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Details about Motohiro Yogo

Homepage:https://sites.google.com/site/motohiroyogo
Postal address:Princeton University, Department of Economics, Julis Romo Rabinowitz Building, Princeton, NJ 08544
Workplace:Department of Economics, Princeton University, (more information at EDIRC)
National Bureau of Economic Research (NBER), (more information at EDIRC)

Access statistics for papers by Motohiro Yogo.

Last updated 2023-11-14. Update your information in the RePEc Author Service.

Short-id: pyo20


Jump to Journal Articles

Working Papers

2025

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

2024

  1. Financial Inclusion Across the United States
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    Also in Working Papers, Princeton University. Economics Department. (2021) Downloads

2023

  1. Asset Demand of U.S. Households
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
  2. Neoclassical Growth in an Interdependent World
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2023) Downloads
    Working Papers, Princeton University. Economics Department. (2023) Downloads View citations (1)
    CEP Discussion Papers, Centre for Economic Performance, LSE (2023) Downloads
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2023) Downloads
    Working Papers, Princeton University, Department of Economics, Center for Economic Policy Studies. (2023) Downloads

2022

  1. The Fragility of Market Risk Insurance
    Working Papers, Princeton University. Economics Department. Downloads View citations (14)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2018) Downloads View citations (9)
    NBER Working Papers, National Bureau of Economic Research, Inc (2018) Downloads View citations (9)

    See also Journal Article The Fragility of Market Risk Insurance, Journal of Finance, American Finance Association (2022) Downloads View citations (15) (2022)
  2. Understanding the Ownership Structure of Corporate Bonds
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
    See also Journal Article Understanding the Ownership Structure of Corporate Bonds, American Economic Review: Insights, American Economic Association (2023) Downloads View citations (7) (2023)

2021

  1. The Evolution from Life Insurance to Financial Engineering
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2021) Downloads View citations (2)

    See also Journal Article The evolution from life insurance to financial engineering, The Geneva Risk and Insurance Review, Palgrave Macmillan (2021) Downloads View citations (2) (2021)

2020

  1. Exchange Rates and Asset Prices in a Global Demand System
    Working Papers, Princeton University. Economics Department. Downloads View citations (24)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2020) Downloads View citations (37)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2020) Downloads View citations (37)
  2. Which Investors Matter for Equity Valuations and Expected Returns?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (21)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2020) Downloads View citations (23)

    See also Journal Article Which Investors Matter for Equity Valuations and Expected Returns?, The Review of Economic Studies, Review of Economic Studies Ltd (2024) Downloads (2024)
  3. Which Investors Matter for Global Equity Valuations and Expected Returns?
    Working Papers, Princeton University. Economics Department. Downloads View citations (13)

2019

  1. Inspecting the Mechanism of Quantitative Easing in the Euro Area
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (13)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2019) Downloads View citations (5)

    See also Journal Article Inspecting the mechanism of quantitative easing in the euro area, Journal of Financial Economics, Elsevier (2021) Downloads View citations (38) (2021)

2017

  1. Risk of Life Insurers: Recent Trends and Transmission Mechanisms
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (7)
  2. Worker Betas: Five Facts About Systematic Earnings Risk
    Working Paper Series, Federal Reserve Bank of Chicago Downloads View citations (37)
    Also in Staff Report, Federal Reserve Bank of Minneapolis (2017) Downloads View citations (37)
    NBER Working Papers, National Bureau of Economic Research, Inc (2017) Downloads View citations (62)

    See also Journal Article Worker Betas: Five Facts about Systematic Earnings Risk, American Economic Review, American Economic Association (2017) Downloads View citations (62) (2017)

2016

  1. Quantitative Easing in the Euro Area: The Dynamics of Risk Exposures and the Impact on Asset Prices
    Working papers, Banque de France Downloads View citations (40)
  2. Shadow Insurance
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads View citations (4)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2013) Downloads
    Staff Report, Federal Reserve Bank of Minneapolis (2014) Downloads View citations (1)

    See also Journal Article Shadow Insurance, Econometrica, Econometric Society (2016) Downloads View citations (4) (2016)

