Publications

by members of

Finance Group
Anderson Graduate School of Management
University of California-Los Angeles (UCLA)
Los Angeles, California (United States)

Working papers

2009

1. Hanno Lustig & Chad Syverson & Stijn Van Nieuwerburgh, 2009. "Technological Change and the Growing Inequality in Managerial Compensation," NBER Working Papers 14661, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
2. Yi-Li Chien & Harold L. Cole & Hanno Lustig, 2009. "Is the Volatility of the Market Price of Risk due to Intermittent Portfolio Re-balancing?," NBER Working Papers 15382, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

2008

1. Hanno Lustig & Adrien Verdelhan, 2008. "Note on The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk," NBER Working Papers 13812, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
2. Hanno Lustig & Stijn Van Nieuwerburgh & Adrien Verdelhan, 2008. "The Wealth-Consumption Ratio," NBER Working Papers 13896, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
3. Hanno Lustig & Nikolai Roussanov & Adrien Verdelhan, 2008. "Common Risk Factors in Currency Markets," NBER Working Papers 14082, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

2007

1. YiLi Chien & Harold Cole & Hanno Lustig, 2007. "A Multiplier Approach to Understanding the Macro Implications of Household Finance," NBER Working Papers 13555, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
2. Dirk Krueger & Hanno Lustig & Fabrizio Perri, 2007. "Evaluating Asset Pricing Models with Limited Commitment using Household Consumption Data," NBER Working Papers 13650, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

2006

1. Dirk Krueger & Hanno Lustig, 2006. "When is Market Incompleteness Irrelevant for the Price of Aggregate Risk (and when is it not)?," NBER Working Papers 12634, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
2. Hanno Lustig & Stijn Van Nieuwerburgh, 2006. "Can Housing Collateral Explain Long-Run Swings in Asset Returns?," NBER Working Papers 12766, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
3. Krüger, Dirk & Lustig, Hanno, 2006. "The Irrelevance of Market Incompleteness for the Price of Aggregate Risk," CEPR Discussion Papers 5936, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
4. Yunus Aksoy & Hanno Lustig, 2006. "Exchange Rates, Prices and International Trade in a Model of Endogenous Market Structure," Birkbeck Working Papers in Economics and Finance 0609, Birkbeck, Department of Economics, Mathematics & Statistics. [Downloadable!]

2005

1. Hanno Lustig & Stijn Van Nieuwerburgh, 2005. "The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street," NBER Working Papers 11564, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
2. Hanno Lustig & Yi-Li Chien, 2005. "The Market Price of Aggregate Risk and the Wealth Distribution," NBER Working Papers 11132, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
3. Hanno Lustig & Adrien Verdelhan, 2005. "The Cross-Section of Currency Risk Premia and US Consumption Growth Risk," NBER Working Papers 11104, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
4. Hanno Lustig & Christopher Sleet & Sevin Yeltekin, 2005. "Fiscal Hedging and the Yield Curve," NBER Working Papers 11687, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
5. Stijn Van Nieuwerburgh & Hanno Lustig, 2005. "The Returns on Human Wealth: Good News on Wall Street is Bad News on Main Street," 2005 Meeting Papers 105, Society for Economic Dynamics. [Downloadable!]
6. Hanno Lustig & Adrien Verdelhan, 2005. "Investing in Foreign Currency is like Betting on your Intertemporal Marginal Rate of Substitution," Boston University - Department of Economics - Working Papers Series WP2005-040, Boston University - Department of Economics. [Downloadable!]
7. Hanno Lustig, 2005. "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 352, UCLA Department of Economics. [Downloadable!]
8. Hanno Lustig, 2005. "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 368, UCLA Department of Economics. [Downloadable!]
9. Adrien Verdelhan & Hanno Lustig, 2005. "The Cross-Section Of Foreign Currency Risk Premia And Consumption Growth Risk," Boston University - Department of Economics - Working Papers Series WP2005-019, Boston University - Department of Economics. [Downloadable!]

