This paper examines the assetpricing implications of nominal rigidities. Nominal rigidities and asset pricing michael weber march 27 2015 abstract this paper examines the asset pricing implications of nominal rigidities. Asset pricing implications of a new keynesian model. Michael weber additional contact information michael weber. The resistance of a price or set of prices to change, despite changes in the broad economy that suggest a different price is optimal. 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. 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 prices, nominal rigidities, and monetary policy. 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. This paper examines the asset pricing implications of nominal rigidities.
I find that firms that adjust their product prices infrequently earn a crosssectional return premium of more than 4 % per year. Nominal rigidities here amplify the effect of demand shocks such as the proposed monetary policy shock. Nominal rigidities, combined with permanent productivity shocks, increase expected excess. Real and nominal equilibrium yield curves management science. Written to be a summary for academics and professionals as well as a textbook, this book condenses and advances recent scholarship in financial economics. Uc berkeley no 53, 2014 meeting papers from society for economic dynamics abstract. Nominal rigidities and asset pricing kit econstartseite. 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. Merging confidential product price data at the firm level with stock returns, i document that the premium for sticky. 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. Nominal rigidities and asset pricing by michael weber ssrn. Asset return implications of nominal price and wage rigidities are analyzed in general equilibrium. Nominal rigidities and asset pricing michael weber.
In a multisector newkeynesian model that rms facing more elastic demands bear higher risk due to the pres. An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. Firms that adjust their product prices infrequently earn a return premium of 4% per year. 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.
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. November 5, 20 job market paper abstract this paper examines the asset pricing implications of nominal rigidities. This page is devoted to the book asset pricing, and the corresponding online class. 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.
323 1413 91 969 1193 1320 556 459 1449 1518 792 1396 187 464 615 1219 161 706 772 1076 267 9 1086 1328 117 1537 1465 752 1198 1111 510 1146 359 905 547 602 807