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Details about Stijn Van Nieuwerburgh

E-mail:
Homepage:https://www0.gsb.columbia.edu/faculty/svannieuwerburgh/
Postal address:3022 Broadway, Uris Hall 809 New York, NY 10027
Workplace:Graduate School of Business, Columbia University, (more information at EDIRC)
National Bureau of Economic Research (NBER), (more information at EDIRC)
Centre for Economic Policy Research (CEPR), (more information at EDIRC)

Access statistics for papers by Stijn Van Nieuwerburgh.

Last updated 2019-04-20. Update your information in the RePEc Author Service.

Short-id: pva368


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Working Papers

2018

  1. A Macroeconomic Model with Financially Constrained Producers and Intermediaries
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
    Also in 2016 Meeting Papers, Society for Economic Dynamics (2016) Downloads View citations (11)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2017) Downloads View citations (4)
  2. Affordable Housing and City Welfare
    2018 Meeting Papers, Society for Economic Dynamics Downloads
  3. Financing the War on Cancer
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2018) Downloads

2017

  1. Are Mutual Fund Managers Paid For Investment Skill?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (2)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2017) Downloads View citations (1)
    NBER Working Papers, National Bureau of Economic Research, Inc (2017) Downloads View citations (1)

    See also Journal Article in Review of Financial Studies (2018)
  2. ESBies: safety in the tranches
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (18)
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2016) Downloads View citations (2)
    CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy (2016) Downloads View citations (14)
    Discussion Papers, Centre for Macroeconomics (CFM) (2016) Downloads View citations (2)
    CFS Working Paper Series, Center for Financial Studies (CFS) (2016) Downloads View citations (2)
    EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF) (2016) Downloads View citations (2)
    ESRB Working Paper Series, European Systemic Risk Board (2016) Downloads View citations (1)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2016) Downloads View citations (2)

    See also Journal Article in Economic Policy (2017)
  3. Financial Fragility with SAM?
    2017 Meeting Papers, Society for Economic Dynamics Downloads View citations (2)
  4. Firm Volatility in Granual Networks
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (3)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2013) Downloads View citations (39)
    2014 Meeting Papers, Society for Economic Dynamics (2014) Downloads
  5. Out-of-town Home Buyers and City Welfare
    2017 Meeting Papers, Society for Economic Dynamics Downloads View citations (6)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2017) Downloads View citations (6)
  6. The Cross-Section and Time Series of Stock and Bond Returns
    Research Papers, Stanford University, Graduate School of Business Downloads View citations (4)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2010) Downloads View citations (16)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2012) Downloads View citations (15)

    See also Journal Article in Journal of Monetary Economics (2017)
  7. Why Are REITS Currently So Expensive?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    See also Journal Article in Real Estate Economics (2019)

2016

  1. Identifying the Benefits from Home Ownership: A Swedish Experiment
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (4)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2016) Downloads View citations (8)
  2. The Sovereign-Bank Diabolic Loop and ESBies
    Discussion Papers, Centre for Macroeconomics (CFM) Downloads
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2016) Downloads View citations (2)
    Working Papers, HAL (2016) View citations (1)
    NBER Working Papers, National Bureau of Economic Research, Inc (2016) Downloads View citations (1)
    EIEF Working Papers Series, Einaudi Institute for Economics and Finance (EIEF) (2016) Downloads View citations (1)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2016) Downloads View citations (1)
    HEC Research Papers Series, HEC Paris (2016) Downloads View citations (1)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2016) Downloads View citations (1)
    CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy (2016) Downloads View citations (1)
    CEP Discussion Papers, Centre for Economic Performance, LSE (2016) Downloads View citations (1)

    See also Journal Article in American Economic Review (2016)

2015

  1. Phasing Out the GSEs
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (11)
    Also in 2015 Meeting Papers, Society for Economic Dynamics (2015) Downloads

    See also Journal Article in Journal of Monetary Economics (2016)

