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The price of risk and ambiguity in an intertemporal general equilibrium model o...

We consider a version of the intertemporal general equilibrium model of Cox et al. (Econometrica 53:363–384, 1985) with a single production process and two correlated state variables. It is assumed that only one of them, Y2, has shocks correlated with those of the economy’s output rate and, simultaneously, that the representative agent is ambiguous about its stochastic process. This implies that cha...