| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP6145 |
| DP6145 The Role of Debt and Equity Finance over the Business Cycle | |
| Wouter Den Haan; Francisco Covas | |
| 发表日期 | 2007-02-23 |
| 出版年 | 2007 |
| 语种 | 英语 |
| 摘要 | In Bayesian analysis of dynamic stochastic general equilibrium (DSGE) prior distributions for some of the taste-and-technology parameters can be obtained from microeconometric or pre-sample evidence, but it is difficult to elicit priors for the parameters that govern the law of motion of unobservable exogenous processes. Moreover, since it is challenging to formulate beliefs about the correlation of parameters, most researchers assume that all model parameters are independent of each other. We provide a simple method of constructing prior distributions for (a subset of) DSGE model parameters from beliefs about the moments of the endogenous variables. We use our approach to investigate the importance of nominal rigidities and show how the specification of prior distributions affects our assessment of the relative importance of different frictions. |
| 主题 | International Macroeconomics |
| 关键词 | Bayesian analysis Dsge models Model comparisons Prior elicitation Nominal rigidities |
| URL | https://cepr.org/publications/dp6145 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/534984 |
| 推荐引用方式 GB/T 7714 | Wouter Den Haan,Francisco Covas. DP6145 The Role of Debt and Equity Finance over the Business Cycle. 2007. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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