2014

  1. Foreign Ownership of U.S. Safe Assets: Good or Bad?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
    Also in 2012 Meeting Papers, Society for Economic Dynamics (2012) Downloads View citations (4)
  2. Health and Mortality Delta: Assessing the Welfare Cost of Household Insurance Choice
    Staff Report, Federal Reserve Bank of Minneapolis Downloads
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2011) Downloads View citations (3)
    2011 Meeting Papers, Society for Economic Dynamics (2011) View citations (1)
  3. Housing, Finance and the Macroeconomy
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (8)
    See also Chapter (2015)
  4. The Common Factor in Idiosyncratic Volatility
    2014 Meeting Papers, Society for Economic Dynamics Downloads View citations (1)
  5. The Common Factor in Idiosyncratic Volatility: Quantitative Asset Pricing Implications
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (13)
    See also Journal Article in Journal of Financial Economics (2016)

2012

  1. International Capital Flows and House Prices: Theory and Evidence
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (19)
    See also Chapter (2012)
  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)

    See also Journal Article in Review of Asset Pricing Studies (2013)
  3. Time-Varying Fund Manager Skill
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (5)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2011) Downloads View citations (4)

    See also Journal Article in Journal of Finance (2014)
  4. 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)

    See also Journal Article in American Economic Review (2016)

2010

  1. Predictability of Returns and Cash Flows
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (3)
    See also Journal Article in Annual Review of Financial Economics (2011)
  2. The Macroeconomic Effects of Housing Wealth, Housing Finance, and Limited Risk-Sharing in General Equilibrium
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads 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

  1. Optimal Health and Longevity Insurance
    2009 Meeting Papers, Society for Economic Dynamics
  2. Rational Attention Allocation Over the Business Cycle
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (12)
  3. Recessions are a Time to Shine: A theory of attention allocation over the business cycle
    2009 Meeting Papers, Society for Economic Dynamics
  4. 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)
  5. The Bond Risk Premium and the Cross-Section of Equity Returns
    2009 Meeting Papers, Society for Economic Dynamics Downloads

2008

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

    See also Journal Article in Review of Economic Studies (2010)

2007

  1. Information Immobility and the Home Bias Puzzle
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (5)
    Also in 2005 Meeting Papers, Society for Economic Dynamics (2005) Downloads View citations (7)
    Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics (2004) Downloads View citations (1)

    See also Journal Article in Journal of Finance (2009)
  2. Monetary Policy in an Equilibrium Portfolio Balance Model
    IMF Working Papers, International Monetary Fund Downloads View citations (2)
    Also in 2005 Meeting Papers, Society for Economic Dynamics (2005) Downloads View citations (2)
  3. Mortgage Timing
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (5)
    See also Journal Article in Journal of Financial Economics (2009)
  4. 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 Downloads View citations (30)
  5. 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)

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. Reconciling the Return Predictability Evidence
    2006 Meeting Papers, Society for Economic Dynamics Downloads View citations (1)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2006) Downloads View citations (14)

    See also Journal Article in Review of Financial Studies (2008)
  3. Why Has House Price Dispersion Gone Up?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (14)
    See also Journal Article in Review of Economic Studies (2010)

2005

  1. Information Acquisition and Portfolio Underdiversification
    2005 Meeting Papers, Society for Economic Dynamics Downloads View citations (18)
  2. Reconciling the Return Predictability Evidenc: In-Sample Forecasts, Out-of-Sample Forecasts, and Parameter Instability
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
  3. 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)
  4. 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 (10)
  2. Housing Collateral and Consumption Insurance Across US Regions
    2004 Meeting Papers, Society for Economic Dynamics View citations (10)
  3. 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)

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

Journal Articles

2019

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

2018

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

2017

  1. ESBies: safety in the tranches
    Economic Policy, 2017, 32, (90), 175-219 Downloads View citations (14)
    See also Working Paper (2017)
  2. The Macroeconomic Effects of Housing Wealth, Housing Finance, and Limited Risk Sharing in General Equilibrium
    Journal of Political Economy, 2017, 125, (1), 140 - 223 Downloads View citations (35)
    See also Working Paper (2010)
  3. The cross-section and time series of stock and bond returns
    Journal of Monetary Economics, 2017, 88, (C), 50-69 Downloads View citations (4)
    See also Working Paper (2017)
  4. What to Do About the GSEs?
    Annual Review of Financial Economics, 2017, 9, (1), 21-41 Downloads

