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A Time-Inconsistent Equilibrium Model

Author

Listed:
  • Tomas Björk

    (Stockholm School of Economics)

  • Mariana Khapko

    (University of Toronto)

  • Agatha Murgoci

    (Ørsted)

Abstract

In this chapter we apply the previously developed theory to a rather detailed study of a general equilibrium model for a production economy with time-inconsistent preferences. The model under consideration is a time-inconsistent version of the classic Cox–Ingersoll–Ross model in Cox et al. (Econometrica, 53:363–384, 1985). Our main objective is to investigate the structure of the equilibrium short rate, the equilibrium Girsanov kernel, and the equilibrium stochastic discount factor. See Appendix A for the necessary background from arbitrage theory.

Suggested Citation

Handle: RePEc:spr:sprfcp:978-3-030-81843-2_20
DOI: 10.1007/978-3-030-81843-2_20
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