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Communication Dans Un Congrès Année : 2010

Term structure of discount rates under (s1,s2)-ordered consumption growth

Christoph Heinzel

Résumé

The statistical relationship between future changes in consumption can be exploited to derive, under certain assumptions on investor preferences, an unambiguous effect 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). This note restates this result in terms of bivariate (1,1)- concave stochastic orderings, and provides a generalization to (s1; s2)-concave stochastic orderings and higher-order risk preferences.
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Dates et versions

hal-02817568 , version 1 (06-06-2020)

Identifiants

  • HAL Id : hal-02817568 , version 1
  • PRODINRA : 48648

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Christoph Heinzel. Term structure of discount rates under (s1,s2)-ordered consumption growth. 80. Annual Meeting of the Southern Economic Association (SEA), University of Tennessy. Southern Economic Association, Chattanooga, USA., Nov 2010, Atlanta, United States. 16 p. ⟨hal-02817568⟩
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