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...
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|
|Research Community:||University of Westminster > Westminster Business School|
|Deposited On:||05 Nov 2012 14:30|
|Last Modified:||16 Jan 2013 14:48|
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