Non stationary additive utility and time consistency
Nicolas Drouhin ()
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL
By solving dynamic optimization programs, I study the most general class of additive intertemporal utility functionals. They are not necessarily stationary, and do not necessarily multiplicatively separate a discount factor from "per-period utility". I prove that time consistency holds if and only if the period felicity function is multiplicatively separable in t, the date of decision and in s, the date of consumption, or equivalently, if the Fisherian instantaneous subjective discount rate does not depend on t. The model allows to explain"anomalies in intertemporal choice" and various empirical regularities, even when the agents are time consistent. On the other hand, the model allows to characterize the "effective consumption profile" of naive, time-inconsistent agents mathematically.
Keywords: intertemporal choice; life cycle theory of consumption and saving; stationarity; time consistency; time invariance; exponential discounting; hyperbolic discounting; aging (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-dge, nep-mic and nep-upt
Note: View the original document on HAL open archive server: https://halshs.archives-ouvertes.fr/halshs-01238584v2
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: http://EconPapers.repec.org/RePEc:hal:cesptp:halshs-01238584
Access Statistics for this paper
More papers in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) from HAL
Series data maintained by CCSD ().