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2020 | nr 55 | 41
Tytuł artykułu

Time consistent equilibria in dynamic models with recursive payoffs and behavioral discounting

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Języki publikacji
We prove existence of time consistent equilibria in a wide class of dynamic models with re-cursive 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 particularwe show existence of minimal state space stationary Markov equilibrium (a time-consistentsolution) in a deterministic model of consumption-saving with beta-delta discounting andits generalized versions involving magnitude effects, non-additive payoffs, semi-hyperbolic orhyperbolic discounting (over possibly unbounded state and unbounded above reward space).We also provide an equilibrium approximation method for a hyperbolic discounting model. (original abstract)
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Opis fizyczny
  • University of Zielona Góra, Poland
  • Arizona State University, USA
  • Warsaw School of Economics, Poland
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