المستودع الأكاديمي جامعة المدينة

The consumption-based determinants of the term structure of discount rates

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dc.creator Gollier, Christian
dc.date 2005
dc.date.accessioned 2013-10-16T07:01:03Z
dc.date.available 2013-10-16T07:01:03Z
dc.date.issued 2013-10-16
dc.identifier http://hdl.handle.net/10419/18739
dc.identifier ppn:479113432
dc.identifier.uri http://koha.mediu.edu.my:8181/xmlui/handle/10419/18739
dc.description 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 to global warming or nuclear waste management.
dc.language eng
dc.publisher
dc.relation CESifo working papers 1375
dc.rights http://www.econstor.eu/dspace/Nutzungsbedingungen
dc.subject Q51
dc.subject G12
dc.subject E43
dc.subject ddc:330
dc.subject stochastic dominance
dc.subject yield curve
dc.subject far distant future
dc.subject cost-benefit analysis
dc.subject prudence
dc.subject temperance
dc.subject downside risk
dc.subject Zinsstruktur
dc.subject Zeitpräferenz
dc.subject Abzinsung
dc.subject Kosten-Nutzen-Analyse
dc.subject Theorie
dc.title The consumption-based determinants of the term structure of discount rates
dc.type doc-type:workingPaper


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