Details about Hanno Lustig

Access statistics for papers by Hanno Lustig.

Last updated 2023-03-11. Update your information in the RePEc Author Service.

Short-id: plu17

Working Papers

2024

1. Convenience Yields and Exchange Rate Puzzles
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)

2023

2. Implications of Asset Market Data for Equilibrium Models of Exchange Rates
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
3. What about Japan?
   NBER Working Papers, National Bureau of Economic Research, Inc

2022

4. Exorbitant Privilege Gained and Lost: Fiscal Implications
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
5. Measuring U.S. Fiscal Capacity using Discounted Cash Flow Analysis
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
6. The Rest of the World’s Dollar-Weighted Return on U.S. Treasurys
   NBER Working Papers, National Bureau of Economic Research, Inc

2021

7. Financial and Total Wealth Inequality with Declining Interest Rates
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (12)
8. What Drives Variation in the U.S. Debt/Output Ratio? The Dogs that Didn't Bark
   NBER Working Papers, National Bureau of Economic Research, Inc

2020

9. Dollar Safety and the Global Financial Cycle
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (23)
10. Manufacturing Risk-free Government Debt
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
11. Spending Less After (Seemingly) Bad News
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)

2019

12. The U.S. Public Debt Valuation Puzzle
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (14)

2018

13. Foreign Safe Asset Demand and the Dollar Exchange Rate
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (41)
14. Post-FOMC Announcement Drift in U.S. Bond Markets
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (20)

2017

15. Complex Asset Markets
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
16. Gravity in FX R-Squared: Understanding the Factor Structure in Exchange Rates
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
17. Why Are Exchange Rates So Smooth? A Household Finance Explanation
    Working papers, University of Connecticut, Department of Economics
    Also in Working Papers, Federal Reserve Bank of St. Louis (2015) View citations (4)

2016

18. Capital Share Dynamics When Firms Insure Workers
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (13)
19. Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (9)
20. Equity is Cheap for Large Financial Institutions: The International Evidence
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (9)

2014

21. Implications of Heterogeneity in Preferences, Beliefs and Asset Trading Technologies for the Macroeconomy
    NBER Working Papers, National Bureau of Economic Research, Inc
    Also in Working Papers, Federal Reserve Bank of St. Louis (2014)
22. The Common Factor in Idiosyncratic Volatility: Quantitative Asset Pricing Implications
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (17)

2013

23. Deflation Risk
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
24. Firm Volatility in Granular Networks
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (81)
25. The Term Structure of Currency Carry Trade Risk Premia
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (9)

2012

26. The Cross-Section and Time-Series of Stock and Bond Returns
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (18)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2010) View citations (17)
27. The Wealth-Consumption Ratio
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (2)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2008) View citations (25)
28. Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (13)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2011) View citations (23)
    2011 Meeting Papers, Society for Economic Dynamics (2011) View citations (22)

2011

29. Why Does the Treasury Issue TIPS? The TIPS-Treasury Bond Puzzle
    2011 Meeting Papers, Society for Economic Dynamics
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2010) View citations (25)

2010

30. Countercyclical Currency Risk Premia
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (27)
31. How Does the U.S. Government Finance Fiscal Shocks?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)
    Also in GSIA Working Papers, Carnegie Mellon University, Tepper School of Business View citations (3)
    See also Journal Article How Does the US Government Finance Fiscal Shocks?, American Economic Journal: Macroeconomics, American Economic Association (2012) View citations (25) (2012)
32. Size Anomalies in U.S. Bank Stock Returns: A Fiscal Explanation
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (16)
33. Size Anomalies in US Bank Stock Returns: Your Tax Dollars at Work?
    2010 Meeting Papers, Society for Economic Dynamics View citations (1)

2009

34. Is the Volatility of the Market Price of Risk due to Intermittent Portfolio Re-balancing?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (5)
    See also Journal Article Is the Volatility of the Market Price of Risk Due to Intermittent Portfolio Rebalancing?, American Economic Review, American Economic Association (2012) View citations (61) (2012)
35. Technological Change and the Growing Inequality in Managerial Compensation
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)
    See also Journal Article Technological change and the growing inequality in managerial compensation, Journal of Financial Economics, Elsevier (2011) View citations (48) (2011)
36. The Bond Risk Premium and the Cross-Section of Equity Returns
    2009 Meeting Papers, Society for Economic Dynamics

