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

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

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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)
Additional Information: Working Paper 007201
Subjects: University of Westminster > Westminster Business School
SWORD Depositor: repository@westminster.ac.uk
Depositing User: repository@westminster.ac.uk
Date Deposited: 05 Nov 2012 14:30
Last Modified: 18 Mar 2016 16:26
URI: http://westminsterresearch.wmin.ac.uk/id/eprint/11475

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