On the concavity of the consumption function with the time varying discount rate

Liutang Gong, Ruquan Zhong and Heng-Fu Zou ()
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Ruquan Zhong: Institute of Applied Mathematics, AMSS, CAS

No 559, CEMA Working Papers from China Economics and Management Academy, Central University of Finance and Economics

Abstract: In this paper, we consider a finite-horizon model with the time-additive utility and the time varying discount rate. With the assumption of the concavity of absolute risk tolerance, the concavity of the consumption function has been proved. This result significantly broadens the conclusion of Carroll and Kimball (1996) for the case of the HARA utility function.

Keywords: Consumption function; Concavity; Risk tolerance (search for similar items in EconPapers)
JEL-codes: C6 D91 E21 (search for similar items in EconPapers)
Pages: 3 pages
Date: 2012
New Economics Papers: this item is included in nep-mac
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Citations: View citations in EconPapers (8)

Published in Economics Letters 117 (2012) 99¨C101

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