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Asset pricing implications of a new keynesian model
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Cited by:
- Britta Förster & Bernd Hayo, 2018.
"Monetary and Fiscal Policy in Times of Crisis: A New Keynesian Perspective in Continuous Time,"
Manchester School, University of Manchester, vol. 86(1), pages 21-48, January.
- Bernd Hayo & Britta Niehof, 2014. "Monetary and Fiscal Policy in Times of Crises: A New Keynesian Perspective in Continuous Time," MAGKS Papers on Economics 201455, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Rahul Nath, 2018. "Flexible Labour, Income Effects, and Asset Prices," Economics Series Working Papers 851, University of Oxford, Department of Economics.
- De Paoli, Bianca & Zabczyk, Pawel, 2012.
"Why Do Risk Premia Vary Over Time? A Theoretical Investigation Under Habit Formation,"
Macroeconomic Dynamics, Cambridge University Press, vol. 16(S2), pages 252-266, September.
- De Paoli, Bianca & Zabczyk, Pawel, 2009. "Why do risk premia vary over time? A theoretical investigation under habit formation," Bank of England working papers 361, Bank of England.
- 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.
- Bianca De Paoli & Alasdair Scott & Olaf Weeken, 2006. "Asset pricing implications of a New Keynesian model," Computing in Economics and Finance 2006 358, Society for Computational Economics.
- 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.
- Bianca de Paoli & Alasdair Scott & Olaf Weeken, 2010. "Asset pricing implications of a new keynesian model," Post-Print hal-00732761, HAL.
- Bianca De Paoli, Alasdair Scott, Olaf Weeken, 2007. "Asset pricing implications for a New Keynesian model," Money Macro and Finance (MMF) Research Group Conference 2006 156, Money Macro and Finance Research Group.
- J. David Lopez-Salido & Francisco Vazquez-Grande & Pierlauro Lopez, 2015. "Macro-Finance Separation by Force of Habit," 2015 Meeting Papers 980, Society for Economic Dynamics.
- Horvath, Roman & Kaszab, Lorant & Marsal, Ales, 2021.
"Equity premium and monetary policy in a model with limited asset market participation,"
Economic Modelling, Elsevier, vol. 95(C), pages 430-440.
- Roman Horvath & Lorant Kaszab, 2016. "Equity Premium and Monetary Policy in a Model with Limited Asset Market Participation," Working Papers IES 2016/04, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Feb 2016.
- Roman Horvath & Lorant Kaszab & Ales Marsal, 2020. "Equity Premium and Monetary Policy in a Model with Limited Asset Market Participation," MNB Working Papers 2020/3, Magyar Nemzeti Bank (Central Bank of Hungary).
- Bianca De Paoli & Jens Søndergaard, 2017. "Revisiting the Forward Premium Anomaly Using Consumption Habits: A New Keynesian Model," Economica, London School of Economics and Political Science, vol. 84(335), pages 516-540, July.
- Roman Horvath & Lorant Kaszab & Ales Marsal, 2022.
"Fiscal Policy And the Nominal Term Premium,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(2-3), pages 663-683, March.
- Kaszab, Lorant & Marsal, Ales, 2013. "Fiscal Policy and the Nominal Term Premium," Cardiff Economics Working Papers E2013/13, Cardiff University, Cardiff Business School, Economics Section.
- Roman Horvath & Lóránt Kaszab & Ales Marsal, 2019. "Fiscal Policy and the Nominal Term Premium," MNB Working Papers 2019/2, Magyar Nemzeti Bank (Central Bank of Hungary).
- Roman Horvath & Lorant Kaszab & Ales Marsal, 2019. "Fiscal Policy and the Nominal Term Premium," Working and Discussion Papers WP 9/2019, Research Department, National Bank of Slovakia.
- Lorenzo Menna, 2016. "Optimal Fiscal and Monetary Policies Under Limited Asset Market Participation," Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti, Springer;Società Italiana degli Economisti (Italian Economic Association), vol. 2(3), pages 363-383, November.
- Ilek, Alex & Rozenshtrom, Irit, 2018.
"The term premium in a small open economy: A micro-founded approach,"
International Review of Economics & Finance, Elsevier, vol. 57(C), pages 333-352.
- Alex Ilek & Irit Rozenshtrom, 2017. "The Term Premium in a Small Open Economy: A Micro-Founded Approach," Bank of Israel Working Papers 2017.06, Bank of Israel.
- Christian Aubin & IBRAHIMA DIOUF & DOMINIQUE PEPIN, 2013. "Influence De La Politique Monetaire Sur Le Prix Des Actifs Financiers :Les Enseignements D’Un Modele Miu Applique A La Fed: Impact Of Monetary Policy On Asset Prices :Lessons From A Miu Model Applied ," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 56(3-4), pages 313-333.
