Adam Smith Business School

Professor Lukasz Woźny, Warsaw School of Economics

“Dynastic preferences, recursive utility and time consistency” 
Wednesday, 13 March. 12:00
Room 356 Gilbert Scott Building

Abstract

We consider a class of infinite horizon, stochastic, non-stationary dynastic consumption-savings models with general forms of recursive, time varying altruistic preferences including direct and indirect pure  altruism as well as paternalistic altruism. It is well-known such models lead to time-inconsistent dynastic preferences. Within this class of economies, we propose a novel set-iterative procedure for characterizing all Markov perfect time-consistent solutions in the space of increasing investments. Our approach involves both: value function and policy iterations. We prove the existence of Markov Perfect equilibria in stationary, periodic, and also non-stationary strategies. We provide numerous applications to altruistic growth models, behavioral discounting models, and collective household models as well as discuss the role of various certainty equivalence operators.

Bio

I am an Associate Professor at the Warsaw School of Economics, Department of Quantitative Economics. My research interests include stochastic games, large games/economies, time consistency and self control, general equilibrium models, recursive competitive equilibrium, monotone comparative statics (dynamics) and lattice programming.

 

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First published: 27 February 2024