英文标题：
《Uncertain growth and the value of the future》
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作者：
Jaume Masoliver, Miquel Montero, Josep Perell\\\'o, John Geanakoplos, J.
  Doyne Farmer
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最新提交年份：
2013
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英文摘要：
  For environmental problems such as global warming future costs must be balanced against present costs. This is traditionally done using an exponential function with a constant discount rate, which reduces the present value of future costs. The result is highly sensitive to the choice of discount rate and has generated a major controversy as to the urgency for immediate action. We study analytically several standard interest rate models from finance and compare their properties to empirical data. From historical time series for nominal interest rates and inflation covering 14 countries over hundreds of years, we find that extended periods of negative real interest rates are common, occurring in many epochs in all countries. This leads us to choose the Ornstein-Uhlenbeck model, in which real short run interest rates fluctuate stochastically and can become negative, even if they revert to a positive mean value. We solve the model in closed form and prove that the long-run discount rate is always less than the mean; indeed it can be zero or even negative, despite the fact that the mean short term interest rate is positive. We fit the parameters of the model to the data, and find that nine of the countries have positive long run discount rates while five have negative long-run discount rates. Even if one rejects the countries where hyperinflation has occurred, our results support the low discounting rate used in the Stern report over higher rates advocated by others.
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中文摘要：
对于全球变暖等环境问题，未来的成本必须与当前的成本相平衡。传统上，这是使用具有恒定贴现率的指数函数来实现的，这会降低未来成本的现值。其结果对贴现率的选择非常敏感，并就立即采取行动的紧迫性引发了重大争议。我们从金融学的角度分析了几种标准利率模型，并将其性质与经验数据进行了比较。从数百年来涵盖14个国家的名义利率和通货膨胀的历史时间序列中，我们发现，在所有国家的许多时期，长期的负实际利率都很常见。这导致我们选择了奥恩斯坦-乌伦贝克模型，在该模型中，实际短期利率随机波动，并可能变为负值，即使它们恢复为正平均值。我们以封闭形式对模型进行了求解，证明了长期贴现率总是小于平均值；事实上，它可以是零，甚至是负的，尽管平均短期利率是正的。我们将模型的参数与数据进行拟合，发现其中九个国家的长期贴现率为正，而五个国家的长期贴现率为负。即使有人拒绝接受发生恶性通货膨胀的国家，我们的结果也支持斯特恩报告中使用的低贴现率，而不是其他人倡导的高贴现率。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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