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dc.contributor.authorGollier, Christianen_US
dc.date.accessioned2009-01-28T15:52:32Z-
dc.date.available2009-01-28T15:52:32Z-
dc.date.issued2005en_US
dc.identifier.urihttp://hdl.handle.net/10419/18739-
dc.description.abstractThe efficient rate of return of a zero-coupon bond with maturity t is determined by our expectations about the mean (+), variance (-) and skewness (+) of the growth of aggregate consumption between 0 and t. The shape of the yield curve is thus determined by how these moments vary with t. We first examine growth processes in which a higher past economic growth yields a first-degree dominant shift in the distribution of the future economic growth, as assumed for example by Vasicek (1977). We show that when the growth process exhibits such a positive serial correlation, then the yield curve is decreasing if the representative agent is prudent (u ' > 0), because of the increased risk that it yields for the distant future. A similar definition is proposed for the concept of second-degree stochastic correlation, as observed for example in the Cox-Ingersoll-Ross model, with the opposite comparative static property holding under temperance (u ' < 0), because the change in downside risk (or skweness) that it generates. Finally, using these theoretical results, we propose two arguments in favor of using a smaller rate to discount cash-flows with very large maturities, such as those associated to global warming or nuclear waste management.en_US
dc.language.isoengen_US
dc.publisheren_US
dc.relation.ispartofseriesCESifo working papers 1375en_US
dc.subject.jelQ51en_US
dc.subject.jelG12en_US
dc.subject.jelE43en_US
dc.subject.ddc330en_US
dc.subject.keywordstochastic dominanceen_US
dc.subject.keywordyield curveen_US
dc.subject.keywordfar distant futureen_US
dc.subject.keywordcost-benefit analysisen_US
dc.subject.keywordprudenceen_US
dc.subject.keywordtemperanceen_US
dc.subject.keyworddownside risken_US
dc.subject.stwZinsstrukturen_US
dc.subject.stwZeitpräferenzen_US
dc.subject.stwAbzinsungen_US
dc.subject.stwKosten-Nutzen-Analyseen_US
dc.subject.stwTheorieen_US
dc.titleThe consumption-based determinants of the term structure of discount ratesen_US
dc.typeWorking Paperen_US
dc.identifier.ppn479113432en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:CESifo Working Papers, CESifo Group Munich

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