Location of Repository

Rational asset pricing bubbles.

By Manuel S. Santos and Michael Woodford


This paper provides a fairly systematic study of general economic conditions under which rational asset pricing bubbles may arise in an intertemporal competitive equilibrium framework. Our main results are concerned with non-existence of asset pricing bubbles in those economies. These results imply that the conditions under which bubbles are possible inc1uding sorne well-known examples of monetary equilibria-are relatively fragile.Asset pricing bubbles; Rational expectations; Sequentially incomplete markets; Money;

OAI identifier:

Suggested articles



  1. 1. \Voodford. "Monetary Policy
  2. A Value Theory for
  3. An Integration of Stochastic Growth Theory and the Theory of Finance, Part 1: The Growth Model,"
  4. (1974). Are Covernment Bonds Net Wealth?,"
  5. (1989). Assessing Dynamic Efficiency: Theory and Evidence,"
  6. (1982). Asset Prices in a Production Economy,"
  7. Bubbles,"
  8. C.A. \Vilson, "
  9. D. Gale, "Pure Exchange Equilibrium of Dynamic
  10. D.M. Kl'eps, "Al'bitrage and Equilibrium in Economies with Infinitely
  11. Dynarnic General Equilibriurn Models -
  12. J. Tirole. "On
  13. J.A. Scheinkman, "Notes on
  14. (1989). Lectures on Macroeconomics,
  15. M. Obstfeld, "Intrinsic Bubbles: The Case of
  16. M. Quinzii, "Infinite Horizon
  17. M. Woodford, "Rational Asset Pricing Bubbles," Discus
  18. M. Woodford, "The Optimum Quantity of
  19. N. Wallace, "On the Indeterminacy of Equilibrium Ex
  20. (1990). Overlapping Generations Models with Money and Trans actions Costs,"
  21. Overlapping Generations," Economet rica 53: 1499-1528 (1985).
  22. P.A. Samuelson, "An Exact Consumption-Loan Model of Interest with ol' without the Social Contrivance
  23. R Kocherlakota. "Bubbles and Constraints on
  24. RT. Rockafellar,
  25. S. Santos, "Competitive Equilibria for Infinite-Horizon Economies with
  26. S.F. LeRoy, "Bubbles
  27. Security Markets: Stochastic Models,
  28. (1979). Speculative Bubbles, Crashes, and Rational Expectations,"
  29. Stochastic Bubbles in Markov Economies," Finance and Economics Discussion Series No. 92-23, Federal Reserve Board
  30. T.J. Sargent, Dynamic Macroeconomic
  31. (1991). The Econometric Analysis 01 Non-Uniqueness in Rational Expectations Models,
  32. (1980). The Optimum Quantity of Money,"
  33. (1988). The Theory of Rational Bubbles in Stock Prices,"
  34. W.R Zame, "Debt Constraints

To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.