The term structure of interest rates in a DSGE model with recursive preferences

被引：87

作者：

van Binsbergen, Jules H. ^{[1
,2
]}

Fernandez-Villaverde, Jesus ^{[2
,3
,4
]}

Koijen, Ralph S. J. ^{[2
,5
]}

Rubio-Ramirez, Juan ^{[4
,6
,7
,8
]}

机构：

[1] Stanford Univ, Grad Sch Business, Stanford, CA 94305 USA

[2] NBER, Cambridge, MA 02138 USA

[3] Univ Penn, Philadelphia, PA 19104 USA

[4] CEPR, London, England

[5] Univ Chicago, Booth Sch Business, Chicago, IL 60637 USA

[6] Duke Univ, Durham, NC 27706 USA

[7] Fed Reserve Bank Atlanta, Atlanta, GA USA

[8] BBVA Res, Madrid, Spain

来源：

JOURNAL OF MONETARY ECONOMICS | 2012年 / 59卷 / 07期

关键词：

RISK-AVERSION; LONG-RUN; CONSUMPTION; SUBSTITUTION; RESOLUTION; PREMIUM; WEALTH; HABIT;

D O I：

10.1016/j.jmoneco.2012.09.002

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

A dynamic stochastic general equilibrium (DSGE) model in which households have Epstein and Zin recursive preferences is solved with perturbation. The parameters governing preferences and technology are estimated by maximum likelihood using macroeconomic data and the term structure of interest rates. The estimates imply a large risk aversion, an elasticity of intertemporal substitution higher than one, and substantial adjustment costs. Furthermore, the paper identifies the tensions within the model by estimating it on subsets of these data. The analysis concludes by pointing out potential extensions that may improve the model's fit. (C) 2012 Elsevier B.V. All rights reserved.

引用

页码：634 / 648

页数：15

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