2004

1. Hanno Lustig & Stijn Van Nieuwerburgh, 2004. "How Much Does Household Collateral Constrain Regional Risk Sharing?," NBER Working Papers 10505, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
2. Hanno Lustig, 2004. "Housing Collateral, Consumption Insurance and Risk Premia: an Empirical Perspective (joint with Stijn Van Nieuwerburgh), forthcoming Journal of Finance," UCLA Economics Online Papers 300, UCLA Department of Economics. [Downloadable!]
3. Stijn Van Nieuwerburgh & Hanno Lustig, 2004. "Housing Collateral and Consumption Insurance Across US Regions," 2004 Meeting Papers 548, Society for Economic Dynamics.
4. Hanno Lustig, 2004. "The Market Price of Aggregate Risk and the Wealth Distribution," UCLA Economics Online Papers 299, UCLA Department of Economics. [Downloadable!]
5. Hanno Lustig, 2004. "The Cross-Section of Foreign Currency Risk Premia and US Consumption Growth Risk (joint with Adrien Verdelhan)(updated February 2006)," UCLA Economics Online Papers 303, UCLA Department of Economics. [Downloadable!]
6. Hanno Lustig, 2004. "How much Does Household Collateral Constrain Regional Risk Sharing? (joint with Stijn Van Nieuwerburgh) (updated February 2006)," UCLA Economics Online Papers 302, UCLA Department of Economics. [Downloadable!]
7. Sevin Yeltekin & Hanno Lustig & Chris Sleet, 2004. "Does the US government hedge against government expenditure risk?," 2004 Meeting Papers 48, Society for Economic Dynamics.
8. Hanno Lustig & Stijn Van Nieuwerburgh, 2004. "A Theory of Housing Collateral, Consumption Insurance and Risk Premia," NBER Working Papers 10955, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
9. Hanno Lustig, 2004. "Can Housing Collateral Explain Long-Run Swings in Asset Returns? (joint with Stijn Van Nieuwerburgh)," UCLA Economics Online Papers 322, UCLA Department of Economics. [Downloadable!]
10. Hanno Lustig & Adrien Verdelhan, 2004. "The Cross-Section of Foreign Currency Risk Premia and US Consumption Growth Risk," 2004 Meeting Papers 136c, Society for Economic Dynamics. [Downloadable!]

2003

1. Hanno Lustig & Stijn Van Nieuwerburgh, 2003. "Housing Collateral, Consumption Insurance and Risk Premia: An Empirical Perpective," NBER Working Papers 9959, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

2002

1. Hanno Lustig & Stijn Van Nieuwerburgh, 2002. "Housing Collateral, Consumption Insurance and Risk Premia," Macroeconomics 0211008, EconWPA. [Downloadable!]
2. Yunus Aksoy & Hanno Lustig, 2002. "Short and Long Term Real Effects of Exchange Rates," Computing in Economics and Finance 2002 46, Society for Computational Economics.

2001

1. Hanno Lustig, 2001. "The Market Price of Aggregate Risk and the Wealth Distribution," Finance 0111004, EconWPA, revised 16 Nov 2001. [Downloadable!]

1998

1. Yunus Aksoy & Hanno Lustig, 1998. "Circular Aspects of Exchange Rates and Market Structure," Center for Economic Studies - Discussion papers ces9806, Katholieke Universiteit Leuven, Centrum voor Economische Studiën. [Downloadable!]

1996

1. Stuart A. Gabriel & Joe P. Mattey, 1996. "Leaving Los Angeles: migration, economic opportunity and the quality-of-life," Working Papers in Applied Economic Theory 96-10, Federal Reserve Bank of San Francisco. [Downloadable!]
2. Stuart A. Gabriel & Joe P. Mattey & William L. Wascher, 1996. "Compensating differentials and evolution of the quality-of-life among U.S. states," Working Papers in Applied Economic Theory 96-07, Federal Reserve Bank of San Francisco. [Downloadable!]

1991

1. Stuart A. Gabriel & Janice Shack-Marquez & William L. Wascher, 1991. "Regional house-price dispersion and interregional migration," Working Paper Series / Economic Activity Section 122, Board of Governors of the Federal Reserve System (U.S.).

1988

1. Stuart A. Gabriel & Janice Shack-Marquez & William L. Wascher, 1988. "Regional labor markets, cost-of-living differentials, and migration," Working Paper Series / Economic Activity Section 91, Board of Governors of the Federal Reserve System (U.S.).

1987

1. John L. Goodman & Stuart A. Gabriel, 1987. "Forecasting housing construction: lessons and puzzles from recent years," Working Paper Series / Economic Activity Section 69, Board of Governors of the Federal Reserve System (U.S.).
2. Stuart S. Rosenthal & John V. Duca & Stuart A. Gabriel, 1987. "Credit rationing and the demand for owner-occupied housing," Working Paper Series / Economic Activity Section 79, Board of Governors of the Federal Reserve System (U.S.).

Undated

1. Hanno Lustig, . "When is Market Incompleteness Irrelevant for the Price of Aggregate Risk (joint with Dirk Krueger, UPenn)," UCLA Economics Online Papers 380, UCLA Department of Economics. [Downloadable!]
2. Antje Berndt & Hanno Lustig & Sevin Yeltekin, . "Does the US Government Hedge Against Fiscal Risk?," GSIA Working Papers 2006-E70, Carnegie Mellon University, Tepper School of Business. [Downloadable!]
3. Hanno Lustig & Christopher Sleet & Sevin Yeltekin, . "Fiscal Hedging with Nominal Assets," GSIA Working Papers 2006-E35, Carnegie Mellon University, Tepper School of Business. [Downloadable!]
4. Hanno Lustig, . "Exploring the Link between Housing and the Value Premium (joint with Stijn Van Nieuwerburgh)," UCLA Economics Online Papers 389, UCLA Department of Economics. [Downloadable!]

