Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/63875 
Erscheinungsjahr: 
2003
Schriftenreihe/Nr.: 
ETLA Discussion Papers No. 840
Verlag: 
The Research Institute of the Finnish Economy (ETLA), Helsinki
Zusammenfassung: 
The current literature on optimal forest rotation makes the unrealistic assumption of constant interest rate though harvesting decisions of forest stands are typically subject to relatively long time horizons. We apply the single rotation framework to extend the existing studies to cover the unexplored case of variable interest rate. We show that even in the deterministic case if the current interest rate deviates from its long-run steady state, interest rate variability may change the rotation age significantly when compared with the constant discounting case. Further, and importantly, allowing for interest rate uncertainty as a mean reverting process and forest value as a geometric Brownian motion we can provide an explicit solution for the two dimensional path-dependent optimal stopping problem. Increased interest rate volatility is shown to lengthen the optimal rotation period. Numerical calculations show that interest rate volatility has a big quantitative importance.
Schlagwörter: 
Optimal rotation
variable interest rates
optimal stopping
free boundary problems
JEL: 
Q23
G31
C61
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
328.92 kB





Publikationen in EconStor sind urheberrechtlich geschützt.