Bayesian estimation of a dynamic stochastic general equilibrium model with asset prices
纳入资产价格的动态随机一般均衡模型贝叶斯估计
This paper presents a novel Bayesian method for estimating dynamic stochastic general equilibrium (DSGE) models subject to a constrained posterior distribution for the implied Sharpe ratio. We apply our methodology to a DSGE model with habit formation in consumption and leisure, and show that the constrained estimation produces both reasonable asset-pricing and business-cycle implications. Next, we estimate the Smets–Wouters model subject to the same Sharpe ratio constraint.…