Ir al contenido

Documat

The value of the distant future: The process of discount in random environments

    1. [1] Universitat de Barcelona

      Universitat de Barcelona

      Barcelona, España

  • Localización: Estudios de economía aplicada, ISSN 1133-3197, ISSN-e 1697-5731, Vol. 37, Nº 2, 2019 (Ejemplar dedicado a: Econofísica: aplicaciones en el ámbito de la Economía), págs. 125-149
  • Idioma: inglés
  • DOI: 10.25115/eea.v37i2.2601
  • Títulos paralelos:
    • El valor del futuro distante: El proceso de descuento en entornos aleatorios
  • Enlaces
  • Resumen
    • español

      Se analizan como deben comparase los costos futuros con los costos presentes. Generalmente este proceso se realiza mediante una función exponencial con una tasa constante de descuento. La elección de dicha tasa afecta de forma crítica cual es el valor del futuro. Ello es estratégico para los problemas medioambientales como el calentamiento global y ha generado una gran controversia sobre la urgencia en tomar las medidas adecuadas de forma inmediata (Stern, 2006; Nordhaus, 2007 a,b). Revisamos de forma breve el problema para el no especialista y tenemos en cuenta la aleatoriedad en la evolución económica mediante el estudio de tres modelos ampliamente usados para la evolución dinámica de los tipos de interés: Los procesos de Ornstein-Uhlenbeck, Feller y el log-normal. También resumimos un estudio empírico que hemos realizado sobre 9 países estables durante periodos de tiempo que pueden llegar a los 300 años (Farmer et. al. 2014). Usando el modelo de OrnsteinUhlenbeck estimamos de los datos empíricos los parámetros del modelo lo que nos permite obtener las tasa de descuento a largo plazo de estos países estables. Las tasas de descuento así obtenidas avalan la baja tasa de descuento propuesta por Stern (2006) en lugar de la más elevada propuesta por otros investigadores (Nordhauss, 2007 a,b)

    • English

      We analyze how future costs must be balanced against present costs. This is traditionally done using an exponential function with a constant discount rate. The choice of discount rate can dramatically e_ect the question on what is the value of the future. This is specially critical for environmental problems such as global warming, and it has generated a controversy as to the urgency for immediate action (Stern, 2006;

      Nordhaus, 2007a,b). We briey review the issue for the nonspecialist and take into account the randomness of the economic evolution by studying the discount function of three widely used processes for the dynamics of interest rates: Ornstein-Uhlenbeck, Feller and log-normal.We also outline our previous empirical survey on 9 stable countries (countries that have not su_ered periods of destabilizing ination) over time spans ranging up to more than 300 years (Farmer et. al. 2014). We estimate the parameters of one of the models studied (the Ornstein-Uhlenbeck process) and obtain the long-run discount rate for all these countries. The long-run discount obtained supports the low discounting rate proposed by Stern (2006) over higher rates that have been advocated by others (Nordhaus, 2007a,b).

