Arbeitspapier
Intertemporal Hedging and Trade in Repeated Games with Recursive Utility
Recursive preferences have found widespread application in representative-agent asset-pricing models and general equilibrium. A majority of these applications exploit two decision-theoretic properties not shared by the standard model of intertemporal choice: (i) agents care about the intertemporal distribution of risk and (ii) rates of time preference, rather than being exogenously fixed, may vary with the level of consumption. We investigate what these features imply in the context of a repeated strategic interaction. Specifically, we identify novel opportunities for the players to manage risk and trade intertemporally, and characterize when such opportunities lead to an expansion of the feasible set of payoffs. Sharp implications for equilibrium behavior and the folk theorem are also deduced.
- Sprache
-
Englisch
- Erschienen in
-
Series: Discussion Paper ; No. 361
- Klassifikation
-
Wirtschaft
- Thema
-
recursive utility
repeated games
correlation aversion
endogenous discounting
intertemporal trade
intertemporal hedging
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Kochov, Asen
Song, Yangwei
- Ereignis
-
Veröffentlichung
- (wer)
-
Ludwig-Maximilians-Universität München und Humboldt-Universität zu Berlin, Collaborative Research Center Transregio 190 - Rationality and Competition
- (wo)
-
München und Berlin
- (wann)
-
2022
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Kochov, Asen
- Song, Yangwei
- Ludwig-Maximilians-Universität München und Humboldt-Universität zu Berlin, Collaborative Research Center Transregio 190 - Rationality and Competition
Entstanden
- 2022
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