Spectral Analysis of the Term Structure of Interest Rates: Habit Formation vs. Recursive Utility in a DSGE Model
2
조회
0
다운로드
0
인용
0
참고문헌
키워드
초록
We examine whether a new Keynesian DSGE model can generate yields that match the spectral properties of the actual yields. For this purpose, we consider two competing specifications for utility in a DSGE model: habit formation and recursive utility. We find that the yields generated from the DSGE model with either specification for utility can match the spectral properties of the actual yields reasonably well. However, it seems fair to say that each specification has some individual disadvantages. In the case of habit formation, we need very persistent and large shocks to explain the time-varying term premia. The DSGE models with recursive utility are not free of problems, either. They have difficulty in generating either a sufficient yield curve slope or positive (negative)correlations between nominal interest rates (spreads) and output.
Abstract
We examine whether a new Keynesian DSGE model can generate yields that match the spectral properties of the actual yields. For this purpose, we consider two competing specifications for utility in a DSGE model: habit formation and recursive utility. We find that the yields generated from the DSGE model with either specification for utility can match the spectral properties of the actual yields reasonably well. However, it seems fair to say that each specification has some individual disadvantages. In the case of habit formation, we need very persistent and large shocks to explain the time-varying term premia. The DSGE models with recursive utility are not free of problems, either. They have difficulty in generating either a sufficient yield curve slope or positive (negative)correlations between nominal interest rates (spreads) and output.
참고문헌 (23)
- Bekaert, Geert, "New-Keynesian Macro-economics and the Term Structure", Journal of Money, Credit, and Banking, 42, pp.33~62 (2010)
- Bansal, Ravi, "Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles", Journal of Finance, 59(4), pp.1481~1509 (2004)
- Beaubrun-Diant, Kevin E., "Spectral Properties of Asset Pricing Models: A General Equilibrium Perspective", pp.1~23 (2006), Macroeconomic Dynamics
- Binsbergen, Jules H., "Likelihood Estimation of DSGE Models with Epstein-Zin Preferences" (2008), incomplete manuscript
- Calvo, Guilliermo A., "Staggered Prices in a Utility-Maximizing Framework", Journal of Monetary Economics, 12, pp.383~398 (1983)
- Chen, Xiaohong, "An Estimation of Economic Models with Recursive Preferences" (2007), unpublished manuscript
- Constantinides, George. M., "Habit Formation: A Resolution of the Equity Premium Puzzle", Journal of Political Economy, 98, pp.519~543 (1990)
- Doh, T, "What Moves the Yield Curve? Lessons from an Estimated Nonlinear Macro Model" (2007), University of Pennsylvania
- Epstein, Larry G., "Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis", Journal of Political Economy, 99(2), pp.263~286 (1991)
- Gregory, Allan W., "The Term Structure of Interest Rates: Departures from Time-Separable Expected Utility", Canadian Journal of Economics, 24(4), pp.923~939 (1991)
- The Yield Curve and Macroeconomic Dynamics, "Hordahl, P.", ~, pp.ECB Working Paper #832 (2007)
- Jung, Yongseung, "Can the New Open Economy Macroeconomic Model Explain Exchange Rate Fluctuations?", Journal of International Economics, 72, pp.381~408 (2007)
- Mehra, Rajnish, "The Equity Premium: A Puzzle", Journal of Monetary Economics, 15, pp.145~161 (1985)
- Equilibrium Yield Curves, NBER Macroeconomics Annual, "Piazzesi, Monika", 389~442 (2006)
- Monetary Policy and Rejections of the Expectations Hypothesis, unpublished manuscript, "Ravenna, Federico", ~ (2007)
- Rudebusch, Glenn D., "Macroeconomic Implications of Changes in the Term Premium", FRB St. Louis, Review, 89, pp.241~269 (2007)
- Rudebusch, Glenn D., "Examining the Bond Premium Puzzle with a DSGE Model", Journal of Monetary Economics, 55, pp.S111~S126 (2008)
- Rudebusch, Glenn D., "The Bond Premium in a DSGE Model with Long-Run Real and Nominal Risks" (2009), unpublished manuscript
- Tallarini, Thomas D., "Risk-sensitive Real Business Cycles", Journal of Monetary Economics, 45, pp.507~532 (2000)
- Watson, Mark. W., "Measures of Fit for Calibrated Models", Journal of Political Economy, 101(6), pp.1011~1041 (1993)
- Weil, Philip, "The Equity Premium Puzzle and the Risk-free Rate Puzzle", Journal of Monetary Economics, 24, pp.401~421 (1989)
- Wu, Tao, "Macro Factors and the A¢ ne Term Structure of Interest Rates, Journal of Money", Credit, and Banking, 38, pp.1847~1875 (2006)
- Yun, Tack, "OptimalMonetary Policy with Relative Price Distortions", American Economic Review, 95(1), pp.89~109 (2005)