Asset Pricing Implications of a New Keynesian Model: A Note

Burkhard Heer, Torben Klarl and Alfred Maussner ()

No 4041, CESifo Working Paper Series from CESifo

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.

Keywords: equity premium; New Keynesian Model; nominal rigidities (search for similar items in EconPapers)
JEL-codes: E43 E44 G12 (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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