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Communication dans un congrès

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

Abstract : 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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Communication dans un congrès
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Déposant : Migration Prodinra <>
Soumis le : samedi 6 juin 2020 - 14:53:59
Dernière modification le : vendredi 12 juin 2020 - 10:43:26


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



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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