Do sunspots matter when agents are Choquet-expected-utility maximizers?
Résumé
We consider a two-period, complete market economy in which agents' preferences are represented by a non-additive expected utility. If agents are optimistic i.e. if the measure according to which they compute their expected utility is subadditive, sunspots matter at equilibrium. If agents are pessimistic i.e. if their measure is convex, and share the same beliefs, sunspots do not matter at equilibrium, and the (normalized) equilibrium price is indeterminate. In this latter case, one can even allow for different beliefs among agents and still have that sunspots do not matter. The analysis is contrasted with the case of additive beliefs studied by Cass and Shell, Journal of Political Economy 91 (1983), pp. 193–227.