کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5099672 | 1377022 | 2010 | 18 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Asset pricing implications of a New Keynesian model
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
کنترل و بهینه سازی
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چکیده انگلیسی
We investigate the behavior of asset prices in a typical New Keynesian macro model. Using a second-order approximation, we examine bond and equity returns, the equity risk premium, and the behavior of the real and nominal term structure. As documented in the literature, our results suggest that introducing real rigidities to the model increases risk premia. Nevertheless we that find that, in a world dominated by productivity shocks, increasing nominal rigidities reduces risk premia. Such rigidities only enhance risk premia when economic dynamics are mainly driven by monetary policy shocks. The results imply that, unlike in endowment frameworks, matching asset pricing facts in macro models will require attention to the composition of shocks, not just the specification of investor preferences.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 34, Issue 10, October 2010, Pages 2056-2073
Journal: Journal of Economic Dynamics and Control - Volume 34, Issue 10, October 2010, Pages 2056-2073
نویسندگان
Bianca De Paoli, Alasdair Scott, Olaf Weeken,