Heterogeneous Impatience of Individual Consumers and Decreasing Impatience of the Representative Consumer
Chiaki Hara ()
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Chiaki Hara: Institute of Economic Research, Kyoto University
No 1009, KIER Working Papers from Kyoto University, Institute of Economic Research
In a continuous-time equilibrium model of heterogeneous consumers, we formulate and prove the statement that the more heterogeneous the consumers are in their impatience, the more dynamically consistent the representative consumer is. We apply this result to interest rate models, and, in particular, accommodate heterogeneous impatience in the model of Cox, Ingersoll, and Ross (1985) to come up with a new form of short-rate processes.
Keywords: Discount factor; discount rate; representative consumer; decreasing impatience; cumulant-generating function; term structure of interest rates; short-rate processes (search for similar items in EconPapers)
JEL-codes: D51 D53 D61 D81 D91 E43 G12 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mac and nep-ore
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