Details about Ralph Koijen

Access statistics for papers by Ralph Koijen.

Last updated 2023-03-10. Update your information in the RePEc Author Service.

Short-id: pko589

Working Papers

2025

1. Asset Embeddings
   NBER Working Papers, National Bureau of Economic Research, Inc
2. Limited Risk Transfer Between Investors: A New Benchmark for Macro-Finance Models
   NBER Working Papers, National Bureau of Economic Research, Inc

2023

3. Asset Demand of U.S. Households
   NBER Working Papers, National Bureau of Economic Research, Inc

2022

4. Aggregate Lapsation Risk
   NBER Working Papers, National Bureau of Economic Research, Inc
5. Understanding the Ownership Structure of Corporate Bonds
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)

2021

6. In Search of the Origins of Financial Fluctuations: The Inelastic Markets Hypothesis
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (48)
7. The Evolution from Life Insurance to Financial Engineering
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)

2020

8. Coronavirus: Impact on Stock Prices and Growth Expectations
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (293)
9. Exchange Rates and Asset Prices in a Global Demand System
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (39)
10. Granular Instrumental Variables
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (26)
11. Which Investors Matter for Equity Valuations and Expected Returns?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (25)

2019

12. Inspecting the Mechanism of Quantitative Easing in the Euro Area
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (13)

2018

13. Financing the War on Cancer
    NBER Working Papers, National Bureau of Economic Research, Inc
14. The Fragility of Market Risk Insurance
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (9)

2017

15. Risk of Life Insurers: Recent Trends and Transmission Mechanisms
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (7)

2015

16. A Demand System Approach to Asset Pricing
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)
17. The Term Structure of Returns: Facts and Theory
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (23)

2014

18. Financial Health Economics
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)

2013

19. Carry
    NBER Working Papers, National Bureau of Economic Research, Inc
20. Shadow Insurance
    NBER Working Papers, National Bureau of Economic Research, Inc

2012

21. The Cost of Financial Frictions for Life Insurers
    2012 Meeting Papers, Society for Economic Dynamics View citations (6)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2012) View citations (5)
22. 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)

2011

23. A Term Structure of Growth
    2011 Meeting Papers, Society for Economic Dynamics
24. Equity Yields
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (73)
25. Health and Mortality Delta: Assessing the Welfare Cost of Household Insurance Choice
    2011 Meeting Papers, Society for Economic Dynamics View citations (7)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2011) View citations (8)
26. On the Timing and Pricing of Dividends
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (12)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2010) View citations (8)
    See also Journal Article On the Timing and Pricing of Dividends, American Economic Review, American Economic Association (2012) View citations (184) (2012)

2010

27. Determinants and consequences of mortgage default
    Working Papers (Old Series), Federal Reserve Bank of Cleveland View citations (6)
28. Predictability of Returns and Cash Flows
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
    See also Journal Article Predictability of Returns and Cash Flows, Annual Review of Financial Economics, Annual Reviews (2011) View citations (78) (2011)
29. Predictive Regressions: A Present-value Approach
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (181)
    See also Journal Article Predictive Regressions: A Present‐Value Approach, Journal of Finance, American Finance Association (2010) View citations (180) (2010)
30. The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania View citations (30)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2010) View citations (22)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2010) View citations (25)
    See also Journal Article The term structure of interest rates in a DSGE model with recursive preferences, Journal of Monetary Economics, Elsevier (2012) View citations (168) (2012)

2009

31. Optimal Health and Longevity Insurance
    2009 Meeting Papers, Society for Economic Dynamics
32. The Bond Risk Premium and the Cross-Section of Equity Returns
    2009 Meeting Papers, Society for Economic Dynamics

2008

33. Likelihood Estimation of DSGE Models with Epstein-Zin Preferences
    2008 Meeting Papers, Society for Economic Dynamics View citations (29)

2007

34. Mortgage Timing
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (5)
    See also Journal Article Mortgage timing, Journal of Financial Economics, Elsevier (2009) View citations (59) (2009)

2006

35. Optimal Decentralized Investment Management
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
    See also Journal Article Optimal Decentralized Investment Management, Journal of Finance, American Finance Association (2008) View citations (44) (2008)

Journal Articles

2012

1. On the Timing and Pricing of Dividends
   American Economic Review, 2012, 102, (4), 1596-1618 View citations (184)
   See also Working Paper On the Timing and Pricing of Dividends, Swiss Finance Institute Research Paper Series (2011) View citations (12) (2011)
2. The term structure of interest rates in a DSGE model with recursive preferences
   Journal of Monetary Economics, 2012, 59, (7), 634-648 View citations (168)
   See also Working Paper The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences, PIER Working Paper Archive (2010) View citations (30) (2010)

2011

3. Optimal Annuity Risk Management
   Review of Finance, 2011, 15, (4), 799-833 View citations (23)
4. Predictability of Returns and Cash Flows
   Annual Review of Financial Economics, 2011, 3, (1), 467-491 View citations (78)
   See also Working Paper Predictability of Returns and Cash Flows, NBER Working Papers (2010) View citations (4) (2010)

2010

5. Long Run Risk, the Wealth-Consumption Ratio, and the Temporal Pricing of Risk
   American Economic Review, 2010, 100, (2), 552-56 View citations (17)
6. Predictive Regressions: A Present‐Value Approach
   Journal of Finance, 2010, 65, (4), 1439-1471 View citations (180)
   See also Working Paper Predictive Regressions: A Present-value Approach, NBER Working Papers (2010) View citations (181) (2010)
7. When Can Life Cycle Investors Benefit from Time-Varying Bond Risk Premia?
   The Review of Financial Studies, 2010, 23, (2), 741-780 View citations (50)

2009

8. Momentum and Mean Reversion in Strategic Asset Allocation
   Management Science, 2009, 55, (7), 1199-1213 View citations (28)
9. Mortgage timing
   Journal of Financial Economics, 2009, 93, (2), 292-324 View citations (59)
   See also Working Paper Mortgage Timing, NBER Working Papers (2007) View citations (5) (2007)

2008

10. Optimal Decentralized Investment Management
    Journal of Finance, 2008, 63, (4), 1849-1895 View citations (44)
    See also Working Paper Optimal Decentralized Investment Management, NBER Working Papers (2006) View citations (1) (2006)

Chapters

2014

1. Judging the Quality of Survey Data by Comparison with "Truth" as Measured by Administrative Records: Evidence From Sweden
   A chapter in Improving the Measurement of Consumer Expenditures, 2014, pp 308-346 View citations (29)