Wicksellian theory of forest rotation under interest rate variability

被引：14

作者：

Alvarez, LHR ^{[1
]}

Koskela, E

机构：

[1] Turku Sch Econ & Business Adm, Dept Econ Quantitat Methods Management, FIN-20500 Turku, Finland

[2] Univ Helsinki, Dept Econ, FIN-00014 Helsinki, Finland

[3] IZA, Bonn, Germany

[4] CESifo, Munich, Germany

来源：

JOURNAL OF ECONOMIC DYNAMICS & CONTROL | 2005年 / 29卷 / 03期

基金：

芬兰科学院;

关键词：

Wicksellian rotation; stochastic interest rates; optimal stopping; free boundary problems;

D O I：

10.1016/j.jedc.2004.03.002

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We apply the Wicksellian single rotation framework to cover the unexplored case of variable and stochastic interest rate. We provide a mathematical characterization of the two-dimensional optimal stopping problem and show in the presence of amenity valuation that increased interest-rate volatility lengthens the optimal rotation period and increases the value of the optimal policy. By modelling the interest rate as a mean reverting process and forest value as a geometric Brownian motion and abstracting from amenity valuation, we present an explicit solution for the problem. Numerical illustrations indicate that interest-rate volatility has a significant and non-linear impact on optimal rotation. (C) 2004 Elsevier B.V. All rights reserved.

引用

页码：527 / 543

页数：17

共 43 条

[1] Reward functionals, salvage values, and optimal stopping [J].