On the stability of the constant relative risk aversion (CRRA) utility under high degrees of uncertainty

被引：8

作者：

Niguez, Trino-Manuel ^{[1
]}

Paya, Ivan ^{[2
]}

Peel, David ^{[2
]}

Perote, Javier ^{[3
]}

机构：

[1] Univ Westminster, Westminster Business Sch, Dept Econ & Quantitat Methods, London NW1 5LS, England

[2] Univ Lancaster, Sch Management, Dept Econ, Lancaster LA1 4YX, England

[3] Univ Salamanca, Dept Econ, Salamanca 37007, Spain

来源：

ECONOMICS LETTERS | 2012年 / 115卷 / 02期

关键词：

Bayesian learning; Rational expectations; Semi-nonparametric distributions; SUBJECTIVE EXPECTATIONS; MARKET PRICE; PUZZLES;

D O I：

10.1016/j.econlet.2011.12.049

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Growth models under uncertainty and constant relative risk aversion (CRRA) utility are fragile in explaining consumers' choice, as equilibrium consumption is dependent on distributional assumptions. We show that, under semi-nonparametric distributions, general equilibrium models are stable, as the existence of expected utility is guaranteed. (C) 2011 Elsevier B.V. All rights reserved.

引用

页码：244 / 248

页数：5

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