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

Níguez, Trino Manuel and Paya, Ivan and Peel, David and Perote, Javier (2011) On the stability of the CRRA utility under high degrees of uncertainty. Working Paper. Lancaster University Management School.

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Official URL: http://www.research.lancs.ac.uk/portal/en/publicat...

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)
Additional Information: Working Paper 007201
Subjects: University of Westminster > Westminster Business School
Depositing User: Rachel Wheelhouse
Date Deposited: 05 Nov 2012 14:30
Last Modified: 16 Jan 2013 14:48
URI: http://westminsterresearch.wmin.ac.uk/id/eprint/11475

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