhibiting pricing equilibria with bubble components are constructed. Finally, a possible relationship between our approach and the theory developed by Santos and Woodford on ambiguous bubbles is investigated. The whole discussion sheds more insight on the common belief that bubbles are a marginal phenomenon in such models. (C) 2001 Academic Press.