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Asset Pricing Implications of a New Keynesian Model: A Note

Author

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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.

Suggested Citation

  • Burkhard Heer & Torben Klarl & Alfred Maussner, 2012. "Asset Pricing Implications of a New Keynesian Model: A Note," CESifo Working Paper Series 4041, CESifo Group Munich.
  • Handle: RePEc:ces:ceswps:_4041
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    File URL: http://www.cesifo-group.de/DocDL/cesifo1_wp4041.pdf
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    References listed on IDEAS

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    1. De Paoli, Bianca & Scott, Alasdair & Weeken, Olaf, 2010. "Asset pricing implications of a New Keynesian model," Journal of Economic Dynamics and Control, Elsevier, vol. 34(10), pages 2056-2073, October.
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    Cited by:

    1. Michael Weber, 2014. "Nominal Rigidities and Asset Pricing," 2014 Meeting Papers 53, Society for Economic Dynamics.

    More about this item

    Keywords

    equity premium; New Keynesian Model; nominal rigidities;

    JEL classification:

    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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