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Bayesian estimation of a DSGE model with asset prices
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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.
Nákup knihy
Bayesian estimation of a DSGE model with asset prices, Martin Kliem
- Jazyk
- Rok vydania
- 2013
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2021 2022 2023
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- Titul
- Bayesian estimation of a DSGE model with asset prices
- Jazyk
- anglicky
- Autori
- Martin Kliem
- Vydavateľ
- Dt. Bundesbank, Press and Public Relations Div.
- Rok vydania
- 2013
- ISBN10
- 3865589596
- ISBN13
- 9783865589590
- Séria
- Discussion paper / Deutsche Bundesbank; Eurosystem
- Kategórie
- Podnikanie a ekonómia
- Anotácia
- 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.