Time consistent equilibria in dynamic models with recursive payoffs and behavioral discounting
dc.contributor.author | Balbus, Łukasz | |
dc.contributor.author | Reffett, Kevin | |
dc.contributor.author | Woźny, Łukasz | |
dc.date.accessioned | 2023-07-25T08:09:31Z | |
dc.date.available | 2023-07-25T08:09:31Z | |
dc.date.issued | 2020-11 | |
dc.identifier.citation | Balbus Ł., Reffett K., Woźny Ł., Time consistent equilibria in dynamic models with recursive payoffs and behavioral discounting, SGH KAE Working Papers, 2020, nr 2020/055, s. 1-41 | en |
dc.identifier.uri | http://hdl.handle.net/20.500.12182/1108 | |
dc.description.abstract | We prove existence of time consistent equilibria in a wide class of dynamic models with recursive payoffs and generalized discounting involving both behavioral and normative applica-tions. Our generalized Bellman equation method identifies and separates both: recursive andstrategic aspects of the equilibrium problem and allows to precisely determine the sufficientassumptions on preferences and stochastic transition to establish existence. In particular we show existence of minimal state space stationary Markov equilibrium (a time-consistent solution) in a deterministic model of consumption-saving with beta-delta discounting andits generalized versions involving magnitude effects, non-additive payoffs, semi-hyperbolic or hyperbolic discounting (over possibly unbounded state and unbounded above reward space). We also provide an equilibrium approximation method for a hyperbolic discounting model. | en |
dc.language.iso | en | |
dc.rights | Dozwolony użytek | * |
dc.subject | behavioral discounting | en |
dc.subject | time consistency | en |
dc.subject | markov equilibrium | en |
dc.subject | existence | en |
dc.subject | approximation | en |
dc.subject | generalized Bellman equation | en |
dc.subject | hyperbolic discountin | en |
dc.subject | semi-hyperbolic discounting | en |
dc.subject | quasi-hyperbolic discounting | en |
dc.subject.classification | C61 | en |
dc.subject.classification | C73 | en |
dc.title | Time consistent equilibria in dynamic models with recursive payoffs and behavioral discounting | en |
dc.type | workingPaper | en |
dc.description.number | 2020/055 | en |
dc.description.physical | 1-41 | en |
dc.description.series | SGH KAE Working Papers Series | en |
dc.identifier.urlpublisher | http://wydawnictwo.sgh.waw.pl | en |
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