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

Trino-Manuel Ñíguez, Ivan Paya (), David Peel and Javier Perote

Economics Letters, 2012, vol. 115, issue 2, 244-248

Abstract: 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.

Keywords: Bayesian learning; Rational expectations; Semi-nonparametric distributions (search for similar items in EconPapers)
JEL-codes: D80 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:115:y:2012:i:2:p:244-248

DOI: 10.1016/j.econlet.2011.12.049

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