Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/153844 
Erscheinungsjahr: 
2011
Schriftenreihe/Nr.: 
ECB Working Paper No. 1411
Verlag: 
European Central Bank (ECB), Frankfurt a. M.
Zusammenfassung: 
We introduce a specification of habit formation featuring non-separability between consumption and leisure into an otherwise standard New Keynesian model. The model can be estimated with standard Bayesian techniques and the bond pricing implications are evaluated using higher-order approximations. The model is able to reproduce a sizeable risk premium on long-term bonds and the cyclicality of fiscal policy has an impact on the bond premium that is quantitatively important. Technology, government spending, and mark-up shocks are the main drivers of the time-variation in bond premia.
Schlagwörter: 
bond risk premium
DSGE Models
Fiscal Policy
monetary policy
JEL: 
E5
E6
G1
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
1.81 MB





Publikationen in EconStor sind urheberrechtlich geschützt.