IDEAS home Printed from https://ideas.repec.org/p/ipg/wpaper/2014-306.html
   My bibliography  Save this paper

Intertemporal equilibrium with production: bubbles and efficiency

Author

Listed:
  • Stefano Bosi
  • Cuong Le Van
  • Ngoc-Sang Pham

Abstract

We consider a general equilibrium model with heterogeneous agents, borrowing constraints, and exogenous labor supply. First, the existence of intertemporal equi- librium is proved even if the aggregate capitals are not uniformly bounded above and th

Suggested Citation

  • Stefano Bosi & Cuong Le Van & Ngoc-Sang Pham, 2014. "Intertemporal equilibrium with production: bubbles and efficiency," Working Papers 2014-306, Department of Research, Ipag Business School.
    • Handle: RePEc:ipg:wpaper:2014-306
    as

    Download full text from publisher

    File URL: https://faculty-research.ipag.edu/wp-content/uploads/recherche/WP/IPAG_WP_2014_306.pdf
    Download Restriction: no
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. Kocherlakota, Narayana, 2008. "Injecting rational bubbles," Journal of Economic Theory, Elsevier, vol. 142(1), pages 218-232, September.
    2. Ventura, Jaume, 2002. "Bubbles and Capital Flows," CEPR Discussion Papers 3657, C.E.P.R. Discussion Papers.
    3. Becker, Robert A. & Mitra, Tapan, 2012. "Efficient Ramsey Equilibria," Macroeconomic Dynamics, Cambridge University Press, vol. 16(S1), pages 18-32, April.
    4. Julio Dávila & Jay H. Hong & Per Krusell & José‐Víctor Ríos‐Rull, 2012. "Constrained Efficiency in the Neoclassical Growth Model With Uninsurable Idiosyncratic Shocks," Econometrica, Econometric Society, vol. 80(6), pages 2431-2467, November.
    5. Robert Becker & Stefano Bosi & Cuong Van & Thomas Seegmuller, 2015. "On existence and bubbles of Ramsey equilibrium with borrowing constraints," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 58(2), pages 329-353, February.
    6. Manuel S. Santos & Michael Woodford, 1997. "Rational Asset Pricing Bubbles," Econometrica, Econometric Society, vol. 65(1), pages 19-58, January.
    7. Cass, David, 1972. "On capital overaccumulation in the aggregative, neoclassical model of economic growth: A complete characterization," Journal of Economic Theory, Elsevier, vol. 4(2), pages 200-223, April.
    8. Kevin X.D. Huang & Jan Werner, 2000. "Asset price bubbles in Arrow-Debreu and sequential equilibrium," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 15(2), pages 253-278.
    9. Alberto Martin & Jaume Ventura, 2012. "Economic Growth with Bubbles," American Economic Review, American Economic Association, vol. 102(6), pages 3033-3058, October.
    10. Kocherlakota, Narayana R., 1992. "Bubbles and constraints on debt accumulation," Journal of Economic Theory, Elsevier, vol. 57(1), pages 245-256.
    11. Ventura, Jaume, 2012. "Bubbles and capital flows," Journal of Economic Theory, Elsevier, vol. 147(2), pages 738-758.
    12. Takashi Kamihigashi, 2002. "A simple proof of the necessity of the transversality condition," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 20(2), pages 427-433.
    13. Bloise, Gaetano & Reichlin, Pietro, 2011. "Asset prices, debt constraints and inefficiency," Journal of Economic Theory, Elsevier, vol. 146(4), pages 1520-1546, July.
    14. Brunnermeier, Markus K. & Oehmke, Martin, 2013. "Bubbles, Financial Crises, and Systemic Risk," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1221-1288, Elsevier.
    15. Araujo, Aloisio & Páscoa, Mário R. & Torres-Martínez, Juan Pablo, 2011. "Long-lived collateralized assets and bubbles," Journal of Mathematical Economics, Elsevier, vol. 47(3), pages 260-271.
    16. Emmanuel Farhi & Jean Tirole, 2012. "Bubbly Liquidity," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 79(2), pages 678-706.
    17. Timothy J. Kehoe & David K. Levine, 1993. "Debt-Constrained Asset Markets," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 60(4), pages 865-888.
    18. Tirole, Jean, 1982. "On the Possibility of Speculation under Rational Expectations," Econometrica, Econometric Society, vol. 50(5), pages 1163-1181, September.
