Examining the bond premium puzzle with a DSGE model

• 成果类型: Article
• 署名作者: Rudebusch, Glenn D.; Swanson, Eric T.
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - San Francisco
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2008.07.007
• 发表日期: 2008
• 页码: S111-S126
• 关键词: Yield curve; Term premium; Bond pricing

摘要

The basic inability of standard theoretical models to generate a sufficiently large and variable nominal bond risk premium has been termed the bond premium puzzle. We show that the term premium on long-term bonds in the canonical dynamic stochastic general equilibrium (DSGE) model used in macroeconomics is far too small and stable relative to the data. We find that introducing long-memory habits in consumption as well as labor market frictions can help fit the term premium, but only by seriously distorting the DSGE model's ability to fit other macroeconomic variables, such as the real wage: therefore, the bond premium puzzle remains. (C) 2008 Elsevier B.V. All rights reserved.