Details about Stijn Van Nieuwerburgh

Access statistics for papers by Stijn Van Nieuwerburgh.

Last updated 2020-01-03. Update your information in the RePEc Author Service.

Short-id: pva368

Working Papers

2019

1. Affordable Housing and City Welfare
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2019)
   2018 Meeting Papers, Society for Economic Dynamics (2018) View citations (2)
2. Government Risk Premium Puzzle
   2019 Meeting Papers, Society for Economic Dynamics
   Also in Research Papers, Stanford University, Graduate School of Business (2019)
3. The U.S. Public Debt Valuation Puzzle
   NBER Working Papers, National Bureau of Economic Research, Inc
4. Valuing Private Equity Strip by Strip
   NBER Working Papers, National Bureau of Economic Research, Inc

2018

5. A Macroeconomic Model with Financially Constrained Producers and Intermediaries
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
   Also in 2016 Meeting Papers, Society for Economic Dynamics (2016) View citations (14)
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2017) View citations (7)
6. Financing the War on Cancer
   NBER Working Papers, National Bureau of Economic Research, Inc
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2018)

2017

7. Are Mutual Fund Managers Paid For Investment Skill?
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2017) View citations (5)
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2017) View citations (4)
   See also Journal Article in Review of Financial Studies (2018)
8. ESBies: safety in the tranches
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (28)
   Also in CFS Working Paper Series, Center for Financial Studies (CFS) (2016) View citations (2)
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2016) View citations (2)
   ESRB Working Paper Series, European Systemic Risk Board (2016) View citations (1)
   LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2016) View citations (2)
   CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy (2016) View citations (15)
   Discussion Papers, Centre for Macroeconomics (CFM) (2016) View citations (2)
   EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF) (2016) View citations (2)
   See also Journal Article in Economic Policy (2017)
9. Financial Fragility with SAM?
   2017 Meeting Papers, Society for Economic Dynamics View citations (2)
10. Firm Volatility in Granual Networks
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (5)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2013) View citations (43)
    2014 Meeting Papers, Society for Economic Dynamics (2014)
11. Out-of-town Home Buyers and City Welfare
    2017 Meeting Papers, Society for Economic Dynamics View citations (8)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2017) View citations (8)
12. The Cross-Section and Time Series of Stock and Bond Returns
    Research Papers, Stanford University, Graduate School of Business View citations (8)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2012) View citations (15)
    NBER Working Papers, National Bureau of Economic Research, Inc (2010) View citations (17)
    See also Journal Article in Journal of Monetary Economics (2017)
13. Why Are REITS Currently So Expensive?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
    See also Journal Article in Real Estate Economics (2019)

2016

14. Identifying the Benefits from Home Ownership: A Swedish Experiment
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (10)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2016) View citations (5)
15. The Sovereign-Bank Diabolic Loop and ESBies
    EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF) View citations (3)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2016) View citations (3)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2016) View citations (3)
    Working Papers, HAL (2016) View citations (3)
    NBER Working Papers, National Bureau of Economic Research, Inc (2016) View citations (3)
    CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy (2016) View citations (3)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2016) View citations (4)
    Discussion Papers, Centre for Macroeconomics (CFM) (2016) View citations (2)
    CEP Discussion Papers, Centre for Economic Performance, LSE (2016) View citations (3)
    HEC Research Papers Series, HEC Paris (2016) View citations (3)
    See also Journal Article in American Economic Review (2016)

2015

16. Phasing Out the GSEs
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (12)
    Also in 2015 Meeting Papers, Society for Economic Dynamics (2015)
    See also Journal Article in Journal of Monetary Economics (2016)

2014

17. Foreign Ownership of U.S. Safe Assets: Good or Bad?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
    Also in 2012 Meeting Papers, Society for Economic Dynamics (2012) View citations (4)
18. Health and Mortality Delta: Assessing the Welfare Cost of Household Insurance Choice
    Staff Report, Federal Reserve Bank of Minneapolis
    Also in 2011 Meeting Papers, Society for Economic Dynamics (2011) View citations (1)
    NBER Working Papers, National Bureau of Economic Research, Inc (2011) View citations (3)
19. Housing, Finance and the Macroeconomy
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (9)
    See also Chapter (2015)
20. The Common Factor in Idiosyncratic Volatility
    2014 Meeting Papers, Society for Economic Dynamics View citations (2)
21. The Common Factor in Idiosyncratic Volatility: Quantitative Asset Pricing Implications
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (14)
    See also Journal Article in Journal of Financial Economics (2016)

2012

22. International Capital Flows and House Prices: Theory and Evidence
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (19)
    See also Chapter (2012)
23. The Wealth-Consumption Ratio
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2008) View citations (21)
    See also Journal Article in Review of Asset Pricing Studies (2013)
24. Time-Varying Fund Manager Skill
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (5)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2011) View citations (4)
    See also Journal Article in Journal of Finance (2014)
25. Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (11)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2011) View citations (13)
    2011 Meeting Papers, Society for Economic Dynamics (2011) View citations (5)
    See also Journal Article in American Economic Review (2016)

