The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications

• 成果类型: Article
• 署名作者: Andreasen, Martin M.; Fernandez-Villaverde, Jesus; Rubio-Ramirez, Juan F.
• 署名单位: Aarhus University; University of Pennsylvania; National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); Emory University; Federal Reserve System - USA; Federal Reserve Bank - Atlanta
• 刊物名称: REVIEW OF ECONOMIC STUDIES
• ISSN/ISSBN: 0034-6527
• DOI: 10.1093/restud/rdx037
• 发表日期: 2018
• 页码: 1-49
• 关键词: risk-aversion; yield curve; premium

摘要

This article studies the pruned state-space system for higher-order perturbation approximations to dynamic stochastic general equilibrium (DSGE) models. We show the stability of the pruned approximation up to third order and provide closed-form expressions for first and second unconditional moments and impulse response functions. Our results introduce generalized method of moments (GMM) estimation and impulse-response matching for DSGE models approximated up to third order and provide a foundation for indirect inference and simulated method of moments (SMM). As an application,we consider a New Keynesian model with Epstein-Zin preferences and two novel feedback effects from long-term bonds to the real economy, allowing us to match the level and variability of the <-year term premium in the U.S. with a low relative risk aversion of 5.