DOAJ Open Access 2019

Preferred habitat and the term structure of interest rates in DSGE models

Celso J. Costa

Lihat Sumber DOI

Abstrak

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.

Topik & Kata Kunci

Economic growth, development, planning Economic history and conditions

Penulis (1)

Celso J. Costa

Format Sitasi

APA MLA BibTeX

Costa, C.J. (2019). Preferred habitat and the term structure of interest rates in DSGE models. https://doi.org/10.1080/15140326.2019.1680124

Akses Cepat

Lihat di Sumber doi.org/10.1080/15140326.2019.1680124

Informasi Jurnal

Tahun Terbit: 2019
Sumber Database: DOAJ
DOI: 10.1080/15140326.2019.1680124
Akses: Open Access ✓