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Bayesian estimation of a DSGE model with asset prices
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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.
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Bayesian estimation of a DSGE model with asset prices, Martin Kliem
- Language
- Released
- 2013
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- Title
- Bayesian estimation of a DSGE model with asset prices
- Language
- English
- Authors
- Martin Kliem
- Publisher
- Dt. Bundesbank, Press and Public Relations Div.
- Released
- 2013
- ISBN10
- 3865589596
- ISBN13
- 9783865589590
- Series
- Discussion paper / Deutsche Bundesbank; Eurosystem
- Category
- Business and Economics
- Description
- 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.