• français
    • English
  • français 
    • français
    • English
  • Connexion
JavaScript is disabled for your browser. Some features of this site may not work without it.
Accueil

Afficher

Cette collectionPar Date de CréationAuteursTitresSujetsNoms de revueToute la baseCentres de recherche & CollectionsPar Date de CréationAuteursTitresSujetsNoms de revue

Mon compte

Connexion

Statistiques

Afficher les statistiques d'usage

Hyperbolic or exponential time discounting function? Empirical est using a conditional Consumption Capital Asset Pricing Model

Thumbnail
Date
2020
Autres titres
Fonction d'acatualisation temporelle hyperbolique ou exponentielle? Un test empirique à partir d'un CCAPM conditionnel
Indexation documentaire
Taux d’intérêt
Subject
discount rate; Subjective time preference rates; Consumption-based model; Interest term structure
Code JEL
G.G1.G10; E.E4.E43
Nom de la revue
Finance
Date de publication
2020
Nom de l'éditeur
Presses universitaires de Grenoble
A paraître
oui
URI
https://basepub.dauphine.fr/handle/123456789/21034
Collections
  • DRM : Publications
Métadonnées
Afficher la notice complète
Auteur
De La Bruslerie, Hubert
1032 Dauphine Recherches en Management [DRM]
Coën, Alain
12240 University of Quebec at Montreal, Montreal, Quebec, Canada
Type
Article accepté pour publication ou publié
Résumé en anglais
The main objective in this article is to shed new light on the term structure of subjective time preference rates using a conditional Consumption Capital Asset Pricing Model. Following Samuelson’s (1937)’s suggestion, we analyze the concept of “time consistency”. More precisely, we challenge the relevance of the exponential time discounting function assumption, which leads to a constant subjective time preference rate. First, we develop a parsimonious, consumption-based model of the term structure of interest rates. Second, we test its implications for US monthly data from 1970:4 to 2013:1. We use a bivariate two-factor model of inflation and real consumption (through a VAR-GARCH process) to condition the term premiums of bonds. Our results clearly cast doubt on the assumption of a flat term structure, as implied by the standard exponential discounting function. A decreasing term structure of time preference rates is reported. It is particularly clear for the 1991-2013 period. Our results give strong support for the hyperbolic time discounting function hypothesis and open the way for the hypothesis of time varying time preference rates.

  • Accueil Bibliothèque
  • Site de l'Université Paris-Dauphine
  • Contact
SCD Paris Dauphine - Place du Maréchal de Lattre de Tassigny 75775 Paris Cedex 16

 Cette création est mise à disposition sous un contrat Creative Commons.