Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/314074 
Year of Publication: 
2019
Citation: 
[Journal:] Journal of Applied Economics [ISSN:] 1667-6726 [Volume:] 22 [Issue:] 1 [Year:] 2019 [Pages:] 581-601
Publisher: 
Taylor & Francis, Abingdon
Abstract: 
The aim of the present study is to use an alternative approach to derive the term structure of interest rates in DSGE models, which is based on the theory of preferred habitat. We show that this approach yields a substantial term premium which is time-variant. In particular, by introducing bonds of longer maturity, we avoid the underestimation of the volatility of the output. In addition, by allowing longer-term bonds, we show that output is more responsive to technology shocks than it would otherwise. Therefore, the goal of stabilizing output around the nonstochastic level is more difficult to achieve.
Subjects: 
Bayesian estimation
DSGE models
preferred habitat
Term structure of interest rates
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.