Bayesian Estimation of a DSGE Model with Asset Prices

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:	2016
Authors:	Kliem, Martin
Other Persons:	Uhlig, Harald (contributor)
Publisher:	[2016]: [S.l.] : SSRN
Subject:	Bayes-Statistik \| Bayesian inference \| Dynamisches Gleichgewicht \| Dynamic equilibrium \| DSGE-Modell \| DSGE model \| Schätzung \| Estimation \| Stochastischer Prozess \| Stochastic process \| CAPM \| Schätztheorie \| Estimation theory

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