Nnnnnominal rigidities and asset pricing books

The model will guide the empirical analysis and will allow me. November 21, 20 abstract this paper examines the asset pricing implications of nominal rigidities. Citeseerx document details isaac councill, lee giles, pradeep teregowda. This paper quantitatively explores the role of external habits, nominal rigidities, and monetary policy for real and nominal bond yields in an asset pricing endogenous growth model.

We analyze the implications of nominal rigidities and monetary policy on expected asset returns of production claims, focusing on claims on all future output and profits. Demand elasticities, nominal rigidities and asset prices. Michael weber additional contact information michael weber. Thus, our results suggest that if nominal rigidities are needed to match stylized facts of goods and labor markets, then demand shocks are needed to generate large risk premia, a stylized fact of asset prices. Asset return implications of nominal price and wage rigidities are analyzed in general equilibrium. Nominal rigidities here amplify the effect of demand shocks such as the proposed monetary policy shock. Demand elasticities, nominal rigidities and asset prices nuno clara february 26, 2018 abstract this paper examines the interactions between demand elasticity and nominal rigidities and their implication to rm fundamentals and asset prices. Nominal rigidities, asset returns, and monetary policy. The resistance of a price or set of prices to change, despite changes in the broad economy that suggest a different price is optimal. You can find lecture notes, class notes, readings, and problem sets at the. November 5, 20 job market paper abstract this paper examines the asset pricing implications of nominal rigidities. Written to be a summary for academics and professionals as well as a textbook, this book condenses and advances recent scholarship in financial economics. Asset prices, nominal rigidities, and monetary policy. Nominal rigidities and asset pricing by michael weber ssrn.

Merging confidential product price data at the firm level with stock returns, i document that the premium for stickyprice firms is a robust feature of the data and is not driven. Nominal rigidities and asset pricing michael weber march 27 2015 abstract this paper examines the asset pricing implications of nominal rigidities. Uc berkeley no 53, 2014 meeting papers from society for economic dynamics abstract. I solve a model to study the relation between demand elasticities and asset prices. Merging confidential product price data at the firm level with stock returns, i document that the premium for sticky. Merging unique productprice data at the firm level with stock returns, i document that the premium for stickyprice firms is a robust feature of the data and varies substantially. In a multisector newkeynesian model that rms facing more elastic demands bear higher risk due to the pres. This paper examines the asset pricing implications of nominal rigidities. Nominal rigidities and asset pricing kit econstartseite.

Firms that adjust their product prices infrequently earn a return premium of 4% per year. Asset pricing model capm cannot explain the level of portfolio returns, but it. Nominal rigidities and asset pricing michael weber. The idea behind this book on hand is to provide the reader with a canonical framework that shows how to bridge the gap between the continuoustime pricing.

Nominal rigidities, combined with permanent productivity shocks, increase expected excess. An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This page is devoted to the book asset pricing, and the corresponding online class. Asset prices, nominal rigidities, and monetary policy, federal reserve bank of cleveland. Real and nominal equilibrium yield curves management science. The effects of nominal rigidities on expected excess returns can be understood by the impact of these rigidities on the pricing kernel, output, labor, and production markups. I find that firms that adjust their product prices infrequently earn a crosssectional return premium of more than 4 % per year. Their single factor model prices size, booktomarket, momentum, and bond. I find that firms that adjust their product prices infrequently earn a crosssectional return premium of more than 4% per year.