"Non-Stationary Additive Utility and Time Consistency"
Jeudi 9 janvier de 12h30 à 13h30 en salle C322, Nicolas Drouhin (ENS Paris Saclay) nous présentera son article intitulé "Non-Stationary Additive Utility and Time Consistency".
Abstract. Within a continuous time life cycle model of consumption and savings, I study the properties of the most general class of additive intertemporal utility functionals. They are not necessarily stationary, and do not necessarily multiplicatively separate a discount factor from “per-period utility". I prove rigorously that time consistency holds if and only if the per-period felicity function is multiplicatively separable in t, the date of decision and in s, the date of consumption, or equivalently, if the Fisherian instantaneous subjective discount rate does not depend on t. The model allows to explain “anomalies in intertemporal choice" even when the agents are time consistent and various empirical regularities. On the other hand, the model allows to characterize mathematically the “effective consumption profile" of naive, time-inconsistent agents.