The Term Structure of Interest Rates in a DSGE Model With Recursive Preferences

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dc.contributor.authorvan Binsbergen, Jules
dc.contributor.authorFernández-Villaverde, Jesús
dc.contributor.authorKoijen, Ralph
dc.contributor.authorRubio-Ramírez, Juan
dc.date2023-05-17T14:28:10.000
dc.date.accessioned2023-05-22T19:16:36Z
dc.date.available2016-11-01T00:00:00Z
dc.date.issued2012-11-01
dc.date.submitted2016-06-01T12:26:38-07:00
dc.description.abstractA 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.
dc.identifier.urihttps://repository.upenn.edu/handle/20.500.14332/34457
dc.legacy.articleid1067
dc.legacy.fields10.1016/j.jmoneco.2012.09.002
dc.legacy.fulltexturlhttps://repository.upenn.edu/cgi/viewcontent.cgi?article=1067&context=fnce_papers&unstamped=1
dc.rights© 2012. This manuscript version is made available under the CC-BY-NC-ND 4.0 license (http://creativecommons.org/licenses/by-nc-nd/4.0/)
dc.source.beginpage634
dc.source.endpage648
dc.source.issue352
dc.source.issue7
dc.source.journalFinance Papers
dc.source.journaltitleJournal of Monetary Economics
dc.source.peerreviewedtrue
dc.source.statuspublished
dc.source.volume59
dc.subject.otherEconometrics
dc.subject.otherFinance
dc.subject.otherFinance and Financial Management
dc.titleThe Term Structure of Interest Rates in a DSGE Model With Recursive Preferences
dc.typeArticle
digcom.contributor.authorvan Binsbergen, Jules
digcom.contributor.authorFernández-Villaverde, Jesús
digcom.contributor.authorKoijen, Ralph
digcom.contributor.authorRubio-Ramírez, Juan
digcom.date.embargo2016-11-01T00:00:00-07:00
digcom.identifierfnce_papers/352
digcom.identifier.contextkey8676110
digcom.identifier.submissionpathfnce_papers/352
digcom.typearticle
dspace.entity.typePublication
upenn.schoolDepartmentCenterFinance Papers
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