2008

37. Common Risk Factors in Currency Markets
    2008 Meeting Papers, Society for Economic Dynamics View citations (31)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2008) View citations (35)
    See also Journal Article Common Risk Factors in Currency Markets, The Review of Financial Studies, Society for Financial Studies (2011) View citations (512) (2011)
38. IT, Corporate Payouts, and the Growing Inequality in Managerial Compensation
    2008 Meeting Papers, Society for Economic Dynamics View citations (6)
39. The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: A Reply
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)
    See also Journal Article The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: Reply, American Economic Review, American Economic Association (2011) View citations (31) (2011)

2007

40. A Multiplier Approach to Understanding the Macro Implications of Household Finance
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (12)
    See also Journal Article A Multiplier Approach to Understanding the Macro Implications of Household Finance, The Review of Economic Studies, Review of Economic Studies Ltd (2011) View citations (78) (2011)
41. Evaluating Asset Pricing Models with Limited Commitment using Household Consumption Data
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
    See also Journal Article Evaluating Asset Pricing Models with Limited Commitment Using Household Consumption Data, Journal of the European Economic Association, MIT Press (2008) View citations (13) (2008)
42. The Wealth-Consumption Ratio: A Litmus Test for Consumption-Based Asset Pricing Models
    2007 Meeting Papers, Society for Economic Dynamics View citations (14)
    Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2007) View citations (18)
    UCLA Economics Online Papers, UCLA Department of Economics

2006

43. Can Housing Collateral Explain Long-Run Swings in Asset Returns?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (24)
44. Optimal Debt Maturity Management
    2006 Meeting Papers, Society for Economic Dynamics
45. The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk
    Working papers, Banque de France View citations (27)
    Also in 2004 Meeting Papers, Society for Economic Dynamics (2004) View citations (24)
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2006) View citations (3)
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2005) View citations (12)
    See also Journal Article The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk, American Economic Review, American Economic Association (2007) View citations (428) (2007)
46. The Irrelevance of Market Incompleteness for the Price of Aggregate Risk
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
47. When is Market Incompleteness Irrelevant for the Price of Aggregate Risk (and when is it not)?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
    See also Journal Article When is market incompleteness irrelevant for the price of aggregate risk (and when is it not)?, Journal of Economic Theory, Elsevier (2010) View citations (65) (2010)

2005

48. Does the US government Hedge against Defense Expenditure Risk? (joint with Chris Sleet and Sevin Yeltekin)
    UCLA Economics Online Papers, UCLA Department of Economics
49. Fiscal Hedging and the Yield Curve
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
50. Fiscal Hedging and the Yield Curve(joint with Chris Sleet, CMU, and Sevin Yeltekin (CMU))
    UCLA Economics Online Papers, UCLA Department of Economics
51. Investing in Foreign Currency is like Betting on your Intertemporal Marginal Rate of Substitution
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics
    See also Journal Article Investing in Foreign Currency is like Betting on your Intertemporal Marginal Rate of Substitution, Journal of the European Economic Association, MIT Press (2006) View citations (19) (2006)
52. Investing in Foreign Currency is like Betting on your Intertemporal Marginal Rate of Substitution (joint with Adrien Verdelhan, BU, forthcoming in Papers and Proceedings JEEA)
    UCLA Economics Online Papers, UCLA Department of Economics
53. The Cross-Section of Currency Risk Premia and US Consumption Growth Risk
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (19)
54. The Market Price of Aggregate Risk and the Wealth Distribution
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (14)
    Also in Finance, University Library of Munich, Germany (2001) View citations (32)
    UCLA Economics Online Papers, UCLA Department of Economics (2004) View citations (19)
    See also Journal Article The Market Price of Aggregate Risk and the Wealth Distribution, The Review of Financial Studies, Society for Financial Studies (2010) View citations (64) (2010)
55. The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (22)
    See also Journal Article The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street, The Review of Financial Studies, Society for Financial Studies (2008) View citations (77) (2008)
56. The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street (joint with Stijn Van Nieuwerburgh)
    UCLA Economics Online Papers, UCLA Department of Economics View citations (11)
57. The Returns on Human Wealth: Good News on Wall Street is Bad News on Main Street
    2005 Meeting Papers, Society for Economic Dynamics View citations (21)

