Research Colloquium - Empirical asset pricing in a DSGE framework - a critical assessment
Wann
Dienstag, 9. Mai 2023
15:15 bis 16:45 Uhr
Wo
F425
Veranstaltet von
Chair of Finance
Vortragende Person/Vortragende Personen:
Julie Schnaitmann (University of Tübingen)
Empirical asset pricing in a DSGE framework - a critical assessment
(with Joachim Grammig and Dalia Elshiaty)
Abstract: This paper aims at a critical assessment of the DSGE asset pricing approach. By employing partial indirect inference, we acknowledge that parts of a model are misspecified, while others retain the claim to capture economic reality, namely the ability to price assets traded in real markets. Consequently, we use binding functions that facilitate the consistent estimation of the structural model parameters of interest (concerning investor preferences), while treating others (governing macroeconomic dynamics) as nuisance parameters that are calibrated. The results of our empirical analysis are not unfavorable for the DSGE asset pricing approach, but they also indicate that the very positive interpretation of calibration results, in particular regarding the resolution of asset pricing puzzles, should be taken with a grain of salt.