    19. D. Cass & M. E. Yaari, 1971. "Present Values Playing the Role of Efficiency Prices in the One-Good Growth Model," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 38(3), pages 331-339.
    20. Antonio Doblas‐Madrid, 2012. "A Robust Model of Bubbles With Multidimensional Uncertainty," Econometrica, Econometric Society, vol. 80(5), pages 1845-1893, September.
    21. repec:pri:metric:wp047_2012_brunnermeier_ssrn-id2103814.pdf is not listed on IDEAS
    22. Tirole, Jean, 1985. "Asset Bubbles and Overlapping Generations," Econometrica, Econometric Society, vol. 53(6), pages 1499-1528, November.
    23. Mitra, Tapan & Ray, Debraj, 2012. "On the Phelps–Koopmans theorem," Journal of Economic Theory, Elsevier, vol. 147(2), pages 833-849.
    24. Werner, Jan, 2014. "Rational asset pricing bubbles and debt constraints," Journal of Mathematical Economics, Elsevier, vol. 53(C), pages 145-152.
    25. repec:cor:louvrp:-2463 is not listed on IDEAS
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Bosi, Stefano & Van, Cuong Le & Pham, Ngoc-Sang, 2018. "Intertemporal equilibrium with heterogeneous agents, endogenous dividends and collateral constraints," Journal of Mathematical Economics, Elsevier, vol. 76(C), pages 1-20.
    2. Bosi, Stefano & Le Van, Cuong & Pham, Ngoc-Sang, 2017. "Asset bubbles and efficiency in a generalized two-sector model," Mathematical Social Sciences, Elsevier, vol. 88(C), pages 37-48.
    3. Takashi Kamihigashi, 2015. "A Simple No-Bubble Theorem for Deterministic Sequential Economies," Discussion Paper Series DP2015-38, Research Institute for Economics & Business Administration, Kobe University.
    4. Cuong Le Van & Ngoc-Sang Pham, 2016. "Intertemporal equilibrium with financial asset and physical capital," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 62(1), pages 155-199, June.
    5. Takashi Kamihigashi, 2016. "A Simple Optimality-Based No-Bubble Theorem for Deterministic Sequential Economies," Discussion Paper Series DP2016-22, Research Institute for Economics & Business Administration, Kobe University.
    6. repec:ipg:wpaper:2014-567 is not listed on IDEAS
    7. repec:ipg:wpaper:2014-462 is not listed on IDEAS
    8. repec:ipg:wpaper:2014-580 is not listed on IDEAS
    9. Takashi Kamihigashi, 2015. "A Simple No-Bubble Theorem for Deterministic Dynamic Economies," Discussion Paper Series DP2015-24, Research Institute for Economics & Business Administration, Kobe University.
    10. repec:ipg:wpaper:2014-510 is not listed on IDEAS
    11. Stefano Bosi & Cuong Le Van & Ngoc-Sang Pham, 2015. "Intertemporal equilibrium with heterogeneous agents, endogenous dividends, and borrowing constraints," Documents de recherche 15-05, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
    12. repec:ipg:wpaper:2014-560 is not listed on IDEAS
    13. repec:ipg:wpaper:2014-604 is not listed on IDEAS
    14. repec:ipg:wpaper:2014-511 is not listed on IDEAS
    15. Becker, Robert A. & Borissov, Kirill & Dubey, Ram Sewak, 2015. "Ramsey equilibrium with liberal borrowing," Journal of Mathematical Economics, Elsevier, vol. 61(C), pages 296-304.
    16. repec:ipg:wpaper:2014-556 is not listed on IDEAS
    17. Takashi Kamihigashi, 2015. "A Simple No-Bubble Theorem," Discussion Paper Series DP2015-03, Research Institute for Economics & Business Administration, Kobe University.
    18. Kamihigashi, Takashi, 2018. "A Simple optimality-based no-bubble theorem for deterministic sequential economies with strictly monotone preferences," Mathematical Social Sciences, Elsevier, vol. 91(C), pages 36-41.
    19. repec:ipg:wpaper:2014-468 is not listed on IDEAS
    20. repec:ipg:wpaper:2014-572 is not listed on IDEAS
    21. repec:ipg:wpaper:2014-531 is not listed on IDEAS
    22. repec:ipg:wpaper:2014-570 is not listed on IDEAS
    23. Becker, Robert A. & Borissov, Kirill & Dubey, Ram Sewak, 2015. "Ramsey equilibrium with liberal borrowing," Journal of Mathematical Economics, Elsevier, vol. 61(C), pages 296-304.
    24. repec:ipg:wpaper:2014-457 is not listed on IDEAS

