Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments August 1, 2007 erstellt
Beschreibung:
This paper examines an equilibrium asset pricing model with Epstein-Zin preferences in which the beliefs about the fundamentals in the Macroeconomy are time varying. A vector autoregression with time varying parameters and stochastic volatilities of consumption growth and inflation is estimated using an MCMC algorithm. The model generates time-varying countercyclical market prices of risk and is able to match broad movements in short and long nominal bond yields