2015

  1. A Demand System Approach to Asset Pricing
    Staff Report, Federal Reserve Bank of Minneapolis Downloads View citations (6)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2015) Downloads View citations (2)

    See also Journal Article A Demand System Approach to Asset Pricing, Journal of Political Economy, University of Chicago Press (2019) Downloads View citations (155) (2019)

2014

  1. Growing Risk in the Insurance Sector
    Economic Policy Paper, Federal Reserve Bank of Minneapolis Downloads
  2. Health and Mortality Delta: Assessing the Welfare Cost of Household Insurance Choice
    Staff Report, Federal Reserve Bank of Minneapolis Downloads
    Also in 2011 Meeting Papers, Society for Economic Dynamics (2011) View citations (7)
    NBER Working Papers, National Bureau of Economic Research, Inc (2011) Downloads View citations (8)

    See also Journal Article Health and Mortality Delta: Assessing the Welfare Cost of Household Insurance Choice, Journal of Finance, American Finance Association (2016) Downloads View citations (49) (2016)
  3. The Cost of Financial Frictions for Life Insurers
    Staff Report, Federal Reserve Bank of Minneapolis Downloads View citations (7)
    Also in 2012 Meeting Papers, Society for Economic Dynamics (2012) Downloads View citations (6)
    NBER Working Papers, National Bureau of Economic Research, Inc (2012) Downloads View citations (5)

    See also Journal Article The Cost of Financial Frictions for Life Insurers, American Economic Review, American Economic Association (2015) Downloads View citations (60) (2015)

2013

  1. Debt: Deleveraging or Default
    2013 Meeting Papers, Society for Economic Dynamics View citations (1)

2011

  1. What Does Futures Market Interest Tell Us about the Macroeconomy and Asset Prices?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (9)
    See also Journal Article What does futures market interest tell us about the macroeconomy and asset prices?, Journal of Financial Economics, Elsevier (2012) Downloads View citations (245) (2012)

2010

  1. Why Do Household Portfolio Shares Rise in Wealth?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (120)
    Also in 2007 Meeting Papers, Society for Economic Dynamics (2007) View citations (5)

    See also Journal Article Why Do Household Portfolio Shares Rise in Wealth?, The Review of Financial Studies, Society for Financial Studies (2010) Downloads View citations (130) (2010)

2009

  1. A Note on Liquidity Risk Management
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (37)
    See also Journal Article A Note on Liquidity Risk Management, American Economic Review, American Economic Association (2009) Downloads View citations (37) (2009)
  2. Optimal Health and Longevity Insurance
    2009 Meeting Papers, Society for Economic Dynamics
  3. Portfolio Choice in Retirement: Health Risk and the Demand for Annuities, Housing and Risky Assets
    Working Papers, Center for Retirement Research at Boston College, Center for Retirement Research Downloads View citations (84)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2009) Downloads View citations (98)
    2008 Meeting Papers, Society for Economic Dynamics (2008) Downloads View citations (17)

    See also Journal Article Portfolio choice in retirement: Health risk and the demand for annuities, housing, and risky assets, Journal of Monetary Economics, Elsevier (2016) Downloads View citations (94) (2016)

2007

  1. Does Firm Value Move Too Much to be Justified by Subsequent Changes in Cash Flow?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (4)
    Also in Working Papers, Federal Reserve Bank of Boston (2005) Downloads View citations (4)

    See also Journal Article Does firm value move too much to be justified by subsequent changes in cash flow, Journal of Financial Economics, Elsevier (2008) Downloads View citations (56) (2008)
  2. Durability of Output and Expected Stock Returns
    2007 Meeting Papers, Society for Economic Dynamics Downloads View citations (3)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2007) Downloads View citations (4)

    See also Journal Article Durability of Output and Expected Stock Returns, Journal of Political Economy, University of Chicago Press (2009) Downloads View citations (72) (2009)

2006

  1. Efficient tests of stock return predictability
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (421)
    Also in Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2002) Downloads View citations (14)
    NBER Working Papers, National Bureau of Economic Research, Inc (2003) Downloads View citations (38)