- Burkhard Heer & Torben Klarl & Alfred Maussner, 2012. "Asset Pricing Implications of a New Keynesian Model: A Note," CESifo Working Paper Series 4041, CESifo.
- Bernard Dumas & Marcel Savioz, 2023. "A Theory of the Nominal Character of Stock Securities," Review of Finance, European Finance Association, vol. 27(5), pages 1615-1657.
- Andreasen , Martin & Zabczyk, Pawel, 2011. "An efficient method of computing higher-order bond price perturbation approximations," Bank of England working papers 416, Bank of England.
- De Graeve, Ferre & Dossche, Maarten & Emiris, Marina & Sneessens, Henri & Wouters, Raf, 2010.
"Risk premiums and macroeconomic dynamics in a heterogeneous agent model,"
Journal of Economic Dynamics and Control, Elsevier, vol. 34(9), pages 1680-1699, September.
- Ferre De Graeve & Maarten Dossche & Marina Emiris & Henri Sneessens & Raf Wouters, 2008. "Risk premiums and macroeconomic dynamics in a heterogeneous agent model," Working Paper Research 150, National Bank of Belgium.
- Ferre de Graeve & Maarten Dossche & Marina Emiris & Henri Sneessens & Raf Wouters, 2009. "Risk Premiums and Macroeconomic Dynamics in a Heterogeneous Agent Model," DEM Discussion Paper Series 09-17, Department of Economics at the University of Luxembourg.
- De Graeve, Ferre & Dossche, Maarten & Emiris, Marina & Sneessens, Henri & Wouters, Raf, 2010. "Risk Premiums and Macroeconomic Dynamics in a Heterogeneous Agent Model," Working Paper Series 236, Sveriges Riksbank (Central Bank of Sweden).
- Michael Hatcher, 2013.
"The inflation risk premium on government debt in an overlapping generations model,"
Working Papers
2013_17, Business School - Economics, University of Glasgow.
- Hatcher, Michael, 2013. "The Inflation Risk Premium on Government Debt in an Overlapping Generations Model," SIRE Discussion Papers 2013-81, Scottish Institute for Research in Economics (SIRE).
- Challe, Edouard & Giannitsarou, Chryssi, 2014.
"Stock prices and monetary policy shocks: A general equilibrium approach,"
Journal of Economic Dynamics and Control, Elsevier, vol. 40(C), pages 46-66.
- Challe, E. & Giannitsarou, C., 2011. "Stock Prices and Monetary Policy Shocks: A General Equilibrium Approach," Working papers 330, Banque de France.
- Edouard Challe & Chryssi Giannitsarou, 2012. "Stock Prices And Monetary Policy Shocks: A General Equilibrium Approach," Working Papers hal-00719956, HAL.
- Giannitsarou, Chryssi & CHALLE, Edouard, 2011. "Stock Prices and Monetary Policy Shocks: A General Equilibrium Approach," CEPR Discussion Papers 8387, C.E.P.R. Discussion Papers.
- Mitsuru Katagiri, 2022. "Equilibrium Yield Curve, the Phillips Curve, and Monetary Policy," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(8), pages 2235-2272, December.
- Pier dup Lopez & J. David López-Salido & Francisco Vazquez-Grande, 2015.
"Nominal Rigidities and the Term Structures of Equity and Bond Returns,"
Finance and Economics Discussion Series
2015-64, Board of Governors of the Federal Reserve System (U.S.).
- Pierlauro Lopez & J. David López-Salido & Francisco Vazquez-Grande, 2023. "Nominal Rigidities and the Term Structures of Equity and Bond Returns," Working Papers 23-11, Federal Reserve Bank of Cleveland.
- Martin Andreasen, 2012.
"On the Effects of Rare Disasters and Uncertainty Shocks for Risk Premia in Non-Linear DSGE Models,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 15(3), pages 295-316, July.
- Martin Andreasen, 2011. "Online Appendix to "On the Effects of Rare Disasters and Uncertainty Shocks for Risk Premia in Non-Linear DSGE Models"," Online Appendices 11-84, Review of Economic Dynamics.
- Martin Andreasen, 2011. "Code and data files for "On the Effects of Rare Disasters and Uncertainty Shocks for Risk Premia in Non-Linear DSGE Models"," Computer Codes 11-84, Review of Economic Dynamics.
- Kulish, Mariano & Rees, Daniel M., 2017.
"Unprecedented changes in the terms of trade,"
Journal of International Economics, Elsevier, vol. 108(C), pages 351-367.
- Mariano Kulish & Daniel Rees, 2015. "Unprecedented Changes in the Terms of Trade," RBA Research Discussion Papers rdp2015-11, Reserve Bank of Australia.
- Ales Marsal & Lorant Kaszab & Roman Horvath, 2017.
