Discounting and divergence of opinion

• 成果类型: Article
• 署名作者: Jouini, Elyes; Marin, Jean-Michel; Napp, Clotilde
• 署名单位: Universite PSL; Universite Paris-Dauphine; Universite de Montpellier; Centre National de la Recherche Scientifique (CNRS); CNRS - Institute for Humanities & Social Sciences (INSHS); Universite PSL; Universite Paris-Dauphine
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2010.01.002
• 发表日期: 2010
• 页码: 830-859
• 关键词: discounting; yield curve; Divergence of opinion; Gamma discounting; Costs and benefits analysis; Ramsey formula; Discount rate

摘要

Agents impatience rate and their anticipations about the future of the economy, are two essential determinants of the equilibrium discount rate, as illustrated by the Ramsey formula. Heterogeneity in time preference rates and in anticipations is widely acknowledged. Our objective is to determine the equilibrium discount rate when this heterogeneity is taken into account. Among others we tackle the following questions: As an additional risk or uncertainty, can dispersion in agents characteristics lead to lower discount rates? What is the asymptotic behavior of the discount rate in such a setting? More generally, what is the shape of the yield curve? (C) 2010 Elsevier Inc. All rights reserved.