Robust Equilibrium Yield Curves

Nicolas Vincent and Isaac Kleshchelski
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Isaac Kleshchelski: Kellogg School of Management, Northwestern University

No 486, 2008 Meeting Papers from Society for Economic Dynamics

Abstract: framework, stochastic volatility in consumption growth generates both a state-dependent market price of model uncertainty and a stochastic market price of risk. We estimate the model using data from the bond and equity markets, as well as consumption data. We show that the model is consistent with key empirical regularities that characterize the bond and equity markets. We also characterize empirically the set of models the robust representative agent entertains, and show that this set is small. That is, it is statistically difficult to distinguish between models in this set.

Date: 2008
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Related works:
Working Paper: Robust Equilibrium Yield Curves (2009)
Working Paper: Robust Equilibrium Yield Curves (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:red:sed008:486

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