Discounting and Growth

• 成果类型: Article; Proceedings Paper
• 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: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.104.5.534
• 发表日期: 2014
• 页码: 534-537
• 关键词: future

摘要

In a growing economy, investing in safe projects raises intergenerational inequalities. This deteriorates social welfare because of inequality aversion, as expressed by decreasing marginal utility of consumption. The social discount rate can be interpreted as the minimum rate of return that is necessary to compensate for the increased inequality generated by the investment. For an intuitive precautionary argument, this growth effect is reduced if growth is uncertain. To complete the picture, if the investment raises the collective risk, this discount rate should also contain a risk premium. Recent developments (Weitzman 1998, 2001, 2013; Gollier 2008; Arrow et al. 2013) converge toward recommending using a smaller discount rate for safe assets maturing later. In this paper, I show that this recommendation applied to the risk-free rate relies on the assumption that shocks on the growth rate of consumption exhibit some degree of persistence. I also show that this implies in parallel an increasing term structure for the risk premium. Globally, the risk-adjusted discount rate will have a decreasing term structure only if the asset's beta is small enough.