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2007-05-25Buch DOI: 10.18452/4075
Explaining Asset Prices with External Habits and Wage Rigidities in a DSGE Model
dc.contributor.authorUhlig, Harald
dc.date.accessioned2017-06-15T23:32:02Z
dc.date.available2017-06-15T23:32:02Z
dc.date.created2007-09-27
dc.date.issued2007-05-25
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4727
dc.description.abstractIn this paper, I investigate the scope of a model with exogenous habit formation - or `catching up with the Joneses`, see Abel (1990) - to generate the observed equity premium as well as other key macroeconomic facts. Along the way, I derive restrictions for four out of eight parameters for a rather general preference specification of habit formation by imposing consistency with long-run growth, the leisure share, the aggregate Frisch elasticity of labor supply, the observed risk-free rate, and the observed Sharpe ratio. I show that a DSGE model with (exogenous and lagged) habits in both leisure and consumption, but not necessarily with additional persistence, is well capable of matching the observed asset market facts as well as macro facts, provided one allows for moderate real wage stickiness and provided one allows for sufficient curvature on preferences, as dictated by the asset market observations. Without wage stickiness, delivery on both the asset pricing implications as well as the macroeconomic implications seems to be much harder.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.titleExplaining Asset Prices with External Habits and Wage Rigidities in a DSGE Model
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10080081
dc.identifier.urnurn:nbn:de:kobv:11-10075234
dc.identifier.doihttp://dx.doi.org/10.18452/4075
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages15
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2007
local.edoc.container-issue3
local.edoc.container-year2007
local.edoc.container-erstkatid2195055-6

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