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Stochastic endogenous time preference

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  • Higashi, Youichiro
  • Hyogo, Kazuya
  • Takeoka, Norio

Abstract

Preference for flexibility arises inherently in sequential decision making. However, a majority of the literature has limitations to capture a changing preference for flexibility across time in the sense that such an attitude is independent of past actions. This study incorporates the histories of past actions into an infinite-horizon extension of Dekel et al. (2001) and models a decision maker whose attitude toward flexibility evolves over time from the uncertainty of future time preference or discount factors. Moreover, we provide behavioral comparisons of the degree of patience across different histories and characterize the shift of subjective beliefs about discount factors in the sense of an increasing convex and concave stochastic order.

Suggested Citation

  • Higashi, Youichiro & Hyogo, Kazuya & Takeoka, Norio, 2014. "Stochastic endogenous time preference," Journal of Mathematical Economics, Elsevier, vol. 51(C), pages 77-92.
  • Handle: RePEc:eee:mateco:v:51:y:2014:i:c:p:77-92
    DOI: 10.1016/j.jmateco.2014.01.011
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    References listed on IDEAS

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    Cited by:

    1. Youichiro Higashi & Kazuya Hyogo & Norio Takeoka & Hiroyuki Tanaka, 2017. "Comparative impatience under random discounting," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 63(3), pages 621-651, March.
    2. Piermont, Evan & Takeoka, Norio & Teper, Roee, 2016. "Learning the Krepsian state: Exploration through consumption," Games and Economic Behavior, Elsevier, vol. 100(C), pages 69-94.
    3. Mira Frick & Ryota Iijima & Tomasz Strzalecki, 2017. "Dynamic Random Utility," Cowles Foundation Discussion Papers 2092, Cowles Foundation for Research in Economics, Yale University.
    4. Roee Teper, 2016. "Learning the Krepsian State: Exploration Through Consumption," Working Paper 5860, Department of Economics, University of Pittsburgh.

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