Detail publikace

Explaining Bond and Equity Premium Puzzles Jointly in a DSGE Model

Autor: Ing. Aleš Maršál M.A., Lorant Kaszab
Typ: Ostatní
Rok: 2015
Číslo: 0
Publikováno v: MNB Working Papers
Místo vydání:
Klíčová slova:
JEL kódy:
Abstrakt: We introduce costly firm-entry a la Bilbiie et al. (2012) into a New Keynesian model with Epstein-Zin preferences and show
that it can jointly account for a high mean value of bond and equity premium without compromising the fit of the model to
first and second moments of key macroeconomic variables. In the standard New Keynesian model without entry it is easy to
generate inflaƟon risks on long-term nominal bonds when placing high coefficient on the output gap in the Taylor rule. Our
model is able to generate inflaƟon risks when the coefficient on the output gap is small. In the entry model real risks are lower
and inflaƟon risks are ceteris paribus higher than in the standard New Keynesian model without entry due to the appearance
of new varieƟes that help households smooth their consumpƟon beƩer.




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