Arbeitspapier
Bayesian estimation of a DSGE model with asset prices
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.
- ISBN
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978-3-86558-960-6
- Language
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Englisch
- Bibliographic citation
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Series: Bundesbank Discussion Paper ; No. 37/2013
- Classification
-
Wirtschaft
Bayesian Analysis: General
Business Fluctuations; Cycles
Financial Markets and the Macroeconomy
Asset Pricing; Trading Volume; Bond Interest Rates
- Subject
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Bayesian estimation
stochastic steady-state
prior choice
Sharpe ratio
- Event
-
Geistige Schöpfung
- (who)
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Kliem, Martin
Uhlig, Harald
- Event
-
Veröffentlichung
- (who)
-
Deutsche Bundesbank
- (where)
-
Frankfurt a. M.
- (when)
-
2013
- Handle
- Last update
-
10.03.2025, 11:42 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
- Kliem, Martin
- Uhlig, Harald
- Deutsche Bundesbank
Time of origin
- 2013
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