Show simple item record

hal.structure.identifierDauphine Recherches en Management [DRM]
dc.contributor.authorDe La Bruslerie, Hubert
hal.structure.identifierUniversity of Quebec at Montreal, Montreal, Quebec, Canada
dc.contributor.authorCoën, Alain
dc.date.accessioned2020-10-02T08:21:30Z
dc.date.available2020-10-02T08:21:30Z
dc.date.issued2020
dc.identifier.issn0752-6180
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/21034
dc.language.isoenen
dc.subjectdiscount rateen
dc.subjectSubjective time preference ratesen
dc.subjectConsumption-based modelen
dc.subjectInterest term structureen
dc.subject.ddc332en
dc.subject.classificationjelG.G1.G10en
dc.subject.classificationjelE.E4.E43en
dc.titleHyperbolic or exponential time discounting function? Empirical est using a conditional Consumption Capital Asset Pricing Modelen
dc.title.alternativeFonction d'acatualisation temporelle hyperbolique ou exponentielle? Un test empirique à partir d'un CCAPM conditionnelen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenThe 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.en
dc.relation.isversionofjnlnameFinance
dc.relation.isversionofjnldate2020
dc.relation.isversionofjnlpublisherPresses universitaires de Grenobleen
dc.subject.ddclabelTaux d’intérêten
dc.relation.forthcomingouien
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenonen
dc.description.halcandidateouien
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewedouien
dc.relation.Isversionofjnlpeerreviewedouien
dc.date.updated2020-10-02T08:14:08Z
hal.identifierhal-02955637*
hal.version1*
hal.author.functionaut
hal.author.functionaut


Files in this item

FilesSizeFormatView

There are no files associated with this item.

This item appears in the following Collection(s)

Show simple item record