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

• 成果类型: Article
• 署名作者: Balbus, Lukasz; Reffett, Kevin; Wozny, Lukasz
• 署名单位: University of Zielona Gora; Arizona State University; Arizona State University-Tempe; Warsaw School of Economics
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2022.105493
• 发表日期: 2022
• 关键词: Time consistency; Markov equilibrium; approximation; Generalized Bellman equation; Hyperbolic; discounting; Quasi -hyperbolic discounting

摘要

We prove existence of time consistent equilibria in a class of dynamic models with recursive payoffs and generalized discounting involving both behavioral and normative applications. Our generalized Bellman equation method identifies and separates both: recursive and strategic aspects of the equilibrium problem and allows to determine the sufficient assumptions on preferences and stochastic transition to establish existence. In particular we show existence of minimal state space stationary Markov equilibrium (a timeconsistent equilibrium) in a deterministic model of consumption-saving with beta-delta discounting and its generalized versions involving non-additive payoffs, general form certainty equivalents, as well as stochastic semi-hyperbolic and hyperbolic discounting models (over possibly unbounded state and unbounded above reward space). We also provide an equilibrium approximation method for a hyperbolic discounting model. (c) 2022 Elsevier Inc. All rights reserved.