The term structure of interest rates in a DSGE model with recursive preferences
By: Jules van Binsbergen, Jesús Fernández-Villaverde, Ralph S.J. Koijen, Juan F. Rubio-Ramírez
Contributors: National Bureau of Economic Research
Series: NBER working paper series -- working paper 15890; Working paper series (National Bureau of Economic Research : Online) -- working paper no. 15890.
Publisher: National Bureau of Economic Research
Published: 2010
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Description: "We solve a dynamic stochastic general equilibrium (DSGE) model in which the representative household has Epstein and Zin recursive preferences.  The parameters governing preferences and technology are estimated by means of maximum likelihood using macroeconomic data and asset prices, with a particular focus on the term structure of interest rates.  We estimate a large risk aversion, an elasticity of intertemporal substitution higher than one, and substantial adjustment costs.  Furthermore, we identify the tensions within the model by estimating it on subsets of these data.  We conclude by pointing out potential extensions that might improve the model's fit"--National Bureau of Economic Research web site.
Notes: Title from PDF file as viewed on 4/13/2010.

Includes bibliographical references.

Also available in print.

System requirements: Adobe Acrobat Reader.

Mode of access: World Wide Web.