Cass transversality condition and sequential asset bubbles |
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Authors: | Email author" target="_blank">Luigi?MontrucchioEmail author |
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Institution: | (1) Dipartimento di Statistica e Matematica Applicata and ICER, Universitá di Torino, Piazza Arbarello 8, 10122 Torino, Italy |
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Abstract: | Summary. The objective of this paper is to illustrate the connection existing between the asymptotic value of a certain random series and the absence of asset pricing valuation bubbles in stochastic economies with sequential markets. This series, in turn, is closely related to the one proposed by Cass to characterize efficient accumulation paths in Solow models.Received: 3 June 2003, Revised: 3 March 2004, JEL Classification Numbers:
C61, C62, D51, G12.A first draft of this paper was presented at the V Conference of the Society for the Advancement of Economic Theory, Ischia, Italy, 2001. I am grateful to S. Spear and an anonymous referee for their valuable comments. This research was partially supported by MIUR (Ministero dell Istruzione, Universitá e Ricerca). |
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Keywords: | Bubbles Transversality conditions Sequential asset markets |
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