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dc.contributor.authorAlvarez, Luis H. R.en_US
dc.contributor.authorKoskela, Erkkien_US
dc.date.accessioned2009-01-28T15:53:50Z-
dc.date.available2009-01-28T15:53:50Z-
dc.date.issued2004en_US
dc.identifier.urihttp://hdl.handle.net/10419/18923-
dc.description.abstractWe use a Wicksellian single rotation framework to analyze the impact of the intertemporally fluctuating and stochastic mean-reverting interest rate process on the optimal harvesting threshold and thereby the expected length of the rotation period, when forest value is also stochastic following geometric Brownian motion and landowners are risk-averse. We provide an explicit solution for the two-dimensional path-dependent rotation problem and demonstrate that higher interest rate volatility increases, while higher risk aversion decreases the optimal harvesting threshold. Moreover, under risk aversion increased forest value volatility decreases the optimal harvesting threshold, while it has no effect under risk neutrality. Numerical illustrations indicate that higher interest rate volatility will raise the expected rotation period at an increasing rate, while higher forest value volatility will decrease its sensitivity under risk aversion.en_US
dc.language.isoengen_US
dc.publisheren_US
dc.relation.ispartofseriesCESifo working papers 1285en_US
dc.subject.jelQ23en_US
dc.subject.jelG31en_US
dc.subject.jelC61en_US
dc.subject.ddc330en_US
dc.subject.keywordforest rotationen_US
dc.subject.keywordrisk aversionen_US
dc.subject.keywordstochastic interest ratesen_US
dc.subject.keywordoptimal stoppingen_US
dc.subject.stwForstökonomieen_US
dc.subject.stwAbholzungen_US
dc.subject.stwSuchtheorieen_US
dc.subject.stwRisikoaversionen_US
dc.subject.stwZinsen_US
dc.subject.stwStochastischer Prozessen_US
dc.subject.stwTheorieen_US
dc.titleDoes risk aversion accelerate optimal forest rotation under uncertainty?en_US
dc.typeWorking Paperen_US
dc.identifier.ppn471337536en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:CESifo Working Papers, CESifo Group Munich

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