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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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