Evaluating Asset Pricing Implications of DSGE Models
Kevin Reffett and
Frank Schorfheide ()
No 1630, Econometric Society World Congress 2000 Contributed Papers from Econometric Society
This paper conducts an econometric evaluation of structural macroeconomic asset pricing models. A one-sector dynamic stochastic general equilibrium model (DSGE) with habit formation and capital adjustment costs is considered. Based on the log-linearized DSGE model, a Gaussian probability model for the joint distribution of aggregate consumption, investment, and a vector of asset returns R(t) is specified. We facilitate the stochastic discount factor M(t) representation obtained from the DSGE model and impose the no-arbitrage condition E[M(t)R(t)|t-1]=1. In addition to the full general equilibrium model, we also consider consumption and production based partial equilibrium specifications, and a more general reference model. To evaluate the various asset pricing models we compute posterior model probabilities and loss function based measures of model adequacy.
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
http://fmwww.bc.edu/RePEc/es2000/1630.pdf main text (application/pdf)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:ecm:wc2000:1630
Access Statistics for this paper
More papers in Econometric Society World Congress 2000 Contributed Papers from Econometric Society Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F. Baum ().