    See also Journal Article Efficient tests of stock return predictability, Journal of Financial Economics, Elsevier (2006) Downloads View citations (445) (2006)

2002

  1. Luxury Goods and the Equity Premium
    Working Papers, Princeton University, School of Public and International Affairs, Discussion Papers in Economics Downloads View citations (5)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2001) Downloads View citations (37)
  2. Testing for Weak Instruments in Linear IV Regression
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1199)

1999

  1. Does School Quality Matter? Returns to Education and the Characteristics of Schools in South Africa
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (45)
    Also in Working Papers, Princeton University, Woodrow Wilson School of Public and International Affairs, Research Program in Development Studies. (1999) Downloads View citations (49)
    Working Papers, Princeton University. Economics Department. (1999) Downloads

Undated

  1. Artificial intelligence and big holdings data: Opportunities for central banks
    BIS Working Papers, Bank for International Settlements Downloads

Journal Articles

2024

  1. Which Investors Matter for Equity Valuations and Expected Returns?
    The Review of Economic Studies, 2024, 91, (4), 2387-2424 Downloads
    See also Working Paper Which Investors Matter for Equity Valuations and Expected Returns?, CEPR Discussion Papers (2020) Downloads View citations (21) (2020)

2023

  1. Understanding the Ownership Structure of Corporate Bonds
    American Economic Review: Insights, 2023, 5, (1), 73-92 Downloads View citations (7)
    See also Working Paper Understanding the Ownership Structure of Corporate Bonds, NBER Working Papers (2022) Downloads View citations (1) (2022)

2022

  1. Global Life Insurers during a Low Interest Rate Environment
    AEA Papers and Proceedings, 2022, 112, 503-08 Downloads View citations (3)
  2. New Perspectives on Insurance
    The Review of Financial Studies, 2022, 35, (12), 5275-5286 Downloads View citations (5)
  3. The Fragility of Market Risk Insurance
    Journal of Finance, 2022, 77, (2), 815-862 Downloads View citations (15)
    See also Working Paper The Fragility of Market Risk Insurance, Working Papers (2022) Downloads View citations (14) (2022)

2021

  1. Inspecting the mechanism of quantitative easing in the euro area
    Journal of Financial Economics, 2021, 140, (1), 1-20 Downloads View citations (38)
    See also Working Paper Inspecting the Mechanism of Quantitative Easing in the Euro Area, NBER Working Papers (2019) Downloads View citations (13) (2019)
  2. The evolution from life insurance to financial engineering
    The Geneva Risk and Insurance Review, 2021, 46, (2), 89-111 Downloads View citations (2)
    See also Working Paper The Evolution from Life Insurance to Financial Engineering, CEPR Discussion Papers (2021) Downloads (2021)

2019

  1. A Demand System Approach to Asset Pricing
    Journal of Political Economy, 2019, 127, (4), 1475 - 1515 Downloads View citations (155)
    See also Working Paper A Demand System Approach to Asset Pricing, Staff Report (2015) Downloads View citations (6) (2015)
  2. Leverage dynamics and credit quality
    Journal of Economic Theory, 2019, 183, (C), 183-212 Downloads View citations (5)

2018

  1. Eurosystem asset purchases and portfolio rebalancing in the euro area
    Rue de la Banque, 2018, (60) Downloads

2017

  1. Euro-Area Quantitative Easing and Portfolio Rebalancing
    American Economic Review, 2017, 107, (5), 621-27 Downloads View citations (64)
  2. Worker Betas: Five Facts about Systematic Earnings Risk
    American Economic Review, 2017, 107, (5), 398-403 Downloads View citations (62)
    See also Working Paper Worker Betas: Five Facts About Systematic Earnings Risk, Working Paper Series (2017) Downloads View citations (37) (2017)

