『Subjective Random Discounting and Intertemporal Choice』
会場: 経済学部第二校舎棟5階 ５４５共同研究室
司会: 井手一郎助教授 （本学経済学部）
This paper provides an axiomatic foundation for a particular type of reference 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 Dekel, Lipman, and Rustichini (2001, Econometrica) and identify the behavior that reduces all the subjective uncertainties to those about future discount factors. We show uniqueness of the 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's. Finally, The resulting model is applied to a consumption-saving problem and an optimal stopping problem.