DO SUNSPOTS MATTER WHEN AGENTS ARE CHOQUET-EXPECTED-UTILITY MAXIMIZERS

We consider a two-period, complete market economy in which agents' pre ferences are represented by a non-additive expected utility. If agents are optimistic, i.e. if the measure according to which they compute t heir 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 (norm alized) equilibrium price is indeterminate. In this latter case, one c an even allow for different beliefs among agents and still have that s unspots do not matter. The analysis is contrasted with the case of add itive beliefs studied by Cass and Shell, Journal of Political Economy 91 (1983), pp. 193-227. (C) 1998 Elsevier Science B.V. All rights rese rved.