| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w15890 |
| 来源ID | Working Paper 15890 |
| The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences | |
| Jules van Binsbergen; Jesús Fernández-Villaverde; Ralph S.J. Koijen; Juan F. Rubio-Ramírez | |
| 发表日期 | 2010-04-08 |
| 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 | Macroeconomics ; Consumption and Investment ; Business Cycles ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w15890 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/573565 |
| 推荐引用方式 GB/T 7714 | Jules van Binsbergen,Jesús Fernández-Villaverde,Ralph S.J. Koijen,et al. The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences. 2010. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w15890.pdf（368KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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