|
|
|
|
||||
|
||||
The Term Structure of Interest Rates in a DSGE Model with Recursive PreferencesJules H. Van BinsbergenStanford University - Graduate School of Business; National Bureau of Economic Research (NBER) Jesús Fernández-VillaverdeUniversity of Pennsylvania - Department of Economics; National Bureau of Economic Research (NBER) Ralph S. J. KoijenUniversity of Chicago - Booth School of Business Juan Francisco Rubio-RamirezDuke University - Department of Economics; Federal Reserve Bank of Atlanta - Research Department March 2011 PIER Working Paper No. 10-011 Abstract: We solve a dynamic stochastic general equilibrium (DSGE) model in which the representative household has Epstein and Zin recursive preferences. The parameters governing preferences and technology are estimated by means of maximum likelihood using macroeconomic data and asset prices, with a particular focus on the term structure of interest rates. We estimate a large risk aversion, an elasticity of intertemporal substitution larger than one, and substantial adjustment costs. Furthermore, we identify the tensions within the model by estimating the model on subsets of these data. We conclude by pointing out potential extensions that might improve the model's fit.
Number of Pages in PDF File: 50 working papers seriesDate posted: March 15, 2010 ; Last revised: March 9, 2011Suggested CitationContact Information
|
|
|||||||||||||||||||||||||||||||||||||||
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
FAQ
Terms of Use
Privacy Policy
Copyright
This page was processed by apollo3 in 0.609 seconds
