Bayesian estimation of a DSGE model with asset prices

Martin Kliem; Harald Uhlig

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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Year of publication:	2013
Authors:	Kliem, Martin ; Uhlig, Harald
Publisher:	Frankfurt am Main : Dt. Bundesbank
Subject:	Bayesian estimation \| stochastic steady-state \| prior choice \| Sharpe ratio \| Bayes-Statistik \| Bayesian inference \| Schätztheorie \| Estimation theory \| Stochastischer Prozess \| Stochastic process \| Schätzung \| Estimation \| Dynamisches Gleichgewicht \| Dynamic equilibrium \| CAPM \| DSGE-Modell \| DSGE model

Extent:	Online-Ressource (35, [3] S.) graph. Darst.
Series:	Discussion paper. - Frankfurt am Main : Deutsche Bundesbank, ISSN 2941-7503, ZDB-ID 2660941-1. - Vol. 37/2013
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	Systemvoraussetzungen: Acrobat Reader
ISBN:	978-3-86558-960-6 ; 978386559590
Other identifiers:	hdl:10419/85251 [Handle]
Classification:	C11 - Bayesian Analysis ; E32 - Business Fluctuations; Cycles ; E44 - Financial Markets and the Macroeconomy ; G12 - Asset Pricing ; Methoden und Techniken der Volkswirtschaft ; Makroökonomie ; Konjunktur
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10010192763