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
-
978-3-86558-960-6
- Sprache
-
Englisch
- Erschienen in
-
Series: Bundesbank Discussion Paper ; No. 37/2013
- Klassifikation
-
Wirtschaft
Bayesian Analysis: General
Business Fluctuations; Cycles
Financial Markets and the Macroeconomy
Asset Pricing; Trading Volume; Bond Interest Rates
- Thema
-
Bayesian estimation
stochastic steady-state
prior choice
Sharpe ratio
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Kliem, Martin
Uhlig, Harald
- Ereignis
-
Veröffentlichung
- (wer)
-
Deutsche Bundesbank
- (wo)
-
Frankfurt a. M.
- (wann)
-
2013
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 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
- Kliem, Martin
- Uhlig, Harald
- Deutsche Bundesbank
Entstanden
- 2013
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