The Bond Premium in a DSGE Model with Long-Run Real and Nominal Risks

• 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: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.4.1.105
• 发表日期: 2012
• 页码: 105-143
• 关键词: term structure; interest-rates; monetary-policy; business-cycle; asset returns; intertemporal substitution; habit persistence; equity premium; consumption; economies

摘要

The term premium in standard macroeconomic DSGE models is far too small and stable relative to the data-an example of the bond premium puzzle. However, in endowment economy models, researchers have generated reasonable term premiums by assuming investors have recursive Epstein-Zin preferences and face long-run economic risks. We show that introducing Epstein-Zin preferences into a canonical DSGE model can also produce a large and variable term premium without compromising the model's ability to fit key macroeconomic variables. Long-run nominal risks further improve the model's empirical fit, but do not substantially reduce the need for high risk aversion.