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Quel taux d actualisation pour quel avenir ?

  • Christian Gollier

[eng] Which Discount Rate for Which Future? The choice of the discount rate raises a very simple question : do we prefer (1 + r)-t euro immediately or 1 euro in t years ? By introspection, one can guess that the answer to this question depends upon our expectations concerning our living standard in t years, and upon the certainty associated to it. In this paper, we clarify the economic content of the theory of the term structure of interest rates in order to build a normative theory of the discount rate. On this basis, we propose that the real discount rate be fixed at 5 % for time horizons less than 30 years. This proposal is based on the assumption that the economy will growth at a rate of 2 % per year during the period, with little uncertainty. However, the uncertainty is exacerbated for longer time horizon, which induces the socially efficient discount rate to decrease for a precautionary motive. Our calibrations lead to the recommendation of a real discount rate at 2,5 % to 3 % per year for time horizons around 100 years, and which asymptotically converges towards a rate around 1 to 2,5 % for the very distant future. [fre] Christian Gollier Quel taux d'actualisation pour quel avenir? Le choix du taux d'actualisation pose une question très simple : préférons- nous (/ + r)-t euro avec certitude tout de suite ou 1 euro avec certitude dans t années ? Par introspection, on devine que la réponse à cette question dépend de nos anticipations sur notre niveau de vie dans t années, et sur l'incertitude qui entoure cette espérance. Dans cet article, nous clarifions le contenu économique de la théorie classique de la structure par terme des taux d'intérêt pour construire un modèle normatif du taux d'actualisation. Sur cette base, nous militons pour un taux d'actualisation réel de 5 % par an pour des horizons temporels t inférieurs à 30 ans. Ce taux est basé sur l'hypothèse d'une croissance du PIB par habitant de 2 % par an et d'une incertitude faible sur cette croissance à cet horizon. Par contre, pour des horizons temporels plus éloignés, il faut tenir compte d'une forte augmentation de l'incertitude relative à la croissance économique. Nos calibrations nous conduisent à recommander un taux réel décroissant avec t, de 2,5 % à 3 % par an à un horizon de 100 ans, et convergeant autour de 1 à 2,5 % par an pour des horizons très éloignés.

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Article provided by Programme National Persée in its journal Revue française d'économie.

Volume (Year): 19 (2005)
Issue (Month): 4 ()
Pages: 59-81

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Handle: RePEc:prs:rfreco:rfeco_0769-0479_2005_num_19_4_1560
Note: DOI:10.3406/rfeco.2005.1560
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