The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences
The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences
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具有递归偏好的 DSGE 模型中的利率期限结构
DOI：
10.2139/ssrn.1569916
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发表时间：
2010
期刊：
影响因子：
--
通讯作者：
Jules H. van Binsbergen
中科院分区：
文献类型：
--
作者：
Jesús Fernández;R. Koijen;J. Rubio;Jules H. van Binsbergen
我们解决了一个动态随机一般均衡（DSGE）模型中，代表家庭爱泼斯坦和Zin递归偏好。支配偏好和技术的参数是通过使用宏观经济数据和资产价格的最大似然估计的，特别侧重于利率的期限结构。我们估计一个大的风险厌恶，跨期替代弹性高于1，和大量的调整成本。此外，我们通过对这些数据的子集进行估计来识别模型中的张力。最后，我们指出潜在的扩展，可能会提高模型的拟合。
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.
影响因子：
6.1
作者：
PAKES, A;POLLARD, D
通讯作者：
POLLARD, D