Gamma discounters are short-termist

• 成果类型: Article
• 署名作者: Gollier, Christian
• 署名单位: Universite de Toulouse; Universite Toulouse 1 Capitole; Toulouse School of Economics
• 刊物名称: JOURNAL OF PUBLIC ECONOMICS
• ISSN/ISSBN: 0047-2727
• DOI: 10.1016/j.jpubeco.2016.08.006
• 发表日期: 2016
• 页码: 83-90
• 关键词: Decreasing discount rates; expectations hypothesis; uncertain growth; Weitzman-Gollier puzzle

摘要

Using the gamma discounting argument of Weitzman (1998, 2001) when future interest rates are uncertain, several countries have decided to base their investment and sustainability policy evaluation on a decreasing term structure of discount rates. We show that this interpretation of the gamma discounting argument is in fact equivalent to the Local Expectations Hypothesis, a hypothesis globally rejected in empirical finance. We also show that gamma discounters are time-inconsistent and short-termist when shocks to economic growth are persistent. This is because they fail to account for the correlation between future consumption levels and spot interest rates. (C) 2016 Elsevier B.V. All rights reserved.