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.
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页码：244 / 248
页数：5
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