"Government Spending and the Term Structure of Interest Rates in a DSGE Model,"
Working and Discussion Papers
WP 3/2017, Research Department, National Bank of Slovakia.
- Ales Marsal, 2018. "Government Spending and the Term Structure of Interest Rates in a DSGE Model," 2018 Meeting Papers 107, Society for Economic Dynamics.
- Heer Burkhard & Maußner Alfred, 2013.
"Asset Returns, the Business Cycle and the Labor Market,"
German Economic Review, De Gruyter, vol. 14(3), pages 372-397, August.
- Burkhard Heer & Alfred Maußner, 2013. "Asset Returns, the Business Cycle and the Labor Market," German Economic Review, Verein für Socialpolitik, vol. 14(3), pages 372-397, August.
- Katsuhiro Oshima, 2019. "Heterogeneous Beliefs, Monetary Policy, and Stock Price Volatility," KIER Working Papers 1013, Kyoto University, Institute of Economic Research.
- van Binsbergen, Jules H. & Fernández-Villaverde, Jesús & Koijen, Ralph S.J. & Rubio-Ramírez, Juan, 2012.
"The term structure of interest rates in a DSGE model with recursive preferences,"
Journal of Monetary Economics, Elsevier, vol. 59(7), pages 634-648.
- Jules van Binsbergen & Jesús Fernández-Villaverde & Ralph S.J. Koijen & Juan F. Rubio-Ramírez, 2010. "The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences," NBER Working Papers 15890, National Bureau of Economic Research, Inc.
- Jules H. van Binsbergen & Jesús Fernández-Villaverde & Ralph S.J. Koijen & Juan F. Rubio-RamÃrez, 2010. "The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences," PIER Working Paper Archive 10-011, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Rubio-RamÃrez, Juan Francisco & Fernández-Villaverde, Jesús & Koijen, Ralph & van Binsbergen, Jules, 2010. "The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences," CEPR Discussion Papers 7781, C.E.P.R. Discussion Papers.
- Burkhard Heer & Alfred Maussner, 2011. "Asset Returns, the Business Cycle, and the Labor Market: A Sensitivity Analysis for the German Economy," CESifo Working Paper Series 3391, CESifo.
- Mitsuru Katagiri, 2018. "Equilibrium Yield Curve, the Phillips Curve, and Monetary Policy," IMF Working Papers 2018/242, International Monetary Fund.
- Oshima, Katsuhiro, 2020. "Search for yield and business cycles," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
- Lorenzo Menna & Patrizio Tirelli, 2021.
"Risk Premiums, Nominal Rigidities, and Limited Asset Market Participation,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(7), pages 1899-1921, October.
- Lorenzo Menna & Patrizio Tirelli, 2018. "Risk Premiums, Nominal Rigidities and Limited Asset Market Participation," Working Papers 388, University of Milano-Bicocca, Department of Economics, revised 25 Oct 2018.
- Cuadra, Gabriel & Menna, Lorenzo, 2019. "Capital flows and the business cycle," Journal of Economic Dynamics and Control, Elsevier, vol. 106(C), pages 1-1.
- Rahul Nath, 2018. "Equity Pricing New Keynesian Models with Nominal Rigidities and Investment," Economics Series Working Papers 850, University of Oxford, Department of Economics.
- Martin M. Andreasen, 2010.
"How Non-Gaussian Shocks Affect Risk Premia in Non-Linear DSGE Models,"
CREATES Research Papers
2010-63, Department of Economics and Business Economics, Aarhus University.
- Andreasen, Martin, 2011. "How non-Gaussian shocks affect risk premia in non-linear DSGE models," Bank of England working papers 417, Bank of England.
- Lorenzo Menna & Martin Tobal, 2018. "Financial and price stability in emerging markets: the role of the interest rate," BIS Working Papers 717, Bank for International Settlements.
- Nuno Clara, 2018. "Demand Elasticities, Nominal Rigidities and Asset Prices," 2018 Meeting Papers 790, Society for Economic Dynamics.
- Andreasen Martin M. & Zabczyk Pawel, 2015. "Efficient bond price approximations in non-linear equilibrium-based term structure models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(1), pages 1-33, February.
- Katsuhiro Oshima, 2021. "Heterogeneous beliefs, monetary policy, and stock price volatility," Annals of Finance, Springer, vol. 17(1), pages 79-125, March.
- Lorenzo Menna & Patrizio Tirelli, 2014. "The Equity Premium in a DSGE Model with Limited Asset Market Participation," Working Papers 275, University of Milano-Bicocca, Department of Economics, revised Jun 2014.
- Katsuhiro Oshima, 2019. "Subjective Beliefs, Monetary Policy, and Stock Price Volatility," KIER Working Papers 1012, Kyoto University, Institute of Economic Research.