Discounting and Divergence of Opinion

Elyès Jouini (1) , Jean-Michel Marin (2, 3) , Clotilde Napp (3, 4)

1 CEREMADE - CEntre de REcherches en MAthématiques de la DEcision
2 SELECT - Model selection in statistical learning
3 CREST - Centre de Recherche en Économie et Statistique
4 DRM - Dauphine Recherches en Management

The objective of this paper is to adopt a general equilibrium model and determine the socially efficient discount factor, risk free rate and discount rate when there are heterogeneous anticipations about the growth of the economy as well as heterogeneous time preference rates. Among others we tackle the following questions. Is the socially efficient discount factor an arithmetic average of the individual subjectively anticipated discount factors? More generally, can the Arrow-Debreu prices, the risk free rates, the subjectively expected socially efficient discount factors and discount rates be obtained as an average of the individual subjectively anticipated ones? Can beliefs dispersion be analyzed as a sort of additional risk or uncertainty leading to possibly lower discount rates? Is it socially efficient, when diversity of opinion is taken into account, to reduce the discount rate per year for more distant horizons? If so, what is the trajectory of the decline?

Mots clés: discount rate; risk free rate

Domaines: Economies et finances

Elyès Jouini, Jean-Michel Marin, Clotilde Napp. Discounting and Divergence of Opinion. Journal of Economic Theory, 2010, 145, pp.830-859. ⟨halshs-00176636v3⟩