Asset pricing implications of a New Keynesian model: A note

De Paoli, Scott, and Weeken [2010, Asset pricing implications of a New Keynesian model. Journal of Economic Dynamics and Control 34, 2056-73] study equity and bonds prices in a New Keynesian model with sticky nominal prices. This note argues that their model generates a behavior of the labor market variables that is contrary to empirical evidence and, as remedy for this deficiency, suggests a model with both sticky nominal wages and prices.

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Year of publication:	2012
Authors:	Heer, Burkhard ; Klarl, Torben ; Maußner, Alfred
Publisher:	Munich : Center for Economic Studies and ifo Institute (CESifo)
Subject:	Capital Asset Pricing Model \| Neukeynesianische Makroökonomik \| equity premium \| New Keynesian Model \| nominal rigidities

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Series:	CESifo Working Paper ; 4041
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	734851278 [GVK] hdl:10419/69546 [Handle]
Classification:	E44 - Financial Markets and the Macroeconomy ; E43 - Determination of Interest Rates; Term Structure Interest Rates ; G12 - Asset Pricing
Source:	EconStor

Persistent link: https://www.econbiz.de/10010291506