DSGE 模型과 利子率 期間構造: 캘리브레이션과 베이지안 추정의 비교
A DSGE Model and the Term Structure of Interest Rates: Calibration vs Bayesian Estimation of Parameters
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초록
본고는 DSGE 모형에 자본투자의 조정비용, 물가연동(price indexation) 등을 도입하여 모형을 좀 더 현실화시키고, 모의실험에 사용할 모수값들을 캘리브레이션 하기 보다는 베이지안 방식으로 추정하였다. 추정된 모수값을 사용하여 모의실험을 통해 시간 가변 위험보상이 반영된 만기별 이자율 자료를 생성하여 분석한 결과 단순한 모형에 비해 실제의 이자율 기간구조를 더 잘 설명하지는 않는다는 사실을 발견하였다.
Abstract
We consider a DSGE model with the capital stock in the production function, adjustment costs in investment, and indexation in price setting and do Bayesian estimation of parameters from a log linearized model. We do simulations in order to generate the interest rates with the time-varying term premia and find that the more generalized DSGE model does not explain the term structure of interest rates better than a simple model.
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