کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
967313 931190 2008 16 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Examining the bond premium puzzle with a DSGE model
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Examining the bond premium puzzle with a DSGE model
چکیده انگلیسی
The basic inability of standard theoretical models to generate a sufficiently large and variable nominal bond risk premium has been termed the “bond premium puzzle.” We show that the term premium on long-term bonds in the canonical dynamic stochastic general equilibrium (DSGE) model used in macroeconomics is far too small and stable relative to the data. We find that introducing long-memory habits in consumption as well as labor market frictions can help fit the term premium, but only by seriously distorting the DSGE model's ability to fit other macroeconomic variables, such as the real wage; therefore, the bond premium puzzle remains.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Monetary Economics - Volume 55, Supplement, October 2008, Pages S111-S126
نویسندگان
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