| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP7781 |
| DP7781 The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences | |
| Juan Francisco Rubio-Ramírez; Jesus Fernandez-Villaverde; Ralph Koijen; Jules van Binsbergen | |
| 发表日期 | 2010-04-12 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | 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 higher than one, and substantial adjustment costs. Furthermore, we identify the tensions within the model by estimating it on subsets of these data. We conclude by pointing out potential extensions that might improve the model's fit. |
| 主题 | International Macroeconomics |
| 关键词 | Dsge models Epstein-zin preferences Likelihood estimation |
| URL | https://cepr.org/publications/dp7781 |
| 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/536618 |
| 推荐引用方式 GB/T 7714 | Juan Francisco Rubio-Ramírez,Jesus Fernandez-Villaverde,Ralph Koijen,et al. DP7781 The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences. 2010. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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