2016

  1. A Rational Theory of Mutual Funds' Attention Allocation
    Econometrica, 2016, 84, 571-626 Downloads View citations (27)
  2. Phasing out the GSEs
    Journal of Monetary Economics, 2016, 81, (C), 111-132 Downloads View citations (8)
    See also Working Paper (2015)
  3. The Sovereign-Bank Diabolic Loop and ESBies
    American Economic Review, 2016, 106, (5), 508-12 Downloads View citations (1)
    See also Working Paper (2016)
  4. The common factor in idiosyncratic volatility: Quantitative asset pricing implications
    Journal of Financial Economics, 2016, 119, (2), 249-283 Downloads View citations (48)
    See also Working Paper (2014)
  5. Too-Systemic-to-Fail: What Option Markets Imply about Sector-Wide Government Guarantees
    American Economic Review, 2016, 106, (6), 1278-1319 Downloads View citations (28)
    See also Working Paper (2012)

2014

  1. Time-Varying Fund Manager Skill
    Journal of Finance, 2014, 69, (4), 1455-1484 Downloads View citations (75)
    See also Working Paper (2012)

2013

  1. The Wealth-Consumption Ratio
    Review of Asset Pricing Studies, 2013, 3, (1), 38-94 Downloads View citations (11)
    See also Working Paper (2012)

2012

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

2011

  1. Predictability of Returns and Cash Flows
    Annual Review of Financial Economics, 2011, 3, (1), 467-491 Downloads View citations (27)
    See also Working Paper (2010)
  2. Technological change and the growing inequality in managerial compensation
    Journal of Financial Economics, 2011, 99, (3), 601-627 Downloads View citations (19)
    See also Working Paper (2009)
  3. 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 (99)

2010

  1. How Much Does Household Collateral Constrain Regional Risk Sharing?
    Review of Economic Dynamics, 2010, 13, (2), 265-294 Downloads View citations (43)
    See also Software Item (2009)
    Working Paper (2004)
  2. Information Acquisition and Under-Diversification
    Review of Economic Studies, 2010, 77, (2), 779-805 Downloads View citations (106)
    See also Working Paper (2008)
  3. Long Run Risk, the Wealth-Consumption Ratio, and the Temporal Pricing of Risk
    American Economic Review, 2010, 100, (2), 552-56 Downloads View citations (10)
  4. Why Has House Price Dispersion Gone Up?
    Review of Economic Studies, 2010, 77, (4), 1567-1606 Downloads View citations (98)
    See also Working Paper (2006)

2009

  1. Information Immobility and the Home Bias Puzzle
    Journal of Finance, 2009, 64, (3), 1187-1215 Downloads View citations (201)
    See also Working Paper (2007)
  2. Mortgage timing
    Journal of Financial Economics, 2009, 93, (2), 292-324 Downloads View citations (59)
    See also Working Paper (2007)

2008

  1. Reconciling the Return Predictability Evidence
    Review of Financial Studies, 2008, 21, (4), 1607-1652 Downloads View citations (178)
    See also Working Paper (2006)
  2. 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 (48)
    See also Working Paper (2005)

2006

  1. Inside Information and the Own Company Stock Puzzle
    Journal of the European Economic Association, 2006, 4, (2-3), 623-633 Downloads View citations (5)
  2. Learning asymmetries in real business cycles
    Journal of Monetary Economics, 2006, 53, (4), 753-772 Downloads View citations (139)
  3. Stock market development and economic growth in Belgium
    Explorations in Economic History, 2006, 43, (1), 13-38 Downloads View citations (25)

2005

  1. Housing Collateral, Consumption Insurance, and Risk Premia: An Empirical Perspective
    Journal of Finance, 2005, 60, (3), 1167-1219 Downloads View citations (199)
    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 (38)

Chapters

2015

  1. Housing, Finance, and the Macroeconomy
    Elsevier Downloads View citations (13)
    See also Working Paper (2014)

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 Downloads View citations (17)

2012

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

2011

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

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)

2001

  1. Matlab code for the robustness in forward looking models, oligopoly example
    QM&RBC Codes, Quantitative Macroeconomics & Real Business Cycles Downloads
 
Page updated 2019-05-21