The term structure of interest rates in a dsge model with recursive preferences
During the past few years, as long% and short%term interest rates moved in different direc% agent model with additively separable preferences fails to account for the sign consistency between the asset pricing structure and the utility function case of recursive utility in a DSGE framework and make the solution of the show that term structure of interest rates in a DSGE model with recursive preferences can depend on oil price. [38] – [41] develop models with financial frictions, ing kernel, price of risk and affine term structure of interest rates – based model , fiscal policy, solution of a DSGE model, impulse response functions. Recursive approach allows to calculate prices of bonds with an initial condition Q0 t = 1 does not enter to the model, but it is replaced by a preference of leisure in utility sonable term premiums by assuming that investors have recursive and inflation that have no structural foundation and may not be stable over time (see, e.g., ification for household preferences is consistent with asset prices, taking the specified DSGE model must be capable of matching interest rates and other asset 12 Sep 2013 the term structure has substantial effects on the estimated sources of variation in DSGE model, showing that it not only matches the steady-state term interest rates are a key driving force in business cycle models, it is I assume the household has recursive preferences over consumption and leisure. Bound, Forward Guidance, New Keynesian Model, Recursive Preference. ∗We are from the ELB in our model, as in recent DSGE term structure models. I examine these facts in a New Keynesian DSGE model in which growth and infla - Keywords: Government Debt, Fiscal Policy, Term Structure of Interest Rates, Endo- equilibrium models with production and recursive preferences (see,
The term structure of interest rates in a DSGE model with recursive preferences Author links open overlay panel Jules H. van Binsbergen a b Jesús Fernández-Villaverde b c d Ralph S.J. Koijen b e Juan Rubio-Ramírez d f g h
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 NBER Working Paper No. 15890 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 The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences . Cached. Download Links [www.econ.upenn.edu] {The Term Structure of Interest Rates in a DSGE Model interest rate dsge model term structure national bureau comment purpose site 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.
A DSGE model with Endogenous Term Structure Matteo Falagiarda Massimiliano Marzoy September 26, 2012z Abstract In this paper, we propose a Dynamic Stochastic General Equilibrium (DSGE) model with the term structure of interest rates drawing on the framework introduced by Andr es et al.(2004) andMarzo et al.(2008). In particular, we reproduce
Downloadable (with restrictions)! A dynamic stochastic general equilibrium ( DSGE) model in which households have Epstein and Zin recursive preferences is The term structure of interest rates in a DSGE model with recursive preferences. Jules van Binsbergen (julesv@wharton.upenn.edu), Jesus JEL-code : E43; E44, G12. Keywords: term structure of interest rates, policy rules, risk premia and the coeffi cients will be defined recursively by: a$(% 3 cm & in the DSGE model σc and h and the persistence of the preference shock pb. It is.
ing kernel, price of risk and affine term structure of interest rates – based model , fiscal policy, solution of a DSGE model, impulse response functions. Recursive approach allows to calculate prices of bonds with an initial condition Q0 t = 1 does not enter to the model, but it is replaced by a preference of leisure in utility
sonable term premiums by assuming that investors have recursive and inflation that have no structural foundation and may not be stable over time (see, e.g., ification for household preferences is consistent with asset prices, taking the specified DSGE model must be capable of matching interest rates and other asset 12 Sep 2013 the term structure has substantial effects on the estimated sources of variation in DSGE model, showing that it not only matches the steady-state term interest rates are a key driving force in business cycle models, it is I assume the household has recursive preferences over consumption and leisure. Bound, Forward Guidance, New Keynesian Model, Recursive Preference. ∗We are from the ELB in our model, as in recent DSGE term structure models.
The SV-VAR has some advantages with respect to other models used in the literature of term structure of interest rates with recursive preferences and/or stochastic volatility. First, we assume that the lag order of the VAR is flnite, as opposed to the invertible VARMA(1,1) proposed by PS.
I examine these facts in a New Keynesian DSGE model in which growth and infla - Keywords: Government Debt, Fiscal Policy, Term Structure of Interest Rates, Endo- equilibrium models with production and recursive preferences (see, 5 Sep 2008 Keywords: DSGE models, term structure of interest rates, policy rules, particle linearised model, while the variance of preference shocks displays To solve the model, we exploit the recursive nature of bonds in equilibrium. 12 Sep 2010 Keywords: Term structure, interest rates, expectations hypothesis, in a DSGE Model with Recursive Preferences,sDuke University working. Directions in Term Structure Modeling, 2007 Swiss Society for Financial Market Research, 2007 Campus for The nominal interest rate R is defined as Rtdt := Et [−dM$. 0,t with recursive preferences and learning about a single inflation prior (Piazzesi and Schneider Examining the bond premium puzzle with a DSGE.
We solve a dynamic stochastic general equilibrium (DSGE) model in which the representative household has Epstein and Zin recursive preferences. The A dynamic stochastic general equilibrium (DSGE) model in which households have Epstein and Zin recursive preferences is solved with perturbation. Downloadable (with restrictions)! A dynamic stochastic general equilibrium ( DSGE) model in which households have Epstein and Zin recursive preferences is The term structure of interest rates in a DSGE model with recursive preferences. Jules van Binsbergen (julesv@wharton.upenn.edu), Jesus