This paper analyzes a general equilibrium exchange economy with a continuum of agents who have "catching up with the Joneses" preferences and differ with respect to the curvature of their utility functions and - as a peculiarity - the impact of news about uncertainty. The dynamic redistribution...

This paper analyzes a general equilibrium exchange economy with a continuum of agents who have "catching up with the Joneses" preferences and differ with respect to the curvature of their utility functions and - as a peculiarity - the impact of news about uncertainty. The dynamic redistribution...

This paper investigates how the investors responses to the evolution of uncertainty affect equilibrium asset returns. I develop a discrete-time real endowment economy where the aggregate economic uncertainty, as detected by a time-change for the endowment process, alters the perceived utility...