On the stability of the CRRA utility under high degrees of uncertainty

Niguez, T M and Paya, I and Peel, D and Perote, J (2011) On the stability of the CRRA utility under high degrees of uncertainty. Working Paper. The Department of Economics, Lancaster University.

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Abstract

Economic growth models under uncertainty and rational agents with CRRA utility have been shown to provide quite fragile explanations of consumers.choice as equlib- rium comsumption paths (expected utility) are drastically dependant on distributional assumptions. We show that assuming a SNP distribution for random consumption provides stability to general equilibrium models as expected utility exists for any value of the marginal rate of substitution over time.

Item Type:	Monograph (Working Paper)
Uncontrolled Keywords:	Bayesian learning ; Rational expectations ; Semi-nonparametric distribu- tions.
Subjects:	UNSPECIFIED
Departments:	Lancaster University Management School > Economics
ID Code:	49038
Deposited By:	ep_importer_pure
Deposited On:	11 Jul 2011 22:30
Refereed?:	No
Published?:	Published
Last Modified:	27 Jul 2012 01:21
Identification Number:
URI:	http://eprints.lancs.ac.uk/id/eprint/49038

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