Details about Hanno Lustig

Access statistics for papers by Hanno Lustig.

Last updated 2009-05-18. Update your information in the RePEc Author Service.

Short-id: plu17

Working Papers

2009

1. Is the Volatility of the Market Price of Risk due to Intermittent Portfolio Re-balancing?
   NBER Working Papers, National Bureau of Economic Research, Inc
2. Technological Change and the Growing Inequality in Managerial Compensation
   NBER Working Papers, National Bureau of Economic Research, Inc

2008

3. Common Risk Factors in Currency Markets
   NBER Working Papers, National Bureau of Economic Research, Inc View citations
4. Note on The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk
   NBER Working Papers, National Bureau of Economic Research, Inc View citations
5. The Wealth-Consumption Ratio
   NBER Working Papers, National Bureau of Economic Research, Inc View citations

2007

6. A Multiplier Approach to Understanding the Macro Implications of Household Finance
   NBER Working Papers, National Bureau of Economic Research, Inc
7. Evaluating Asset Pricing Models with Limited Commitment using Household Consumption Data
   NBER Working Papers, National Bureau of Economic Research, Inc
   See also Journal Article in Journal of the European Economic Association (2008)

2006

8. Can Housing Collateral Explain Long-Run Swings in Asset Returns?
   NBER Working Papers, National Bureau of Economic Research, Inc View citations
9. Exchange Rates, Prices and International Trade in a Model of Endogenous Market Structure
   Birkbeck Working Papers in Economics and Finance, Birkbeck, Department of Economics, Mathematics & Statistics
10. The Irrelevance of Market Incompleteness for the Price of Aggregate Risk
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
11. 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

2005

12. Fiscal Hedging and the Yield Curve
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
13. 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 in Journal of the European Economic Association (2006)
14. 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
15. THE CROSS-SECTION OF FOREIGN CURRENCY RISK PREMIA AND CONSUMPTION GROWTH RISK
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics View citations
    See also Journal Article in American Economic Review (2007)
16. The Cross-Section of Currency Risk Premia and US Consumption Growth Risk
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
17. The Market Price of Aggregate Risk and the Wealth Distribution
    NBER Working Papers, National Bureau of Economic Research, Inc
    Also in Finance, EconWPA (2001) View citations
    UCLA Economics Online Papers, UCLA Department of Economics (2004) View citations
18. 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
    See also Journal Article in Review of Financial Studies (2008)
19. 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
20. The Returns on Human Wealth: Good News on Wall Street is Bad News on Main Street
    2005 Meeting Papers, Society for Economic Dynamics

2004

21. A Theory of Housing Collateral, Consumption Insurance and Risk Premia
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
22. Can Housing Collateral Explain Long-Run Swings in Asset Returns? (joint with Stijn Van Nieuwerburgh)
    UCLA Economics Online Papers, UCLA Department of Economics
23. Does the US government hedge against government expenditure risk?
    2004 Meeting Papers, Society for Economic Dynamics View citations
24. Housing Collateral and Consumption Insurance Across US Regions
    2004 Meeting Papers, Society for Economic Dynamics View citations
25. 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
26. How Much Does Household Collateral Constrain Regional Risk Sharing?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
27. 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
28. The Cross-Section of Foreign Currency Risk Premia and US Consumption Growth Risk
    2004 Meeting Papers, Society for Economic Dynamics View citations
29. 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

30. Housing Collateral, Consumption Insurance and Risk Premia: An Empirical Perpective
    NBER Working Papers, National Bureau of Economic Research, Inc
    See also Journal Article in Journal of Finance (2005)

2002

31. Housing Collateral, Consumption Insurance and Risk Premia
    Macroeconomics, EconWPA View citations
32. Short and Long Term Real Effects of Exchange Rates
    Computing in Economics and Finance 2002, Society for Computational Economics

1998

33. Circular Aspects of Exchange Rates and Market Structure
    Center for Economic Studies - Discussion papers, Katholieke Universiteit Leuven, Centrum voor Economische Studiën

Undated

34. Does the US Government Hedge Against Fiscal Risk?
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business
35. Exploring the Link between Housing and the Value Premium (joint with Stijn Van Nieuwerburgh)
    UCLA Economics Online Papers, UCLA Department of Economics
36. Fiscal Hedging with Nominal Assets
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business
    See also Journal Article in Journal of Monetary Economics (2008)
37. 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

2008

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

2007

4. The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk
   American Economic Review, 2007, 97, (1), 89-117 View citations
   See also Working Paper (2005)

2006

5. 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
   See also Working Paper (2005)

2005

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

Chapters

2008

1. Comment on "Carry Trades and Currency Crashes"
   A chapter in NBER Macroeconomics Annual 2008, 2008