HERMES-IR : Research & Education Resources

Number of Access this item:1,253（2024-04-24 06:38 Counts）

Identifier to cite or link to this item: https://hdl.handle.net/10086/15916

Link to primary information

File	Format	Size	Views	Description
cover_15916	pdf
pie_dp396	pdf	175 KB	1,742

Item Information

Output File

Title	Heterogeneous Impatience in a Continuous-Time Model
Creator	Creator Name Hara, Chiaki Hara, Chiaki 原, 千秋原, 千秋ハラ, チアキハラ, チアキ Affiliation Affiliation Name Kyoto University
Editor	Contributor Name 世代間問題研究プロジェクト（世代間問題の経済分析） = Economic Analysis of Intergenerational Issues, Project on Intergenerational Equity
Editor	Contributor Name 一橋大学経済研究所世代間問題研究機構 = Center for Intergenerational Studies, Institute of Economic Research, Hitotsubashi University
Key Word	Representative consumer
	expected utility
	time additivity
	multiplicative separability
	impatience
	risk tolerance
	state-price deflator
	short-rate process
	complete monotonicity
JEL	D51
	D53
	D61
	D81
	D91
	G12
	G13
Abstract	In a continuous-time economy with complete markets, we show how the heterogeneity in the individual consumers' risk attitudes and impatience would affect the representative consumer's counterparts. Specifically, our formulas tell us how his risk tolerance and impatience will change over time, and how his impatience will be affected by the changes in aggregate consumption levels. Under the assumption of equal and constant relative risk aversion across individual consumers, we characterize his discount factor by means of a completely monotone function of time. These results are used to analyze short-rate processes.
Description	October 25, 2007
Publisher	Institute of Economic Research, Hitotsubashi University
Issued Date	2008-08
Language	English(eng)
Resource Type	technical report
Version Type	VoR
Is Part OfRelation -	Related Title PIE/CIS Discussion Paper ; No. 396
Relation	Related Identifier URI http://cis.ier.hit-u.ac.jp/English/
Relation	Related Identifier URI http://www.ier.hit-u.ac.jp/pie/stage2/Japanese/
Number of Pages	14
Sponsorship	科学研究費補助金（特別推進研究） = Grant-in-Aid for Specially Promoted Research
Appears in Collections	PIE/CIS Discussion paper
URL	https://hdl.handle.net/10086/15916