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Term structure of psychological interest rates: A behavioural test

dc.contributor.authorde La Bruslerie, Hubert
dc.date.accessioned2010-01-18T14:11:08Z
dc.date.available2010-01-18T14:11:08Z
dc.date.issued2009
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/3033
dc.language.isoenen
dc.subjectpsychological time valueen
dc.subjectbehavioural economicsen
dc.subjecttime preferenceen
dc.subjectrisk aversionen
dc.subjecthyperbolic discounting
dc.subject.ddc332en
dc.subject.classificationjelD3en
dc.subject.classificationjelD91en
dc.subject.classificationjelC9en
dc.titleTerm structure of psychological interest rates: A behavioural testen
dc.typeCommunication / Conférence
dc.description.abstractenMany empirical and behavioral studies underline the idea of a non-flat term structure of subjective interest rates with a decreasing slope. Using an empirical test, this paper aims at identifying in individual behaviors whether agents see their psychological value of time decreasing or not. We show that the subjective interest rate follows a negatively sloped term structure. It can be parameterized using two variables, one specifying the instantaneous time preference, the other characterizing the slope of the term structure. A trade-off law called “balancing pressure law” is identified between these two parameters. We show that the term structure of psychological rates depends strongly on gender, but appears not to be linked with life expectancy. We also question the cross relationship between risk aversion and time preference. From a theoretical point of view, these two variables stand as two different and independent dimensions of choice. However, empirically, both time preference attitude and slope seem directly influenced by risk attitude.en
dc.identifier.citationpages40en
dc.description.sponsorshipprivateouien
dc.subject.ddclabelEconomie financièreen
dc.relation.conftitleAFFI (Association Française de Finance)en
dc.relation.confdate2009-12
dc.relation.confcityParisen
dc.relation.confcountryFranceen


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