Bond pricing with a time-varying price of risk in an estimated medium-scale Bayesian DSGE model
Year of publication: |
2014
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Authors: | Dew-Becker, Ian |
Published in: |
Journal of money, credit and banking : JMCB. - Malden, Mass. [u.a.] : Wiley-Blackwell, ISSN 0022-2879, ZDB-ID 218362-6. - Vol. 46.2014, 5, p. 837-888
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Subject: | term structure | habit formation | dynamic stochastic general equilibrium | Bayesian estimation | Bayes-Statistik | Bayesian inference | Dynamisches Gleichgewicht | Dynamic equilibrium | Zinsstruktur | Yield curve | Risikoprämie | Risk premium | CAPM | Schätztheorie | Estimation theory | Allgemeines Gleichgewicht | General equilibrium |
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