Intertemporal equilibria with Knightian uncertainty

• 成果类型: Article
• 署名作者: Dana, Rose-Anne; Riedel, Frank
• 署名单位: Universite PSL; Universite Paris-Dauphine; University of Bielefeld
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2013.04.005
• 发表日期: 2013
• 页码: 1582-1605
• 关键词: Knightian uncertainty; ambiguity; incomplete preferences; General equilibrium theory; No trade; Dynamic general equilibrium

摘要

We study a dynamic and infinite-dimensional model with incomplete multiple prior preferences. In interior efficient allocations, agents share a common risk-adjusted prior and subjective interest rate. Interior efficient allocations and equilibria coincide with those of economies with subjective expected utility and priors from the agents' multiple prior sets. A specific model with neither risk nor uncertainty at the aggregate level is considered. Risk is always fully insured. For small levels of ambiguity, there exists an equilibrium with inertia where agents also insure fully against Knightian uncertainty. When the level of ambiguity exceeds a critical threshold, full insurance no longer prevails and there exist equilibria with inertia where agents do not insure against uncertainty at all. We also show that equilibria with inertia are indeterminate. (C) 2013 Elsevier Inc. All rights reserved.