EconPapers    
Economics at your fingertips  
 

Details about Hanno Lustig

E-mail:
Homepage:https://sites.google.com/site/lustighanno/
Postal address:Stanford Graduate School of Business 355 Knight Way Stanford, Ca 94305
Workplace:Finance Group, Anderson Graduate School of Management, University of California-Los Angeles (UCLA), (more information at EDIRC)
National Bureau of Economic Research (NBER), (more information at EDIRC)

Access statistics for papers by Hanno Lustig.

Last updated 2015-07-16. Update your information in the RePEc Author Service.

Short-id: plu17


Jump to Journal Articles Chapters Software Items

Working Papers

2020

  1. Dollar Safety and the Global Financial Cycle
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
  2. Manufacturing Risk-free Government Debt
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
  3. Spending Less After (Seemingly) Bad News
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
  4. Why Are Exchange Rates So Smooth? A Household Finance Explanation
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (3)
    Also in Working papers, University of Connecticut, Department of Economics (2017) Downloads

2019

  1. The U.S. Public Debt Valuation Puzzle
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads

2018

  1. Foreign Safe Asset Demand and the Dollar Exchange Rate
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (15)
  2. Post-FOMC Announcement Drift in U.S. Bond Markets
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (8)

2017

  1. Complex Asset Markets
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
  2. Gravity in FX R-Squared: Understanding the Factor Structure in Exchange Rates
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (6)

2016

  1. Capital Share Dynamics When Firms Insure Workers
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (7)
  2. Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (5)
  3. Equity is Cheap for Large Financial Institutions: The International Evidence
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (6)

2014

  1. Implications of Heterogeneity in Preferences, Beliefs and Asset Trading Technologies for the Macroeconomy
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    Also in Working Papers, Federal Reserve Bank of St. Louis (2014) Downloads
  2. The Common Factor in Idiosyncratic Volatility: Quantitative Asset Pricing Implications
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (14)

2013

  1. Deflation Risk
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (6)
  2. Firm Volatility in Granular Networks
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (47)
  3. The Term Structure of Currency Carry Trade Risk Premia
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (7)

2012

  1. The Cross-Section and Time-Series of Stock and Bond Returns
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (15)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2010) Downloads View citations (17)
  2. The Wealth-Consumption Ratio
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (1)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2008) Downloads View citations (21)
  3. Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (11)
    Also in 2011 Meeting Papers, Society for Economic Dynamics (2011) Downloads View citations (5)
    NBER Working Papers, National Bureau of Economic Research, Inc (2011) Downloads View citations (13)

2011

  1. Why Does the Treasury Issue TIPS? The TIPS-Treasury Bond Puzzle
    2011 Meeting Papers, Society for Economic Dynamics Downloads
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2010) Downloads View citations (22)

2010

  1. Countercyclical Currency Risk Premia
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (14)
  2. How Does the U.S. Government Finance Fiscal Shocks?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (2)
    Also in GSIA Working Papers, Carnegie Mellon University, Tepper School of Business Downloads View citations (3)

    See also Journal Article in American Economic Journal: Macroeconomics (2012)
  3. Size Anomalies in U.S. Bank Stock Returns: A Fiscal Explanation
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (14)
  4. Size Anomalies in US Bank Stock Returns: Your Tax Dollars at Work?
    2010 Meeting Papers, Society for Economic Dynamics Downloads View citations (1)

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 Downloads View citations (5)
    See also Journal Article in American Economic Review (2012)
  2. Technological Change and the Growing Inequality in Managerial Compensation
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (2)
    See also Journal Article in Journal of Financial Economics (2011)
  3. The Bond Risk Premium and the Cross-Section of Equity Returns
    2009 Meeting Papers, Society for Economic Dynamics Downloads

2008

  1. Common Risk Factors in Currency Markets
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (25)
    Also in 2008 Meeting Papers, Society for Economic Dynamics (2008) Downloads View citations (7)

    See also Journal Article in Review of Financial Studies (2011)
  2. IT, Corporate Payouts, and the Growing Inequality in Managerial Compensation
    2008 Meeting Papers, Society for Economic Dynamics Downloads View citations (4)
  3. The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: A Reply
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (2)
    See also Journal Article in American Economic Review (2011)

2007

  1. A Multiplier Approach to Understanding the Macro Implications of Household Finance
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (11)
    See also Journal Article in Review of Economic Studies (2011)
  2. Evaluating Asset Pricing Models with Limited Commitment using Household Consumption Data
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    See also Journal Article in Journal of the European Economic Association (2008)
  3. The Wealth-Consumption Ratio: A Litmus Test for Consumption-Based Asset Pricing Models
    2007 Meeting Papers, Society for Economic Dynamics Downloads View citations (4)
    Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2007) View citations (16)
    UCLA Economics Online Papers, UCLA Department of Economics Downloads

2006

  1. Can Housing Collateral Explain Long-Run Swings in Asset Returns?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (15)
  2. Optimal Debt Maturity Management
    2006 Meeting Papers, Society for Economic Dynamics
  3. The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk
    Working papers, Banque de France Downloads View citations (27)
    Also in 2004 Meeting Papers, Society for Economic Dynamics (2004) Downloads View citations (24)
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2005) View citations (6)
    Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2006) View citations (1)

    See also Journal Article in American Economic Review (2007)
  4. The Irrelevance of Market Incompleteness for the Price of Aggregate Risk
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (1)
  5. 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 Downloads View citations (6)
    See also Journal Article in Journal of Economic Theory (2010)

