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Article Dans Une Revue Journal of Economic Theory Année : 2013

Intertemporal Equilibria with Knightian uncertainty

Résumé

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 agentsʼ 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.
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Dates et versions

hal-00927170 , version 1 (11-01-2014)

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Rose-Anne Dana, Franck Riedel. Intertemporal Equilibria with Knightian uncertainty. Journal of Economic Theory, 2013, 148 (4), pp.1582-1605. ⟨10.1016/j.jet.2013.04.005⟩. ⟨hal-00927170⟩
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