Risk, Delay, and Convex Self-Control Costs

• 成果类型: Article
• 署名作者: Fudenberg, Drew; Levine, David K.
• 署名单位: Harvard University; Washington University (WUSTL)
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MICROECONOMICS
• ISSN/ISSBN: 1945-7669
• DOI: 10.1257/mic.3.3.34
• 发表日期: 2011
• 页码: 34-68
• 关键词: PROSPECT-THEORY; consumption commitments; windfall income; uncertainty; aversion; DECISION; temptation; certainty; CHOICE; preferences

摘要

We develop a dual-self model of self-control that is compatible with modern dynamic macroeconomic theory and evidence. We show that a convex cost of self-control explains a wide range of behavioral anomalies concerning risk, including the Allais paradox, and also explains the observed interaction between risk and delay. We calibrate the model to obtain a quantitative fit. We find that most of the data can be explained with subjective interest rates in the range of 1-7 percent, short-run relative risk aversion of about two, and a time horizon of one day for the short-run self. (JEL D11, D44, D81)