Details about Motohiro Yogo
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
- Limited Risk Transfer Between Investors: A New Benchmark for Macro-Finance Models
NBER Working Papers, National Bureau of Economic Research, Inc
2024
- Financial Inclusion Across the United States
NBER Working Papers, National Bureau of Economic Research, Inc 
Also in Working Papers, Princeton University. Economics Department. (2021)
2023
- Asset Demand of U.S. Households
NBER Working Papers, National Bureau of Economic Research, Inc
- Neoclassical Growth in an Interdependent World
NBER Working Papers, National Bureau of Economic Research, Inc 
Also in LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2023)  Working Papers, Princeton University. Economics Department. (2023) View citations (1) CEP Discussion Papers, Centre for Economic Performance, LSE (2023)  CEPR Discussion Papers, C.E.P.R. Discussion Papers (2023)  Working Papers, Princeton University, Department of Economics, Center for Economic Policy Studies. (2023)
2022
- The Fragility of Market Risk Insurance
Working Papers, Princeton University. Economics Department. View citations (14)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2018) View citations (9) NBER Working Papers, National Bureau of Economic Research, Inc (2018) View citations (9)
See also Journal Article The Fragility of Market Risk Insurance, Journal of Finance, American Finance Association (2022) View citations (15) (2022)
- Understanding the Ownership Structure of Corporate Bonds
NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
See also Journal Article Understanding the Ownership Structure of Corporate Bonds, American Economic Review: Insights, American Economic Association (2023) View citations (7) (2023)
2021
- The Evolution from Life Insurance to Financial Engineering
CEPR Discussion Papers, C.E.P.R. Discussion Papers 
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2021) View citations (2)
See also Journal Article The evolution from life insurance to financial engineering, The Geneva Risk and Insurance Review, Palgrave Macmillan (2021) View citations (2) (2021)
2020
- Exchange Rates and Asset Prices in a Global Demand System
Working Papers, Princeton University. Economics Department. View citations (24)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2020) View citations (37) CEPR Discussion Papers, C.E.P.R. Discussion Papers (2020) View citations (37)
- Which Investors Matter for Equity Valuations and Expected Returns?
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (21)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2020) 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) (2024)
- Which Investors Matter for Global Equity Valuations and Expected Returns?
Working Papers, Princeton University. Economics Department. View citations (13)
2019
- Inspecting the Mechanism of Quantitative Easing in the Euro Area
NBER Working Papers, National Bureau of Economic Research, Inc View citations (13)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2019) View citations (5)
See also Journal Article Inspecting the mechanism of quantitative easing in the euro area, Journal of Financial Economics, Elsevier (2021) View citations (38) (2021)
2017
- Risk of Life Insurers: Recent Trends and Transmission Mechanisms
NBER Working Papers, National Bureau of Economic Research, Inc View citations (7)
- Worker Betas: Five Facts About Systematic Earnings Risk
Working Paper Series, Federal Reserve Bank of Chicago View citations (37)
Also in Staff Report, Federal Reserve Bank of Minneapolis (2017) View citations (37) NBER Working Papers, National Bureau of Economic Research, Inc (2017) View citations (62)
See also Journal Article Worker Betas: Five Facts about Systematic Earnings Risk, American Economic Review, American Economic Association (2017) View citations (62) (2017)
2016
- Quantitative Easing in the Euro Area: The Dynamics of Risk Exposures and the Impact on Asset Prices
Working papers, Banque de France View citations (40)
- Shadow Insurance
Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (4)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2013)  Staff Report, Federal Reserve Bank of Minneapolis (2014) View citations (1)
See also Journal Article Shadow Insurance, Econometrica, Econometric Society (2016) View citations (4) (2016)
2015
- A Demand System Approach to Asset Pricing
Staff Report, Federal Reserve Bank of Minneapolis View citations (6)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2015) View citations (2)
See also Journal Article A Demand System Approach to Asset Pricing, Journal of Political Economy, University of Chicago Press (2019) View citations (155) (2019)
2014
- Growing Risk in the Insurance Sector
Economic Policy Paper, Federal Reserve Bank of Minneapolis
- 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 (7) NBER Working Papers, National Bureau of Economic Research, Inc (2011) 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) View citations (49) (2016)
- The Cost of Financial Frictions for Life Insurers
Staff Report, Federal Reserve Bank of Minneapolis View citations (7)
Also in 2012 Meeting Papers, Society for Economic Dynamics (2012) View citations (6) NBER Working Papers, National Bureau of Economic Research, Inc (2012) View citations (5)
See also Journal Article The Cost of Financial Frictions for Life Insurers, American Economic Review, American Economic Association (2015) View citations (60) (2015)
2013
- Debt: Deleveraging or Default
2013 Meeting Papers, Society for Economic Dynamics View citations (1)
2011
- What Does Futures Market Interest Tell Us about the Macroeconomy and Asset Prices?
