Time horizon and the discount rate

• 成果类型: Article
• 署名作者: Gollier, C
• 署名单位: Universite de Toulouse
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1006/jeth.2001.2952
• 发表日期: 2002
• 页码: 463-473
• 关键词: discounting; uncertain growth; prudence; time horizon

摘要

We consider an economy a la Lucas (1978, Econometrica 46, 1429-1446) with a risk-averse representative agent. The exogenous growth rate of the economy follows a random walk. We characterize the set of utility functions for which it is efficient to discount more distant cash flows at a lower rate. The benchmark result is that, when the growth rate is almost surely nonnegative, the yield curve is decreasing if and only if relative risk aversion is decreasing with wealth. Relaxing the assumption on the absence of recession requires more restrictions on preferences, such as increasing relative prudence. (C) 2002 Elsevier Science (USA).