Easy EZ in DSGE
نویسنده
چکیده
Epstein-Zin preferences (or “EZ” preferences) have become increasingly popular in recent asset pricing work. Dynamic stochastic general equilibrium (DSGE) models which feature Epstein-Zin preferences are typically considered technically challenging, often thought to require sophisticated numerical solution methods to solve them and considerable additional thought to understand them. The purpose of this paper is to make DSGE modeling with Epstein-Zin preferences easy, relying on log-linearization to the equations characterizing the equilibrium dynamics and exploiting log-normality for asset pricing. This research has been supported by the NSF grant SES-0922550. Address: Harald Uhlig, Department of Economics, University of Chicago, 1126 East 59th Street, Chicago, IL 60637, U.S.A, email: [email protected] The paper therefore provides a benchmark, from which to explore and understand the added benefit of higher-order approximations.
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