2004

58. A Theory of Housing Collateral, Consumption Insurance and Risk Premia
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (15)
59. Can Housing Collateral Explain Long-Run Swings in Asset Returns? (joint with Stijn Van Nieuwerburgh)
    UCLA Economics Online Papers, UCLA Department of Economics
60. Does the US government hedge against government expenditure risk?
    2004 Meeting Papers, Society for Economic Dynamics View citations (7)
61. Housing Collateral and Consumption Insurance Across US Regions
    2004 Meeting Papers, Society for Economic Dynamics View citations (15)
62. Housing Collateral, Consumption Insurance and Risk Premia: an Empirical Perspective (joint with Stijn Van Nieuwerburgh), forthcoming Journal of Finance
    UCLA Economics Online Papers, UCLA Department of Economics View citations (2)
63. How Much Does Household Collateral Constrain Regional Risk Sharing?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
    See also Journal Article How Much Does Household Collateral Constrain Regional Risk Sharing?, Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics (2010) View citations (74) (2010)
64. How much Does Household Collateral Constrain Regional Risk Sharing? (joint with Stijn Van Nieuwerburgh) (updated February 2006)
    UCLA Economics Online Papers, UCLA Department of Economics
65. The Cross-Section of Foreign Currency Risk Premia and US Consumption Growth Risk (joint with Adrien Verdelhan)(updated February 2006)
    UCLA Economics Online Papers, UCLA Department of Economics

2003

66. Housing Collateral, Consumption Insurance and Risk Premia: An Empirical Perpective
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
    See also Journal Article Housing Collateral, Consumption Insurance, and Risk Premia: An Empirical Perspective, Journal of Finance, American Finance Association (2005) View citations (288) (2005)

2002

67. Housing Collateral, Consumption Insurance and Risk Premia
    Macroeconomics, University Library of Munich, Germany View citations (26)

Undated

68. Exploring the Link between Housing and the Value Premium (joint with Stijn Van Nieuwerburgh)
    UCLA Economics Online Papers, UCLA Department of Economics
69. Fiscal Hedging with Nominal Assets
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business
    See also Journal Article Fiscal hedging with nominal assets, Journal of Monetary Economics, Elsevier (2008) View citations (65) (2008)
70. Macro Implications of Household Finance (joint with YiLi Chien and Harold Cole )
    UCLA Economics Online Papers, UCLA Department of Economics
71. When is Market Incompleteness Irrelevant for the Price of Aggregate Risk (joint with Dirk Krueger, UPenn)
    UCLA Economics Online Papers, UCLA Department of Economics

Journal Articles

2016

1. Implications of Heterogeneity in Preferences, Beliefs and Asset Trading Technologies in an Endowment Economy
   Review of Economic Dynamics, 2016, 20, 215-239 View citations (10)

2012

2. How Does the US Government Finance Fiscal Shocks?
   American Economic Journal: Macroeconomics, 2012, 4, (1), 69-104 View citations (25)
   See also Working Paper How Does the U.S. Government Finance Fiscal Shocks?, NBER Working Papers (2010) View citations (2) (2010)
3. Is the Volatility of the Market Price of Risk Due to Intermittent Portfolio Rebalancing?
   American Economic Review, 2012, 102, (6), 2859-96 View citations (61)
   See also Working Paper Is the Volatility of the Market Price of Risk due to Intermittent Portfolio Re-balancing?, NBER Working Papers (2009) View citations (5) (2009)

