QUASI-GEOMETRIC DISCOUNTING: A CLOSED-FORM SOLUTION UNDER THE EXPONENTIAL UTILITY FUNCTION

This paper studies a discrete-time utility maximization problem of an infinitely-lived quasi-geometric consumer whose labor income is subject to uninsurable idiosyncratic productivity shocks. We restrict attention to a first-order Markov recursive solution. We show that under the assumption of the exponential utility function, the problem of the quasi-geometric consumer admits a closed-form solution.

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Year of publication:	2003-04
Authors:	Maliar, Lilia ; Maliar, Serguei
Institutions:	Instituto Valenciano de Investigaciones Económicas (IVIE)
Subject:	quasi-geometric (quasi-hyperbolic) discounting \| idiosyncratic shocks \| closed-form solution

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Extent:	application/pdf
Series:	Working Papers. Serie AD.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Published by Ivie 11 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005212554