This is the program for the 2010 Joint Statistical Meetings in Vancouver, British Columbia.
Abstract Details
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Activity Number:
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214
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Type:
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Invited
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Date/Time:
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Monday, August 2, 2010 : 2:00 PM to 3:50 PM
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Sponsor:
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Business and Economic Statistics Section
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| Abstract - #306206 |
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Title:
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Estimation of the Term Structure from a DSGE Model
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Author(s):
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Siddhartha Chib*+
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Companies:
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Washington University in St. Louis
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Address:
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Olin Business School, CB 1133, St. Louis, MO, 63130,
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Keywords:
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change-points ;
Metropolis-Hastings ;
term-premium
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Abstract:
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We consider the modeling and estimation of the term structure of interest rates from within a fully specified DSGE model. The modeling features error processes with stochastic volatility and parameters that are subject to change-points. Bond prices which are derived from the model solution satisfy an arbitrage-free property. The fitting of the model raises several computational challenges on account of the severe non-linearities and high-dimensionality of the parameter space. These challenges are addressed by Bayesian MCMC methods, in particular through the approach of Chib and Ramamurthy (2009). The model is fit to US quarterly data and the results provide a new perspective on the time series dynamics of the term-premium.
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The address information is for the authors that have a + after their name.
Authors who are presenting talks have a * after their name.
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