Case report
Open access
Oct 2026
A New Keynesian model of the term structures of equity and bond returns
A simple production economy with nominal price rigidities explains several key asset pricing facts, including the average slopes and cyclicality of equity and interest rate term structures. Nominal rigidities amplify the procyclicality of dividends after negative productivity shocks and generate countercyclical inflati...
Pierlauro Lopez, Francisco Vazquez-Grande, D. Lopez-Salido
· Journal of Financial Economi... · 0 citations