Bayesian estimation of a dynamic stochastic general equilibrium model with asset prices

• 成果类型: Article
• 署名作者: Kliem, Martin; Uhlig, Harald
• 署名单位: Deutsche Bundesbank; University of Chicago
• 刊物名称: QUANTITATIVE ECONOMICS
• ISSN/ISSBN: 1759-7323
• DOI: 10.3982/QE396
• 发表日期: 2016
• 页码: 257-287
• 关键词: Bayesian estimation; stochastic steady state; prior choice; Sharpe ratio

摘要

This paper presents a novel Bayesian method for estimating dynamic stochastic general equilibrium (DSGE) models subject to a constrained posterior distribution for the implied Sharpe ratio. We apply our methodology to a DSGE model with habit formation in consumption and leisure, and show that the constrained estimation produces both reasonable asset-pricing and business-cycle implications. Next, we estimate the Smets-Wouters model subject to the same Sharpe ratio constraint. The results move the model closer to reproducing observed risk premia, but at increasing cost to its macroeconomic performance.