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https://hdl.handle.net/10419/18739
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DC Field | Value | Language |
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dc.contributor.author | Gollier, Christian | en |
dc.date.accessioned | 2009-01-28T15:52:32Z | - |
dc.date.available | 2009-01-28T15:52:32Z | - |
dc.date.issued | 2005 | - |
dc.identifier.uri | http://hdl.handle.net/10419/18739 | - |
dc.description.abstract | The 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 toglobal warming or nuclear waste management. | en |
dc.language.iso | eng | en |
dc.publisher | |aCenter for Economic Studies and ifo Institute (CESifo) |cMunich | en |
dc.relation.ispartofseries | |aCESifo Working Paper |x1375 | en |
dc.subject.jel | Q51 | en |
dc.subject.jel | G12 | en |
dc.subject.jel | E43 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | stochastic dominance | en |
dc.subject.keyword | yield curve | en |
dc.subject.keyword | far distant future | en |
dc.subject.keyword | cost-benefit analysis | en |
dc.subject.keyword | prudence | en |
dc.subject.keyword | temperance | en |
dc.subject.keyword | downside risk | en |
dc.subject.stw | Zinsstruktur | en |
dc.subject.stw | Zeitpräferenz | en |
dc.subject.stw | Abzinsung | en |
dc.subject.stw | Kosten-Nutzen-Analyse | en |
dc.subject.stw | Theorie | en |
dc.title | The consumption-based determinants of the term structure of discount rates | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 479113432 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
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