NBER Working Papers, National Bureau of Economic Research, Inc 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) View citations (245) (2012)
2010
- Why Do Household Portfolio Shares Rise in Wealth?
NBER Working Papers, National Bureau of Economic Research, Inc 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) View citations (130) (2010)
2009
- A Note on Liquidity Risk Management
NBER Working Papers, National Bureau of Economic Research, Inc View citations (37)
See also Journal Article A Note on Liquidity Risk Management, American Economic Review, American Economic Association (2009) View citations (37) (2009)
- Optimal Health and Longevity Insurance
2009 Meeting Papers, Society for Economic Dynamics
- 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 View citations (84)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2009) View citations (98) 2008 Meeting Papers, Society for Economic Dynamics (2008) 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) View citations (94) (2016)
2007
- Does Firm Value Move Too Much to be Justified by Subsequent Changes in Cash Flow?
NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
Also in Working Papers, Federal Reserve Bank of Boston (2005) 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) View citations (56) (2008)
- Durability of Output and Expected Stock Returns
2007 Meeting Papers, Society for Economic Dynamics View citations (3)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2007) View citations (4)
See also Journal Article Durability of Output and Expected Stock Returns, Journal of Political Economy, University of Chicago Press (2009) View citations (72) (2009)
2006
- Efficient tests of stock return predictability
Scholarly Articles, Harvard University Department of Economics View citations (421)
Also in Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2002) View citations (14) NBER Working Papers, National Bureau of Economic Research, Inc (2003) View citations (38)
See also Journal Article Efficient tests of stock return predictability, Journal of Financial Economics, Elsevier (2006) View citations (445) (2006)
2002
- Luxury Goods and the Equity Premium
Working Papers, Princeton University, School of Public and International Affairs, Discussion Papers in Economics View citations (5)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2001) View citations (37)
- Testing for Weak Instruments in Linear IV Regression
NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (1199)
1999
- Does School Quality Matter? Returns to Education and the Characteristics of Schools in South Africa
NBER Working Papers, National Bureau of Economic Research, Inc View citations (45)
Also in Working Papers, Princeton University, Woodrow Wilson School of Public and International Affairs, Research Program in Development Studies. (1999) View citations (49) Working Papers, Princeton University. Economics Department. (1999)
Undated
- Artificial intelligence and big holdings data: Opportunities for central banks
BIS Working Papers, Bank for International Settlements
Journal Articles
2024
- Which Investors Matter for Equity Valuations and Expected Returns?
The Review of Economic Studies, 2024, 91, (4), 2387-2424 
See also Working Paper Which Investors Matter for Equity Valuations and Expected Returns?, CEPR Discussion Papers (2020) View citations (21) (2020)
2023
- Understanding the Ownership Structure of Corporate Bonds
American Economic Review: Insights, 2023, 5, (1), 73-92 View citations (7)
See also Working Paper Understanding the Ownership Structure of Corporate Bonds, NBER Working Papers (2022) View citations (1) (2022)
2022
- Global Life Insurers during a Low Interest Rate Environment
AEA Papers and Proceedings, 2022, 112, 503-08 View citations (3)
- New Perspectives on Insurance
The Review of Financial Studies, 2022, 35, (12), 5275-5286 View citations (5)
- The Fragility of Market Risk Insurance
Journal of Finance, 2022, 77, (2), 815-862 View citations (15)
See also Working Paper The Fragility of Market Risk Insurance, Working Papers (2022) View citations (14) (2022)
2021
- Inspecting the mechanism of quantitative easing in the euro area
Journal of Financial Economics, 2021, 140, (1), 1-20 View citations (38)
See also Working Paper Inspecting the Mechanism of Quantitative Easing in the Euro Area, NBER Working Papers (2019) View citations (13) (2019)
- The evolution from life insurance to financial engineering
The Geneva Risk and Insurance Review, 2021, 46, (2), 89-111 View citations (2)
