Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
957559 | Journal of Economic Theory | 2010 | 30 Pages |
Abstract
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?
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Elyès Jouini, Jean-Michel Marin, Clotilde Napp,