Heterogeneous Impatience in a Continuous-Time Model
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.
|Date of creation:||Aug 2008|
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|Note:||October 25, 2007|
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- Chiaki Hara, 2006.
"Heterogeneous Risk Attitudes In A Continuous-Time Model,"
The Japanese Economic Review,
Japanese Economic Association, vol. 57(3), pages 377-405.
- Chiaki Hara, 2005. "Heterogeneous Risk Attitudes in a Continuous-Time Model," KIER Working Papers 609, Kyoto University, Institute of Economic Research.
- Martin Lettau & Sydney C. Ludvigson & Jessica A. Wachter, 2004.
"The Declining Equity Premium: What Role Does Macroeconomic Risk Play?,"
NBER Working Papers
10270, National Bureau of Economic Research, Inc.
- Martin Lettau & Sydney Ludvigson & Jessica Wachter, 2005. "The declining equity premium: what role does macroeconomic risk play?," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
- Martin Lettau & Sydney C. Ludvigson & Jessica A. Wachter, 2008. "The Declining Equity Premium: What Role Does Macroeconomic Risk Play?," Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1653-1687, July.
- Lettau, Martin & Ludvigson, Sydney & Wachter, Jessica, 2006. "The Declining Equity Premium: What Role Does Macroeconomic Risk Play?," CEPR Discussion Papers 5519, C.E.P.R. Discussion Papers.
- Martin Lettau & Sydney C. Ludvigson, 2004. "The Declining Equity Premium: What Role Does Macroeconomic Risk Play?," 2004 Meeting Papers 644, Society for Economic Dynamics.
- Ravi Jagannathan & Ellen R. McGrattan & Anna Scherbina, 2001.
"The Declining U.S. Equity Premium,"
NBER Working Papers
8172, National Bureau of Economic Research, Inc.
- Hara, Chiaki, 2008.
"Complete Monotonicity of the Representative Consumer's Discount Factor,"
PIE/CIS Discussion Paper
367, Center for Intergenerational Studies, Institute of Economic Research, Hitotsubashi University.
- Hara, Chiaki, 2008. "Complete monotonicity of the representative consumer's discount factor," Journal of Mathematical Economics, Elsevier, vol. 44(12), pages 1321-1331, December.
- Chiaki Hara, 2007. "Complete Monotonicity of the Representative Consumer's Discount Factor," KIER Working Papers 636, Kyoto University, Institute of Economic Research.
- Christian Gollier & Richard Zeckhauser, 2005. "Aggregation of Heterogeneous Time Preferences," Journal of Political Economy, University of Chicago Press, vol. 113(4), pages 878-896, August.
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