Discounting and Divergence of Opinion

Egalement paru dans la série des Cahiers de la Chaire "Les Particuliers face au Risques, n° 2008/3 - "http://www.ifd.dauphine.fr/fr/site/ifd/les-chaires-d-entreprise/les-particuliers-face-aux-risques/les-cahiers-de-la-chaire.htmlThe objective of this paper is to adopt a general equilibrium model and determine the socially efficient discount factor and discount rate when there are heterogeneous anticipations about the future 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 as in the certainty equivalent approach of Weitzman (1998, 2001) ? As a sort of additional risk or uncertainty, can beliefs dispersion lead to 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 ? More generally, what is then the shape of the yield curve ?ou