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- W33134323 abstract "This paper studies conditions under which the price of an asset is uniquely determined by its fundamental value (i.e., no bubbles can arise) in Lucas-type asset pricing models with unbounded utility. After discussing Gilles and LeRoy's (1992) example, we construct an example of a two-period, representative agent economy to demonstrate that bubbles can arise in a standard model if utility isunbounded below, in which case the stochastic Euler equation may be violated. In an in nite horizon framework, we show that bubbles cannot arise if the optimal sequence of asset holdings can be lowered uniformly without incurring an infinite utility loss. Using this result, we develop conditions for the nonexistence of bubbles. The conditions depend exclusively on the asymptotic behavior of marginal utility at zero and in nity. They are satisfied by many unbounded utility functions, including the entire CRRA (constant relative risk aversion) class. The Appendix provides a complete market version of our two-period example." @default.
- W33134323 created "2016-06-24" @default.
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- W33134323 date "1997-01-01" @default.
- W33134323 modified "2023-09-23" @default.
- W33134323 title "Uniqueness of Asset Prices in an Exchange Economy with Unbounded Utility" @default.
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- W33134323 doi "https://doi.org/10.2139/ssrn.34856" @default.
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