Template-Type: ReDIF-Paper 1.0
Author-Name: T M Niguez
Author-Name-First: T M
Author-Name-Last: Niguez
Author-Name: I Paya
Author-Name-First: I
Author-Name-Last: Paya
Author-Name: D Peel
Author-Name-First: D
Author-Name-Last: Peel
Author-Name: J Perote
Author-Name-First: J
Author-Name-Last: Perote
Title: On the stability of the CRRA utility under high
degrees of uncertainty
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.
Creation-Date: 2011
File-URL: http://www.lancaster.ac.uk/media/lancaster-university/content-assets/documents/lums/economics/working-papers/StabilityCRRAUtility.pdf
File-Format: application/pdf
Number: 615773
Classification-JEL: 
Keywords: Bayesian learning, Rational expectations, Semi-nonparametric distribu-tions.
Handle: RePEc:lan:wpaper:615773