Subjective random discounting and intertemporal choice

• 成果类型: Article
• 署名作者: Higashi, Youichiro; Hyogo, Kazuya; Takeoka, Norio
• 署名单位: Yokohama National University; Hosei University; Ryukoku University
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2008.09.002
• 发表日期: 2009
• 页码: 1015-1053
• 关键词: Random discounting; preference for flexibility; subjective states; Second-order stochastic dominance

摘要

This paper provides an axiomatic foundation for a particular type of preference shock model called the random discounting representation where a decision maker believes that her discount factors change randomly over time. For this purpose, we formulate an infinite horizon extension of [E. Dekel, B. Lipman, A. Rustichini, Representing preferences with a unique subjective state space, Econometrica 69 (2001) 891-934], and identify the behavior that reduces all subjective uncertainties to those about future discount factors. We also show uniqueness of subjective belief about discount factors. Moreover, a behavioral comparison about preference for flexibility characterizes the condition that one's subjective belief second-order stochastically dominates the other. Finally, the resulting model is applied to a consumption-savings problem. (C) 2008 Elsevier Inc. All rights reserved.