2011

4. A Multiplier Approach to Understanding the Macro Implications of Household Finance
   The Review of Economic Studies, 2011, 78, (1), 199-234 View citations (78)
   See also Working Paper A Multiplier Approach to Understanding the Macro Implications of Household Finance, NBER Working Papers (2007) View citations (12) (2007)
5. Common Risk Factors in Currency Markets
   The Review of Financial Studies, 2011, 24, (11), 3731-3777 View citations (512)
   See also Working Paper Common Risk Factors in Currency Markets, 2008 Meeting Papers (2008) View citations (31) (2008)
6. Technological change and the growing inequality in managerial compensation
   Journal of Financial Economics, 2011, 99, (3), 601-627 View citations (48)
   See also Working Paper Technological Change and the Growing Inequality in Managerial Compensation, NBER Working Papers (2009) View citations (3) (2009)
7. The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: Reply
   American Economic Review, 2011, 101, (7), 3477-3500 View citations (31)
   See also Working Paper The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: A Reply, NBER Working Papers (2008) View citations (3) (2008)

2010

8. How Much Does Household Collateral Constrain Regional Risk Sharing?
   Review of Economic Dynamics, 2010, 13, (2), 265-294 View citations (74)
   See also Working Paper How Much Does Household Collateral Constrain Regional Risk Sharing?, NBER Working Papers (2004) View citations (6) (2004)
   Software Item Code and data files for "How Much Does Housing Collateral Constrain Regional Risk Sharing?", Computer Codes (2009) (2009)
9. Long Run Risk, the Wealth-Consumption Ratio, and the Temporal Pricing of Risk
   American Economic Review, 2010, 100, (2), 552-56 View citations (17)
10. The Market Price of Aggregate Risk and the Wealth Distribution
    The Review of Financial Studies, 2010, 23, (4), 1596-1650 View citations (64)
    See also Working Paper The Market Price of Aggregate Risk and the Wealth Distribution, NBER Working Papers (2005) View citations (14) (2005)
11. When is market incompleteness irrelevant for the price of aggregate risk (and when is it not)?
    Journal of Economic Theory, 2010, 145, (1), 1-41 View citations (65)
    See also Working Paper When is Market Incompleteness Irrelevant for the Price of Aggregate Risk (and when is it not)?, NBER Working Papers (2006) View citations (6) (2006)

2008

12. Evaluating Asset Pricing Models with Limited Commitment Using Household Consumption Data
    Journal of the European Economic Association, 2008, 6, (2-3), 715-726 View citations (13)
    See also Working Paper Evaluating Asset Pricing Models with Limited Commitment using Household Consumption Data, NBER Working Papers (2007) View citations (1) (2007)
13. Fiscal hedging with nominal assets
    Journal of Monetary Economics, 2008, 55, (4), 710-727 View citations (65)
    See also Working Paper Fiscal Hedging with Nominal Assets, GSIA Working Papers
14. The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street
    The Review of Financial Studies, 2008, 21, (5), 2097-2137 View citations (77)
    See also Working Paper The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street, NBER Working Papers (2005) View citations (22) (2005)

2007

15. The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk
    American Economic Review, 2007, 97, (1), 89-117 View citations (428)
    See also Working Paper The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk, Working papers (2006) View citations (27) (2006)

2006

16. Investing in Foreign Currency is like Betting on your Intertemporal Marginal Rate of Substitution
    Journal of the European Economic Association, 2006, 4, (2-3), 644-655 View citations (19)
    See also Working Paper Investing in Foreign Currency is like Betting on your Intertemporal Marginal Rate of Substitution, Boston University - Department of Economics - Working Papers Series (2005) (2005)

2005

17. Housing Collateral, Consumption Insurance, and Risk Premia: An Empirical Perspective
    Journal of Finance, 2005, 60, (3), 1167-1219 View citations (288)
    See also Working Paper Housing Collateral, Consumption Insurance and Risk Premia: An Empirical Perpective, NBER Working Papers (2003) View citations (1) (2003)

Chapters

2009

1. Comment on "Carry Trades and Currency Crashes"
   A chapter in NBER Macroeconomics Annual 2008, Volume 23, 2009, pp 361-384 View citations (1)

Software Items

2009

1. Code and data files for "How Much Does Housing Collateral Constrain Regional Risk Sharing?"
   Computer Codes, Review of Economic Dynamics
   See also Journal Article How Much Does Household Collateral Constrain Regional Risk Sharing?, Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics (2010) View citations (74) (2010)