Discounting the Distant Future: What Do Historical Bond Prices Imply about the Long-Term Discount Rate?

Discounting the Distant Future: What Do Historical Bond Prices Imply about the Long-Term Discount Rate?

We present a thorough empirical study on real interest rates by also including risk aversion through the introduction of the market price of risk. From the viewpoint of complex systems science and its multidisciplinary approach, we use the theory of bond pricing to study the long-term discount rate...

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Bibliographic Details
Main Authors: J. Doyne Farmer, John Geanakoplos, Matteo G. Richiardi, Miquel Montero, Josep Perelló, Jaume Masoliver
Format: Article
Language:English
Published: MDPI AG 2024-02-01
Series:Mathematics
Subjects:
Ornstein–Uhlenbeck
stochastic process
discount
climate
interest rates
Online Access:https://www.mdpi.com/2227-7390/12/5/645

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