On uniqueness of time-consistent Markov policies for quasi-hyperbolic consumers under uncertainty

• 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.2018.04.003
• 发表日期: 2018
• 页码: 293-310
• 关键词: Time consistency; Markov equilibrium; uniqueness; Generalized Bellman equation

摘要

We give a set of sufficient conditions for uniqueness of a time-consistent stationary Markov consumption policy for a quasi-hyperbolic household under uncertainty. To the best of our knowledge, this uniqueness result is the first presented in the literature for general settings, i.e. under standard assumptions on preferences, as well as some new condition on a transition probability. This paper advocates a generalized Bellman equation method to overcome some predicaments of the known methods and also extends our recent existence result. Our method also works for returns unbounded from above. We provide a few natural extensions of optimal policy uniqueness: convergent and accurate computational algorithm, monotone comparative statics result and generalized Euler equation. (C) 2018 Elsevier Inc. All rights reserved.