Term Structure of Discount Rates under Multivariate s-Ordered Consumption Growth

le travail qui a fait l'objet de présentation à la conférence est actuellement en cours. IL a fait l'objet de présentation dans les évènements suivantes: 39. Seminar of the European Group of Risk and Insurance Economists (EGRIE) ; Palma de Mallorca (Espagne) - (2012-09-17 - 2012-10-19) - Séminaire/ 15. International Conference: Foundations and Applications of Utility, Risk and Decision Theory (FUR): Georgia State University, Atlanta, Georgia USA - (2012-06-30 - 2012-07-03) - ConferenceInternational audienceThe statistical relationship between future changes in consumption can be exploited to derive, under certain assumptions on investor preferences, an unambiguous e ect on the yield-curve shape of zero-coupon bonds, viz., the term structure of discount rates. Thus, an increase in concordance in uncertain consumption growth has a negative impact on the yield-curve slope if, and only if, the representative investor is correlation averse (Gollier, Pricing the future, to appear). Using multivariate ~s-concave stochastic orderings, this note generalizes this relationship to multivariate higher-order risk preferences. The result under concordance is included for bivariate (1,1)-concave orders. The e ect on the yield curve decreases absolutely with initial consumption for a given stochastic deterioration in the random addends to initial consumption. In an approximate representation of the interest rate for the univariate case, the e ects on the yield curve are controlled by the Ross coe cients of risk aversion