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Asset Pricing Implications of a New Keynesian Model: A Note

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  • Burkhard Heer
  • Torben Klarl
  • Alfred Maussner

Abstract

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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File URL: http://www.cesifo-group.de/portal/page/portal/DocBase_Content/WP/WP-CESifo_Working_Papers/wp-cesifo-2012/wp-cesifo-2012-12/cesifo1_wp4041.pdf
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Bibliographic Info

Paper provided by CESifo Group Munich in its series CESifo Working Paper Series with number 4041.

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Date of creation: 2012
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Handle: RePEc:ces:ceswps:_4041

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Related research

Keywords: equity premium; New Keynesian Model; nominal rigidities;

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  1. Bianca De Paoli & Alasdair Scott & Olaf Weeken, 2007. "Asset pricing implications of a New Keynesian model," Bank of England working papers 326, Bank of England.
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Cited by:
  1. Michael Weber, 2014. "Nominal Rigidities and Asset Pricing," 2014 Meeting Papers 53, Society for Economic Dynamics.

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