The term structure of interest rates in a DSGE model with recursive preferences
成果类型：
Article
署名作者：
van Binsbergen, Jules H.; Fernandez-Villaverde, Jesus; Koijen, Ralph S. J.; Rubio-Ramirez, Juan
署名单位：
Stanford University; National Bureau of Economic Research; University of Pennsylvania; Centre for Economic Policy Research - UK; University of Chicago; Duke University; Federal Reserve System - USA; Federal Reserve Bank - Atlanta
刊物名称：
JOURNAL OF MONETARY ECONOMICS
ISSN/ISSBN：
0304-3932
DOI：
10.1016/j.jmoneco.2012.09.002
发表日期：
2012
页码：
634-648
关键词：
摘要：
A dynamic stochastic general equilibrium (DSGE) model in which households have Epstein and Zin recursive preferences is solved with perturbation. The parameters governing preferences and technology are estimated by maximum likelihood using macroeconomic data and the term structure of interest rates. The estimates imply a large risk aversion, an elasticity of intertemporal substitution higher than one, and substantial adjustment costs. Furthermore, the paper identifies the tensions within the model by estimating it on subsets of these data. The analysis concludes by pointing out potential extensions that may improve the model's fit. (C) 2012 Elsevier B.V. All rights reserved.
来源URL：