2016

  1. Health and Mortality Delta: Assessing the Welfare Cost of Household Insurance Choice
    Journal of Finance, 2016, 71, (2), 957-1010 Downloads View citations (49)
    See also Working Paper Health and Mortality Delta: Assessing the Welfare Cost of Household Insurance Choice, Staff Report (2014) Downloads (2014)
  2. Portfolio choice in retirement: Health risk and the demand for annuities, housing, and risky assets
    Journal of Monetary Economics, 2016, 80, (C), 17-34 Downloads View citations (94)
    See also Working Paper Portfolio Choice in Retirement: Health Risk and the Demand for Annuities, Housing and Risky Assets, Working Papers, Center for Retirement Research at Boston College (2009) Downloads View citations (84) (2009)
  3. Shadow Insurance
    Econometrica, 2016, 84, 1265-1287 Downloads View citations (4)
    See also Working Paper Shadow Insurance, Swiss Finance Institute Research Paper Series (2016) Downloads View citations (4) (2016)

2015

  1. The Cost of Financial Frictions for Life Insurers
    American Economic Review, 2015, 105, (1), 445-75 Downloads View citations (60)
    See also Working Paper The Cost of Financial Frictions for Life Insurers, Staff Report (2014) Downloads View citations (7) (2014)

2012

  1. What does futures market interest tell us about the macroeconomy and asset prices?
    Journal of Financial Economics, 2012, 105, (3), 473-490 Downloads View citations (245)
    See also Working Paper What Does Futures Market Interest Tell Us about the Macroeconomy and Asset Prices?, NBER Working Papers (2011) Downloads View citations (9) (2011)

2010

  1. Why Do Household Portfolio Shares Rise in Wealth?
    The Review of Financial Studies, 2010, 23, (11), 3929-3965 Downloads View citations (130)
    See also Working Paper Why Do Household Portfolio Shares Rise in Wealth?, NBER Working Papers (2010) Downloads View citations (120) (2010)

2009

  1. A Note on Liquidity Risk Management
    American Economic Review, 2009, 99, (2), 578-83 Downloads View citations (37)
    See also Working Paper A Note on Liquidity Risk Management, NBER Working Papers (2009) Downloads View citations (37) (2009)
  2. Comment
    Journal of Business & Economic Statistics, 2009, 27, (3), 326-328 Downloads
  3. Durability of Output and Expected Stock Returns
    Journal of Political Economy, 2009, 117, (5), 941 - 986 Downloads View citations (72)
    See also Working Paper Durability of Output and Expected Stock Returns, 2007 Meeting Papers (2007) Downloads View citations (3) (2007)

2008

  1. Asset Prices Under Habit Formation and Reference-Dependent Preferences
    Journal of Business & Economic Statistics, 2008, 26, 131-143 Downloads View citations (38)
  2. Does firm value move too much to be justified by subsequent changes in cash flow
    Journal of Financial Economics, 2008, 87, (1), 200-226 Downloads View citations (56)
    See also Working Paper Does Firm Value Move Too Much to be Justified by Subsequent Changes in Cash Flow?, NBER Working Papers (2007) Downloads View citations (4) (2007)
  3. Measuring business cycles: A wavelet analysis of economic time series
    Economics Letters, 2008, 100, (2), 208-212 Downloads View citations (64)

2006

  1. A Consumption‐Based Explanation of Expected Stock Returns
    Journal of Finance, 2006, 61, (2), 539-580 Downloads View citations (262)
  2. Efficient tests of stock return predictability
    Journal of Financial Economics, 2006, 81, (1), 27-60 Downloads View citations (445)
    See also Working Paper Efficient tests of stock return predictability, Scholarly Articles (2006) Downloads View citations (421) (2006)

2005

  1. Asymptotic properties of the Hahn-Hausman test for weak-instruments
    Economics Letters, 2005, 89, (3), 333-342 Downloads View citations (56)

2004

  1. Estimating the Elasticity of Intertemporal Substitution When Instruments Are Weak
    The Review of Economics and Statistics, 2004, 86, (3), 797-810 Downloads View citations (301)

2002

  1. A Survey of Weak Instruments and Weak Identification in Generalized Method of Moments
    Journal of Business & Economic Statistics, 2002, 20, (4), 518-29 View citations (2161)
 
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