Arbeitspapier
Government bond risk premia and the cyclicality of fiscal policy
We introduce a specification of habit formation featuring non-separability between consumption and leisure into an otherwise standard New Keynesian model. The model can be estimated with standard Bayesian techniques and the bond pricing implications are evaluated using higher-order approximations. The model is able to reproduce a sizeable risk premium on long-term bonds and the cyclicality of fiscal policy has an impact on the bond premium that is quantitatively important. Technology, government spending, and mark-up shocks are the main drivers of the time-variation in bond premia.
- Language
-
Englisch
- Bibliographic citation
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Series: ECB Working Paper ; No. 1411
- Classification
-
Wirtschaft
- Subject
-
bond risk premium
DSGE Models
Fiscal Policy
monetary policy
- Event
-
Geistige Schöpfung
- (who)
-
Christoffel, Kai
Jaccard, Ivan
Kilponen, Juha
- Event
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Veröffentlichung
- (who)
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European Central Bank (ECB)
- (where)
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Frankfurt a. M.
- (when)
-
2011
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Christoffel, Kai
- Jaccard, Ivan
- Kilponen, Juha
- European Central Bank (ECB)
Time of origin
- 2011
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