See also Working Paper The Evolution from Life Insurance to Financial Engineering, CEPR Discussion Papers (2021) (2021)
2019
- A Demand System Approach to Asset Pricing
Journal of Political Economy, 2019, 127, (4), 1475 - 1515 View citations (155)
See also Working Paper A Demand System Approach to Asset Pricing, Staff Report (2015) View citations (6) (2015)
- Leverage dynamics and credit quality
Journal of Economic Theory, 2019, 183, (C), 183-212 View citations (5)
2018
- Eurosystem asset purchases and portfolio rebalancing in the euro area
Rue de la Banque, 2018, (60)
2017
- Euro-Area Quantitative Easing and Portfolio Rebalancing
American Economic Review, 2017, 107, (5), 621-27 View citations (64)
- Worker Betas: Five Facts about Systematic Earnings Risk
American Economic Review, 2017, 107, (5), 398-403 View citations (62)
See also Working Paper Worker Betas: Five Facts About Systematic Earnings Risk, Working Paper Series (2017) View citations (37) (2017)
2016
- Health and Mortality Delta: Assessing the Welfare Cost of Household Insurance Choice
Journal of Finance, 2016, 71, (2), 957-1010 View citations (49)
See also Working Paper Health and Mortality Delta: Assessing the Welfare Cost of Household Insurance Choice, Staff Report (2014) (2014)
- Portfolio choice in retirement: Health risk and the demand for annuities, housing, and risky assets
Journal of Monetary Economics, 2016, 80, (C), 17-34 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) View citations (84) (2009)
- Shadow Insurance
Econometrica, 2016, 84, 1265-1287 View citations (4)
See also Working Paper Shadow Insurance, Swiss Finance Institute Research Paper Series (2016) View citations (4) (2016)
2015
- The Cost of Financial Frictions for Life Insurers
American Economic Review, 2015, 105, (1), 445-75 View citations (60)
See also Working Paper The Cost of Financial Frictions for Life Insurers, Staff Report (2014) View citations (7) (2014)
2012
- What does futures market interest tell us about the macroeconomy and asset prices?
Journal of Financial Economics, 2012, 105, (3), 473-490 View citations (245)
See also Working Paper What Does Futures Market Interest Tell Us about the Macroeconomy and Asset Prices?, NBER Working Papers (2011) View citations (9) (2011)
2010
- Why Do Household Portfolio Shares Rise in Wealth?
The Review of Financial Studies, 2010, 23, (11), 3929-3965 View citations (130)
See also Working Paper Why Do Household Portfolio Shares Rise in Wealth?, NBER Working Papers (2010) View citations (120) (2010)
2009
- A Note on Liquidity Risk Management
American Economic Review, 2009, 99, (2), 578-83 View citations (37)
See also Working Paper A Note on Liquidity Risk Management, NBER Working Papers (2009) View citations (37) (2009)
- Comment
Journal of Business & Economic Statistics, 2009, 27, (3), 326-328
- Durability of Output and Expected Stock Returns
Journal of Political Economy, 2009, 117, (5), 941 - 986 View citations (72)
See also Working Paper Durability of Output and Expected Stock Returns, 2007 Meeting Papers (2007) View citations (3) (2007)
2008
- Asset Prices Under Habit Formation and Reference-Dependent Preferences
Journal of Business & Economic Statistics, 2008, 26, 131-143 View citations (38)
- Does firm value move too much to be justified by subsequent changes in cash flow
Journal of Financial Economics, 2008, 87, (1), 200-226 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) View citations (4) (2007)
- Measuring business cycles: A wavelet analysis of economic time series
Economics Letters, 2008, 100, (2), 208-212 View citations (64)
2006
- A Consumption‐Based Explanation of Expected Stock Returns
Journal of Finance, 2006, 61, (2), 539-580 View citations (262)
- Efficient tests of stock return predictability
Journal of Financial Economics, 2006, 81, (1), 27-60 View citations (445)
See also Working Paper Efficient tests of stock return predictability, Scholarly Articles (2006) View citations (421) (2006)
2005
- Asymptotic properties of the Hahn-Hausman test for weak-instruments
Economics Letters, 2005, 89, (3), 333-342 View citations (56)
2004
- Estimating the Elasticity of Intertemporal Substitution When Instruments Are Weak
The Review of Economics and Statistics, 2004, 86, (3), 797-810 View citations (301)
2002
- 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)
|
The links between different versions of a paper are constructed automatically by matching on the titles.
Please contact if a link is incorrect.
Use this form
to add links between versions where the titles do not match.
|