Asset Pricing Implications of a New Keynesian Model: A Note

20 Pages Posted: 3 Jan 2013

See all articles by Burkhard Heer

Burkhard Heer

University of Augsburg; CESifo (Center for Economic Studies and Ifo Institute)

Torben Klarl

University of Augsburg - Faculty of Business and Economics; ZEW

Alfred Maussner

University of Augsburg - Faculty of Business and Economics

Date Written: December 28, 2012

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

JEL Classification: E440, E430, G120

Suggested Citation

Heer, Burkhard and Klarl, Torben and Maussner, Alfred, Asset Pricing Implications of a New Keynesian Model: A Note (December 28, 2012). CESifo Working Paper Series No. 4041. Available at SSRN: https://ssrn.com/abstract=2195510

Burkhard Heer (Contact Author)

University of Augsburg ( email )

Universitätsstr. 2
Augsburg, 86159
Germany

CESifo (Center for Economic Studies and Ifo Institute) ( email )

Poschinger Str. 5
Munich, DE-81679
Germany

Torben Klarl

University of Augsburg - Faculty of Business and Economics ( email )

Augsburg, 86135
Germany

ZEW ( email )

P.O. Box 10 34 43
L 7,1
D-68034 Mannheim, 68034
Germany

Alfred Maussner

University of Augsburg - Faculty of Business and Economics ( email )

Universitaetsstr. 16
86135 Augsburg
Germany
+49 821 598 4187 (Phone)
+49 821 598 4231 (Fax)

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