Explaining Asset Prices with External Habits and Wage Rigidities in a DSGE Model

178 citations recorded by the source corpus.

Citations in the corpus

Risk Premiums and Macroeconomic Dynamics in a Heterogeneous Agent Model (2008, unknown): “@U3;t=@C3;t @U1;t=@C1;t = @U3;t=@C3;t+1 @U1;t=@C1;t+1 (32)”
Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance (2012, unknown): “Unlike the present work, those papers do not consider bonds, nor study return predictability.”
Appendix: Monetary Policy Drivers of Bond and Equity Risks (2020, unknown): “…and labor can be particularly challenging in habit formation models, even though some of these questions are starting to be addressed (Jermann 1998, Lettau and Uhlig 2000, Boldrin, Christiano, and Fisher 2001, Uhlig 2007, Rudebusch and Swanson 2008, Lopez, López-Salido, and Vazquez-Grande 2014).”
Wage Rigidity: A Solution to Several Asset Pricing Puzzles (2012, unknown): “Related literature While the macroeconomic literature on wages and labor is quite large (for example Pissarides (1979)), there has been surprisingly little work done relating labor frictions to finance; notable examples are Uhlig (2007) and Merz and Yashiv (2007).”