A Dynamic General Equilibrium Model Of The Term Structure Of Interest Rates
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A Non-linear, General Equilibrium Model of the Term Structure of Interest Rates
Author | : Francis A. Longstaff |
Publisher | : |
Total Pages | : 29 |
Release | : 1988 |
Genre | : Interest rates |
ISBN | : |
Dynamic Stochastic General Equilibrium Models
Author | : Massimiliano Marzo |
Publisher | : |
Total Pages | : 250 |
Release | : 2013 |
Genre | : Equilibrium (Economics) |
ISBN | : 9788847025585 |
This book features tutorials about the role of money and bonds in Dynamic General Equilibrium models. It includes a step-by-step guide to the endogenous derivation of the price kernel employed for the term structure of interest rates and asset pricing.
The Term Structure of Interest Rates in an Equilibrium Economy with Short Term and Long Term Investments
Author | : Carles Vergara-Alert |
Publisher | : |
Total Pages | : 52 |
Release | : 2009 |
Genre | : |
ISBN | : |
This paper develops a general equilibrium model to study the link between real investments and the real term structure of interest rates. In the model, agents' decisions on consumption and investments with short and long term horizons determine the dynamics of the term structure. The model and its calibration to U.S. data show that realistic moments of consumption, investments and the term structure can be explained when we distinguish between short term and long term investments.
The term structure of interest rates in a DSGE model with recursive preferences
Author | : Jules H. van Binsbergen |
Publisher | : |
Total Pages | : 49 |
Release | : 2010 |
Genre | : Economics |
ISBN | : |
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.
The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences
Author | : Jesús Fernández-Villaverde |
Publisher | : |
Total Pages | : 49 |
Release | : 2010 |
Genre | : Equilibrium (Economics) |
ISBN | : |
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.