2010

26. Predictability of Returns and Cash Flows
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)
    See also Journal Article in Annual Review of Financial Economics (2011)
27. The Macroeconomic Effects of Housing Wealth, Housing Finance, and Limited Risk-Sharing in General Equilibrium
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (32)
    Also in 2010 Meeting Papers, Society for Economic Dynamics (2010) View citations (3)
    See also Journal Article in Journal of Political Economy (2017)

2009

28. Optimal Health and Longevity Insurance
    2009 Meeting Papers, Society for Economic Dynamics
29. Rational Attention Allocation Over the Business Cycle
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (12)
30. Recessions are a Time to Shine: A theory of attention allocation over the business cycle
    2009 Meeting Papers, Society for Economic Dynamics
31. Technological Change and the Growing Inequality in Managerial Compensation
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)
    See also Journal Article in Journal of Financial Economics (2011)
32. The Bond Risk Premium and the Cross-Section of Equity Returns
    2009 Meeting Papers, Society for Economic Dynamics

2008

33. IT, Corporate Payouts, and the Growing Inequality in Managerial Compensation
    2008 Meeting Papers, Society for Economic Dynamics View citations (4)
34. Information Acquisition and Under-Diversification
    Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics View citations (3)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2008) View citations (4)
    See also Journal Article in Review of Economic Studies (2010)

2007

35. Information Immobility and the Home Bias Puzzle
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (5)
    Also in Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics (2004) View citations (1)
    2005 Meeting Papers, Society for Economic Dynamics (2005) View citations (7)
    See also Journal Article in Journal of Finance (2009)
36. Monetary Policy in an Equilibrium Portfolio Balance Model
    IMF Working Papers, International Monetary Fund View citations (2)
    Also in 2005 Meeting Papers, Society for Economic Dynamics (2005) View citations (2)
37. Mortgage Timing
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (5)
    See also Journal Article in Journal of Financial Economics (2009)
38. The Joy of Giving or Assisted Living? Using Strategic Surveys to Separate Bequest and Precautionary Motives
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (30)
39. The Wealth-Consumption Ratio: A Litmus Test for Consumption-Based Asset Pricing Models
    2007 Meeting Papers, Society for Economic Dynamics View citations (4)
    Also in Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics (2007) View citations (16)

2006

40. Can Housing Collateral Explain Long-Run Swings in Asset Returns?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (15)
41. Reconciling the Return Predictability Evidence
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (14)
    Also in 2006 Meeting Papers, Society for Economic Dynamics (2006) View citations (1)
    See also Journal Article in Review of Financial Studies (2008)
42. Why Has House Price Dispersion Gone Up?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (14)
    See also Journal Article in Review of Economic Studies (2010)

2005

43. Information Acquisition and Portfolio Underdiversification
    2005 Meeting Papers, Society for Economic Dynamics View citations (18)
44. Reconciling the Return Predictability Evidenc: In-Sample Forecasts, Out-of-Sample Forecasts, and Parameter Instability
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
45. 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 (9)
    See also Journal Article in Review of Financial Studies (2008)
46. 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 (4)

2004

47. A Theory of Housing Collateral, Consumption Insurance and Risk Premia
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (11)
48. Housing Collateral and Consumption Insurance Across US Regions
    2004 Meeting Papers, Society for Economic Dynamics View citations (11)
49. 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 in Review of Economic Dynamics (2010)

2003

50. 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 in Journal of Finance (2005)

2002

51. A Fiscal Theory of the Currency Risk Premium and of Sterilized Intervention
    IMF Working Papers, International Monetary Fund
52. Housing Collateral, Consumption Insurance and Risk Premia
    Macroeconomics, University Library of Munich, Germany View citations (25)

Journal Articles

2019

1. Why are REITS Currently So Expensive?
   Real Estate Economics, 2019, 47, (1), 18-65
   See also Working Paper (2017)

2018

2. Are Mutual Fund Managers Paid for Investment Skill?
   Review of Financial Studies, 2018, 31, (2), 715-772 View citations (3)
   See also Working Paper (2017)

2017

3. ESBies: safety in the tranches
   Economic Policy, 2017, 32, (90), 175-219 View citations (24)
   See also Working Paper (2017)
4. The Macroeconomic Effects of Housing Wealth, Housing Finance, and Limited Risk Sharing in General Equilibrium
   Journal of Political Economy, 2017, 125, (1), 140 - 223 View citations (58)
   See also Working Paper (2010)
5. The cross-section and time series of stock and bond returns
   Journal of Monetary Economics, 2017, 88, (C), 50-69 View citations (8)
   See also Working Paper (2017)
6. What to Do About the GSEs?
   Annual Review of Financial Economics, 2017, 9, (1), 21-41

