Communication Dans Un Congrès Année : 2013

Term Structure of Discount Rates under Multivariate s-Ordered Consumption Growth

Résumé

The statistical relationship between future changes in consumption can be exploited to derive, under certain assumptions on investor preferences, an unambiguous e ect on the yield-curve shape of zero-coupon bonds, viz., the term structure of discount rates. Thus, an increase in concordance in uncertain consumption growth has a negative impact on the yield-curve slope if, and only if, the representative investor is correlation averse (Gollier, Pricing the future, to appear). Using multivariate ~s-concave stochastic orderings, this note generalizes this relationship to multivariate higher-order risk preferences. The result under concordance is included for bivariate (1,1)-concave orders. The e ect on the yield curve decreases absolutely with initial consumption for a given stochastic deterioration in the random addends to initial consumption. In an approximate representation of the interest rate for the univariate case, the e ects on the yield curve are controlled by the Ross coe cients of risk aversion.

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Dates et versions

hal-01208940 , version 1 (02-10-2015)

Identifiants

  • HAL Id : hal-01208940 , version 1
  • PRODINRA : 255274

Citer

Christoph Heinzel. Term Structure of Discount Rates under Multivariate s-Ordered Consumption Growth. 15. International Conference Foundations and Applications of Utility, Risk and Decision Theory (FUR), International Conference on the Foundations and Applications of Utility, Risk and Decision Theories. NOR., Jun 2012, Atlanta, United States. 19 p. ⟨hal-01208940⟩
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