Bayesian estimation of a DSGE model with asset prices

Beschreibung

This paper presents a novel Bayesian method for estimating dynamic stochastic general equilibrium (DSGE) models subject to a constrained posterior distribution of the implied Sharpe ratio. We apply our methodology to a DSGE model with habit formation in consumption and leisure, using an estimate of the Sharpe ratio to construct the constraint. We show that the constrained estimation produces a quantitative model with both reasonable asset-pricing as well as business-cycle implications.
Steht auch als Elektronisches Dokument zur Verfügung: (ISBN 978-3-86558-960-6)

Autor*in

Martin Kliem

Themen in »Bayesian estimation of a DSGE model with asset prices«

DSGE-Modell Konjunkturentwicklung Vermögenspreis

Stimmen zu »Bayesian estimation of a DSGE model with asset prices«

Details

Link teilen