Ympäristö- ja luonnonvarataloustieteen kollokvio
On Tree-Cutting Problem under Deterministic and
Stochastic Interest Rate Variability
Professori Erkki Koskela,
Helsingin
yliopisto, Kansantaloustieteen laitos
Aika: Keskiviikkona 25.2.2004 15.15-
Paikka:
Helsingin yliopisto, Viikki, Latokartanonkaari 9, Taloustieteiden talo (vanha
A-talo), B4
The current literature on optimal forest rotation makes
the unrealistic assumption of a constant and deterministic interest rate although
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 and stochastic interest rate. We show
that even in the deterministic case if the current interest rate deviates form
the long-run steady state, interest rate variability changes the rotation age
when compared with the constant discount rate 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. Interest rate volatility
can be shown to lengthen the expected optimal rotation period. Numerical calculations
show that the volatility has a non-linear effect.
Tervetuloa!
Anni
Huhtala, MTT, Markku Ollikainen, HY, Jari Kuuluvainen, HY, Olli Tahvonen, Metla,
Lauri Valsta, HY, Esa-Jussi Viitala, Metla, sihteeri, esa-jussi.viitala@metla.fi