2016

7. A Rational Theory of Mutual Funds' Attention Allocation
   Econometrica, 2016, 84, 571-626 View citations (35)
8. Phasing out the GSEs
   Journal of Monetary Economics, 2016, 81, (C), 111-132 View citations (11)
   See also Working Paper (2015)
9. The Sovereign-Bank Diabolic Loop and ESBies
   American Economic Review, 2016, 106, (5), 508-12 View citations (3)
   See also Working Paper (2016)
10. The common factor in idiosyncratic volatility: Quantitative asset pricing implications
    Journal of Financial Economics, 2016, 119, (2), 249-283 View citations (58)
    See also Working Paper (2014)
11. Too-Systemic-to-Fail: What Option Markets Imply about Sector-Wide Government Guarantees
    American Economic Review, 2016, 106, (6), 1278-1319 View citations (34)
    See also Working Paper (2012)

2014

12. Time-Varying Fund Manager Skill
    Journal of Finance, 2014, 69, (4), 1455-1484 View citations (82)
    See also Working Paper (2012)

2013

13. The Wealth-Consumption Ratio
    Review of Asset Pricing Studies, 2013, 3, (1), 38-94 View citations (14)
    See also Working Paper (2012)

2012

14. The Research Agenda: Stijn Van Nieuwerburgh on Housing and the Macroeconomy
    EconomicDynamics Newsletter, 2012, 13, (2) View citations (2)

2011

15. Predictability of Returns and Cash Flows
    Annual Review of Financial Economics, 2011, 3, (1), 467-491 View citations (31)
    See also Working Paper (2010)
16. Technological change and the growing inequality in managerial compensation
    Journal of Financial Economics, 2011, 99, (3), 601-627 View citations (21)
    See also Working Paper (2009)
17. The Joy of Giving or Assisted Living? Using Strategic Surveys to Separate Public Care Aversion from Bequest Motives
    Journal of Finance, 2011, 66, (2), 519-561 View citations (106)

2010

18. How Much Does Household Collateral Constrain Regional Risk Sharing?
    Review of Economic Dynamics, 2010, 13, (2), 265-294 View citations (45)
    See also Software Item (2009)
    Working Paper (2004)
19. Information Acquisition and Under-Diversification
    Review of Economic Studies, 2010, 77, (2), 779-805 View citations (120)
    See also Working Paper (2008)
20. Long Run Risk, the Wealth-Consumption Ratio, and the Temporal Pricing of Risk
    American Economic Review, 2010, 100, (2), 552-56 View citations (12)
21. Why Has House Price Dispersion Gone Up?
    Review of Economic Studies, 2010, 77, (4), 1567-1606 View citations (104)
    See also Working Paper (2006)

2009

22. Information Immobility and the Home Bias Puzzle
    Journal of Finance, 2009, 64, (3), 1187-1215 View citations (217)
    See also Working Paper (2007)
23. Mortgage timing
    Journal of Financial Economics, 2009, 93, (2), 292-324 View citations (59)
    See also Working Paper (2007)

2008

24. Reconciling the Return Predictability Evidence
    Review of Financial Studies, 2008, 21, (4), 1607-1652 View citations (186)
    See also Working Paper (2006)
25. 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 (52)
    See also Working Paper (2005)

2006

26. Inside Information and the Own Company Stock Puzzle
    Journal of the European Economic Association, 2006, 4, (2-3), 623-633 View citations (5)
27. Learning asymmetries in real business cycles
    Journal of Monetary Economics, 2006, 53, (4), 753-772 View citations (150)
28. Stock market development and economic growth in Belgium
    Explorations in Economic History, 2006, 43, (1), 13-38 View citations (26)

2005

29. Housing Collateral, Consumption Insurance, and Risk Premia: An Empirical Perspective
    Journal of Finance, 2005, 60, (3), 1167-1219 View citations (203)
    See also Working Paper (2003)

Books

2011

1. Guaranteed to Fail: Fannie Mae, Freddie Mac, and the Debacle of Mortgage Finance
   Economics Books, Princeton University Press View citations (42)

Chapters

2015

1. Housing, Finance, and the Macroeconomy
   Elsevier View citations (15)
   See also Working Paper (2014)

2014

2. 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 (18)

2012

3. International Capital Flows and House Prices: Theory and Evidence
   A chapter in Housing and the Financial Crisis, 2012, pp 235-299 View citations (53)
   See also Working Paper (2012)

2011

4. Feeding the Beast
   A chapter in Guaranteed to Fail: Fannie Mae, Freddie Mac, and the Debacle of Mortgage Finance, 2011

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 in Review of Economic Dynamics (2010)

2001

2. Matlab code for the robustness in forward looking models, oligopoly example
   QM&RBC Codes, Quantitative Macroeconomics & Real Business Cycles