2005

  1. Does the US government Hedge against Defense Expenditure Risk? (joint with Chris Sleet and Sevin Yeltekin)
    UCLA Economics Online Papers, UCLA Department of Economics Downloads
  2. Fiscal Hedging and the Yield Curve
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (4)
  3. Fiscal Hedging and the Yield Curve(joint with Chris Sleet, CMU, and Sevin Yeltekin (CMU))
    UCLA Economics Online Papers, UCLA Department of Economics Downloads
  4. 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)
  5. 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 Downloads
  6. The Cross-Section of Currency Risk Premia and US Consumption Growth Risk
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (13)
  7. The Market Price of Aggregate Risk and the Wealth Distribution
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (11)
    Also in UCLA Economics Online Papers, UCLA Department of Economics (2004) Downloads View citations (15)
    Finance, University Library of Munich, Germany (2001) Downloads View citations (30)

    See also Journal Article in Review of Financial Studies (2010)
  8. 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 Downloads View citations (9)
    See also Journal Article in Review of Financial Studies (2008)
  9. 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 Downloads View citations (1)
  10. The Returns on Human Wealth: Good News on Wall Street is Bad News on Main Street
    2005 Meeting Papers, Society for Economic Dynamics Downloads View citations (4)

2004

  1. A Theory of Housing Collateral, Consumption Insurance and Risk Premia
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (11)
  2. Can Housing Collateral Explain Long-Run Swings in Asset Returns? (joint with Stijn Van Nieuwerburgh)
    UCLA Economics Online Papers, UCLA Department of Economics Downloads
  3. Does the US government hedge against government expenditure risk?
    2004 Meeting Papers, Society for Economic Dynamics View citations (7)
  4. Housing Collateral and Consumption Insurance Across US Regions
    2004 Meeting Papers, Society for Economic Dynamics View citations (11)
  5. 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 Downloads
  6. How Much Does Household Collateral Constrain Regional Risk Sharing?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (6)
    See also Journal Article in Review of Economic Dynamics (2010)
  7. 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 Downloads
  8. 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 Downloads

2003

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

2002

  1. Housing Collateral, Consumption Insurance and Risk Premia
    Macroeconomics, University Library of Munich, Germany Downloads View citations (25)

Undated

  1. Exploring the Link between Housing and the Value Premium (joint with Stijn Van Nieuwerburgh)
    UCLA Economics Online Papers, UCLA Department of Economics Downloads
  2. Fiscal Hedging with Nominal Assets
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business Downloads
    See also Journal Article in Journal of Monetary Economics (2008)
  3. Macro Implications of Household Finance (joint with YiLi Chien and Harold Cole )
    UCLA Economics Online Papers, UCLA Department of Economics Downloads
  4. When is Market Incompleteness Irrelevant for the Price of Aggregate Risk (joint with Dirk Krueger, UPenn)
    UCLA Economics Online Papers, UCLA Department of Economics Downloads

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 Downloads View citations (9)

2012

  1. How Does the US Government Finance Fiscal Shocks?
    American Economic Journal: Macroeconomics, 2012, 4, (1), 69-104 Downloads View citations (13)
    See also Working Paper (2010)
  2. Is the Volatility of the Market Price of Risk Due to Intermittent Portfolio Rebalancing?
    American Economic Review, 2012, 102, (6), 2859-96 Downloads View citations (42)
    See also Working Paper (2009)

2011

  1. A Multiplier Approach to Understanding the Macro Implications of Household Finance
    Review of Economic Studies, 2011, 78, (1), 199-234 Downloads View citations (55)
    See also Working Paper (2007)
  2. Common Risk Factors in Currency Markets
    Review of Financial Studies, 2011, 24, (11), 3731-3777 Downloads View citations (196)
    See also Working Paper (2008)
  3. Technological change and the growing inequality in managerial compensation
    Journal of Financial Economics, 2011, 99, (3), 601-627 Downloads View citations (24)
    See also Working Paper (2009)
  4. The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: Reply
    American Economic Review, 2011, 101, (7), 3477-3500 Downloads View citations (19)
    See also Working Paper (2008)

2010

  1. How Much Does Household Collateral Constrain Regional Risk Sharing?
    Review of Economic Dynamics, 2010, 13, (2), 265-294 Downloads View citations (48)
    See also Working Paper (2004)
    Software Item (2009)
  2. Long Run Risk, the Wealth-Consumption Ratio, and the Temporal Pricing of Risk
    American Economic Review, 2010, 100, (2), 552-56 Downloads View citations (12)
  3. The Market Price of Aggregate Risk and the Wealth Distribution
    Review of Financial Studies, 2010, 23, (4), 1596-1650 Downloads View citations (56)
    See also Working Paper (2005)
  4. 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 Downloads View citations (29)
    See also Working Paper (2006)

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 Downloads View citations (6)
    See also Working Paper (2007)
  2. Fiscal hedging with nominal assets
    Journal of Monetary Economics, 2008, 55, (4), 710-727 Downloads View citations (38)
    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 Downloads View citations (53)
    See also Working Paper (2005)

2007

  1. The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk
    American Economic Review, 2007, 97, (1), 89-117 Downloads View citations (245)
    See also Working Paper (2006)

2006

  1. 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 Downloads View citations (12)
    See also Working Paper (2005)

2005

  1. Housing Collateral, Consumption Insurance, and Risk Premia: An Empirical Perspective
    Journal of Finance, 2005, 60, (3), 1167-1219 Downloads View citations (209)
    See also Working Paper (2003)

Chapters

2009

  1. Comment on "Carry Trades and Currency Crashes"
    A chapter in NBER Macroeconomics Annual 2008, Volume 23, 2009, pp 361-384 Downloads 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 Downloads
    See also Journal Article in Review of Economic Dynamics (2010)
 
Page updated 2020-12-04