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http://dspace.mediu.edu.my:8181/xmlui/handle/10419/18739Full metadata record
| DC Field | Value | Language |
|---|---|---|
| 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 | - |
| Appears in Collections: | EconStor | |
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