Title of article
The termstructureofinterestratesinaDSGEmodelwith recursivepreferences
Author/Authors
Jules H.vanBinsbergen، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2012
Pages
15
From page
634
To page
648
Abstract
A dynamicstochasticgeneralequilibrium(DSGE)modelinwhichhouseholdshaveEpstein
and Zinrecursivepreferencesissolvedwithperturbation.Theparametersgoverning
preferencesandtechnologyareestimatedbymaximumlikelihoodusingmacroeconomic
data andthetermstructureofinterestrates.Theestimatesimplyalargeriskaversion,an
elasticityofintertemporalsubstitutionhigherthanone,andsubstantialadjustmentcosts.
Furthermore,thepaperidentifiesthetensionswithinthemodelbyestimatingiton
subsetsofthesedata.Theanalysisconcludesbypointingoutpotentialextensionsthat
mayimprovethemodel’sfit
Journal title
Journal of Monetary Economics
Serial Year
2012
Journal title
Journal of Monetary Economics
Record number
846548
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