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Bosi, Stefano & Le Van, Cuong & Pham, Ngoc-Sang, 2017. "Asset bubbles and efficiency in a generalized two-sector model," Mathematical Social Sciences, Elsevier, vol. 88(C), pages 37-48.
    2. Bosi, Stefano & Van, Cuong Le & Pham, Ngoc-Sang, 2018. "Intertemporal equilibrium with heterogeneous agents, endogenous dividends and collateral constraints," Journal of Mathematical Economics, Elsevier, vol. 76(C), pages 1-20.
    3. Bosi, Stefano & Le Van, Cuong & Pham, Ngoc-Sang, 2022. "Real indeterminacy and dynamics of asset price bubbles in general equilibrium," Journal of Mathematical Economics, Elsevier, vol. 100(C).
    4. repec:hal:wpaper:halshs-02993656 is not listed on IDEAS
    5. Cuong Le Van & Ngoc-Sang Pham, 2016. "Intertemporal equilibrium with financial asset and physical capital," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 62(1), pages 155-199, June.
    6. Bidian, Florin, 2015. "Portfolio constraints, differences in beliefs and bubbles," Journal of Mathematical Economics, Elsevier, vol. 61(C), pages 317-326.
    7. Stefano Bosi & Cuong Le Van & Ngoc-Sang Pham, 2015. "Intertemporal equilibrium with heterogeneous agents, endogenous dividends, and borrowing constraints," Documents de recherche 15-05, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
    8. Stefano Bosi & Cuong Le Van & Ngoc-Sang Pham, 2017. "Rational Land and Housing Bubbles in Infinite-Horizon Economies," Studies in Economic Theory, in: Kazuo Nishimura & Alain Venditti & Nicholas C. Yannelis (ed.), Sunspots and Non-Linear Dynamics, chapter 0, pages 203-230, Springer.
    9. Bidian, Florin, 2016. "Robust bubbles with mild penalties for default," Journal of Mathematical Economics, Elsevier, vol. 65(C), pages 141-153.
    10. Robert Becker & Stefano Bosi & Cuong Van & Thomas Seegmuller, 2015. "On existence and bubbles of Ramsey equilibrium with borrowing constraints," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 58(2), pages 329-353, February.
    11. Hirano, Tomohiro & Toda, Alexis Akira, 2024. "Bubble economics," Journal of Mathematical Economics, Elsevier, vol. 111(C).
    12. Boucekkine, Raouf & Nishimura, Kazuo & Venditti, Alain, 2015. "Introduction to financial frictions and debt constraints," Journal of Mathematical Economics, Elsevier, vol. 61(C), pages 271-275.
    13. Miao, Jianjun, 2014. "Introduction to economic theory of bubbles," Journal of Mathematical Economics, Elsevier, vol. 53(C), pages 130-136.
    14. Robert Becker & Stefano Bosi & Cuong Le Van & Thomas Seegmuller, 2012. "On existence, efficiency and bubbles of Ramsey equilibrium with borrowing constraints," CAEPR Working Papers 2012-001, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
    15. repec:ipg:wpaper:2013-004 is not listed on IDEAS
    16. repec:ipg:wpaper:4 is not listed on IDEAS
    17. Bo Zhao, 2015. "Rational housing bubble," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 60(1), pages 141-201, September.
    18. Takuma Kunieda & Tarishi Matsuoka & Akihisa Shibata, 2017. "Asset Bubbles, Technology Choice, and Financial Crises," Discussion Paper Series 157, School of Economics, Kwansei Gakuin University, revised Feb 2017.
    19. Bejan, Camelia & Bidian, Florin, 2014. "Bubbles and trading in incomplete markets," Journal of Mathematical Economics, Elsevier, vol. 53(C), pages 137-144.
    20. Bosi, Stefano & Ha-Huy, Thai & Le Van, Cuong & Pham, Cao-Tung & Pham, Ngoc-Sang, 2018. "Financial bubbles and capital accumulation in altruistic economies," Journal of Mathematical Economics, Elsevier, vol. 75(C), pages 125-139.
    21. repec:ipg:wpaper:201404 is not listed on IDEAS
    22. Basco, Sergi, 2014. "Globalization and financial development: A model of the Dot-Com and the Housing Bubbles," Journal of International Economics, Elsevier, vol. 92(1), pages 78-94.
    23. Hirano, Tomohiro & Inaba, Masaru & Yanagawa, Noriyuki, 2015. "Asset bubbles and bailouts," Journal of Monetary Economics, Elsevier, vol. 76(S), pages 71-89.
    24. Pham, Ngoc-Sang, 2023. "Intertemporal equilibrium with physical capital and financial asset: Role of dividend taxation," Mathematical Social Sciences, Elsevier, vol. 123(C), pages 95-104.

    More about this item

    Keywords

    Intertemporal equilibrium; physical capital bubble; efficiency; infinite hori- zon.;
    All these keywords.

    JEL classification:

    • C62 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Existence and Stability Conditions of Equilibrium
    • D31 - Microeconomics - - Distribution - - - Personal Income and Wealth Distribution
    • D91 - Microeconomics - - Micro-Based Behavioral Economics - - - Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ipg:wpaper:2014-306. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Ingmar Schumacher (email available below). General contact details of provider: https://edirc.repec.org/data/ipagpfr.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.