Asset price bubbles in Arrow-Debreu and sequential equilibrium

Financial bubbles and capital accumulation in altruistic economies

“…In the spirit of Tirole (1982), Tirole (1985), Kocherlakota (1992), Santos and Woodford (1997) and Huang and Werner (2000), we define the fundamental value of financial asset and the bubble.…”

“…As in the standard literature (Tirole, 1982;Kocherlakota, 1992;Santos and Woodford, 1997;Huang and Werner, 2000), we say that a bubble exists at an equilibrium if the equilibrium price of financial asset exceeds the present discounted value of its dividends, that is its fundamental value. In short, we call the bubble the difference between the asset price and the fundamental value.…”

Rational Land and Housing Bubbles in Infinite-Horizon Economies

“…In more standard models of rational bubbles with exogenous dividends such as Kocherlakota (1992), Huang and Werner (2000), Le Van and Pham (2014), the heterogeneity of endogenous discount factors vanishes if agents' borrowing constraints are no longer binding.…”

“…If F i (x) = ⇠ t x for every i, where (⇠ t ) is an exogenous sequence of returns, land becomes an asset as in Kocherlakota (1992), Santos and Woodford (1997) and Huang and Werner (2000), or looks like a Lucas' tree. If F i = 0 for every i, land becomes a pure bubble as in Tirole (1985).…”

“…2 A particular case of bubbles in capital good is that of bubbles in asset with exogenous dividends as in Kocherlakota (1992), Santos and Woodford (1997), Huang and Werner (2000) and Le Van and Pham (2014). …”