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.
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 1411
- Klassifikation
-
Wirtschaft
- Thema
-
bond risk premium
DSGE Models
Fiscal Policy
monetary policy
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Christoffel, Kai
Jaccard, Ivan
Kilponen, Juha
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2011
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Christoffel, Kai
- Jaccard, Ivan
- Kilponen, Juha
- European Central Bank (ECB)
Entstanden
- 2011
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