  • Referencias bibliográficas
    • ARROW, K. J., CROPPER, M. L., GOLLIER, C., GROOM, B., HEAL, G. M., NEWELL, R. G., NORDHAUS, W. D., PINDYCK, R. S., PIZER, W. A., PORTNEY,...
    • BRIGO, D., MERCURIO, F., 2006. Interest Rate Models- Theory and Practice. Springer-Verlag, Berlin and New York.
    • COX, J. C., INGERSOLL, J. E., ROSS, S. A., 1981. A re-examination of the traditional hypothesis about the term structure of interest rates....
    • COX, J. C., INGERSOLL, J. E., ROSS, S. A., 1985. A theory of the term structure of interest rates. Econometrica 53, 385-407.
    • DASGUPTA, P., 2004. Human Well-Being and the Natural Environment. Oxford University Press, Oxford.
    • DASGUPTA, P., 2006. Comments on the Stern Review's Economics of Climate Change. Cambridge University Press, Cambridge.
    • DOTHAN, L. U., 1978. On the term structure of interest rates. Journal of Financial Economics 6, 59-69.
    • DUFFIE, D., 2001. Dynamic asset pricing theory. Princeton University Press, Princeton.
    • FARMER, J. D., GEANAKOPLOS, J., 2009. Hyperbolic discount is rational: Valuing the far future with uncertain discount rates. Working paper,...
    • FARMER, J. D., GEANAKOPLOS, J., MASOLIVER, J., MONTERO, M., PERELLO, J., 2014. Discounting the distant future. Cowles Foundation Discussion...
    • FARMER, J. D., GEANAKOPLOS, J., MASOLIVER, J., MONTERO, M., PERELLO, J., 2015. Value of the future: Discounting in random environments. Physical...
    • FARMER, J. D., GEANAKOPLOS, J., MASOLIVER, J., MONTERO, M., PERELLO, J., RICHIARDI, M. G., 2019. Discounting the distant future: What do historical...
    • FELLER, W., 1951. Two singular diffusion processes. Annals of Mathematics 54, 173-182.
    • GARDINER, C., 1986. Handbook os Stochastic Methods. Springer-Verlag, Berlin.
    • GEANAKOPLOS, J., SUDDERTH, W., ZEITOUINI, O., 2014. Asymptotic behavior of a stochastic discount rate. Indian Journal of Statistics 76-A,...
    • GIGLIO, S., MAGGIORI, M., STROEBEL, J., 2015. Very long-run discount rates. Quarterly Journal of Economics 130, 1.
    • GILLES, C., LEROY, S. F., 1986. A note on the local expectation hypothesis. Journal of Finance 41, 975-979.
    • HEAL, G. M., MILNER, A., 2014. Agreeing to disagree on climate policy. Proceedings National Academy of Sciences, USA 111, 3695.
    • MASOLIVER, J., 2018. Random Processes, First-passage and Escape. World Scientific, Singapore.
    • MASOLIVER, J., PERELLÓ, J., 2012. First-passage and escape in the feller process. Phy. Rev. E 86, 041116.
    • MENDELSOHN, R. O., 2006. A critique of the stern report. Regulation 29, 42-46.
    • NEWELL, R., PIZER, N., 2003. Discounting the distant future: How much do uncertain rates increase valuations? Journal Environmental Economy...
    • NORDHAUS, W. D., 2007a. Critical assumptions in the stern review on climate change. Science 317, 201-202.
    • NORDHAUS, W. D., 2007b. The stern review on the economics of climate change. Journal Economics Literature 45, 687-702.
    • NORDHAUS, W. D., 2008. A Question of Balance. Yale University Press, New Haven.
    • PERELLÓ, J., MONTERO, M., MASOLIVER, J., FARMER, J. D., GEANAKOPLOS, J., 2019. Different economic scenarios increase the urgency to combat...
    • PIAZZESI, M., 2009. A_ne term structure models. In: Sahala, Y. A., Hansen, L. P. (Eds.), The handbook of _nancial econometrics. Elsevier,...
    • PITT, H. R., 1958. Tauberian Theorems. Oxford University Press, Oxford.
    • RAMSEY, F. P., 1928. A mathematical theory of savings. Economic Journal 38, 543-559.
    • SAMUELSON, P., 1937. A note on measurement of utility. Review of Economic Studies 4, 155.
    • STERN, N., 2006. The Economics of Climate Change: The Stern Review. Cambridge University Press, Cambridge.
    • STERN, N., 2014a. Ethics, equity and the economics of climate change. paper 1: Science and philosophy. Economics and Philosophy 30, 397.
    • STERN, N., 2014b. Ethics, equity and the economics of climate change. paper 2: Economics and politics. Economics and Philosophy 30, 445.
    • VASICEK, O., 1977. An equilibrium characterization of the term structure. Journal of Financial Economics 5, 177-188.
    • WEITZMAN, M. L., 2007. A review on the stern review on the economics of climate change. Journal of Economics Literature 45, 703-724.
Fundación Dialnet

Mi Documat

Opciones de artículo

Opciones de compartir

Opciones de entorno