Journal articles

2009

1. Bostic, Raphael & Gabriel, Stuart & Painter, Gary, 2009. "Housing wealth, financial wealth, and consumption: New evidence from micro data," Regional Science and Urban Economics, Elsevier, vol. 39(1), pages 79-89, January. [Downloadable!] (restricted)

2008

1. Hanno Lustig & Stijn Van Nieuwerburgh, 2008. "The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 21(5), pages 2097-2137, September. [Downloadable!] (restricted)
2. Lustig, Hanno & Sleet, Christopher & Yeltekin, Sevin, 2008. "Fiscal hedging with nominal assets," Journal of Monetary Economics, Elsevier, vol. 55(4), pages 710-727, May. [Downloadable!] (restricted)
3. Dirk Krueger & Hanno Lustig & Fabrizio Perri, 2008. "Evaluating Asset Pricing Models with Limited Commitment Using Household Consumption Data," Journal of the European Economic Association, MIT Press, vol. 6(2-3), pages 715-726, 04-05. [Downloadable!] (restricted)
4. Stuart A. Gabriel & Gary Painter, 2008. "Mobility, Residential Location and the American Dream: The Intrametropolitan Geography of Minority Homeownership," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 36(3), pages 499-531, 09. [Downloadable!] (restricted)

2007

1. Hanno Lustig & Adrien Verdelhan, 2007. "The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk," American Economic Review, American Economic Association, vol. 97(1), pages 89-117, March. [Downloadable!]

2006

1. Hanno Lustig & Adrien Verdelhan, 2006. "Investing in Foreign Currency is like Betting on your Intertemporal Marginal Rate of Substitution," Journal of the European Economic Association, MIT Press, vol. 4(2-3), pages 644-655, 04-05. [Downloadable!] (restricted)
2. Deng, Yongheng & Gabriel, Stuart, 2006. "Risk-Based Pricing and the Enhancement of Mortgage Credit Availability among Underserved and Higher Credit-Risk Populations," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(6), pages 1431-1460, September. [Downloadable!] (restricted)
3. Bostic, Raphael W. & Gabriel, Stuart A., 2006. "Do the GSEs matter to low-income housing markets? An assessment of the effects of the GSE loan purchase goals on California housing outcomes," Journal of Urban Economics, Elsevier, vol. 59(3), pages 458-475, May. [Downloadable!] (restricted)

2005

1. Hanno N. Lustig & Stijn G. Van Nieuwerburgh, 2005. "Housing Collateral, Consumption Insurance, and Risk Premia: An Empirical Perspective," Journal of Finance, American Finance Association, vol. 60(3), pages 1167-1219, 06. [Downloadable!] (restricted)
2. Yongheng Deng & Stuart A. Gabriel, 2005. "Are underserved borrowers lower risk? new evidence on the performance and pricing of FHA-Insured mortgages," Proceedings, Federal Reserve Bank of Chicago, issue May, pages 310-325.
3. Gabriel, Stuart A. & Rosenthal, Stuart S., 2005. "Homeownership in the 1980s and 1990s: aggregate trends and racial gaps," Journal of Urban Economics, Elsevier, vol. 57(1), pages 101-127, January. [Downloadable!] (restricted)

2004

1. Stuart A. Gabriel & Stuart S. Rosenthal, 2004. "Quality of the Business Environment Versus Quality of Life: Do Firms and Households Like the Same Cities?," The Review of Economics and Statistics, MIT Press, vol. 86(1), pages 438-444, 02. [Downloadable!] (restricted)

2003

1. Gabriel, Stuart & Painter, Gary, 2003. "Pathways to Homeownership: An Analysis of the Residential Location and Homeownership Choices of Black Households in Los Angeles," The Journal of Real Estate Finance and Economics, Springer, vol. 27(1), pages 87-109, July. [Downloadable!] (restricted)
2. Gabriel, Stuart A. & Mattey, Joe P. & Wascher, William L., 2003. "Compensating differentials and evolution in the quality-of-life among U.S. states," Regional Science and Urban Economics, Elsevier, vol. 33(5), pages 619-649, September. [Downloadable!] (restricted)
3. Deng, Yongheng & Gabriel, Stuart A & Nothaft, Frank E, 2003. "Duration of Residence in the Rental Housing Market," The Journal of Real Estate Finance and Economics, Springer, vol. 26(2-3), pages 267-85, March-May. [Downloadable!] (restricted)

2002

1. Gabriel, Stuart & Pollakowski, Henry O. & Wachter, Susan, 2002. "Special issue on housing policy," Journal of Housing Economics, Elsevier, vol. 11(3), pages 183-186, September. [Downloadable!] (restricted)

2001

1. Painter, Gary & Gabriel, Stuart & Myers, Dowell, 2001. "Race, Immigrant Status, and Housing Tenure Choice," Journal of Urban Economics, Elsevier, vol. 49(1), pages 150-167, January. [Downloadable!] (restricted)
2. Gabriel, Stuart A. & Nothaft, Frank E., 2001. "Rental Housing Markets, the Incidence and Duration of Vacancy, and the Natural Vacancy Rate," Journal of Urban Economics, Elsevier, vol. 49(1), pages 121-149, January. [Downloadable!] (restricted)

1999

1. Stuart A. Gabriel & Joe P. Mattey & William L. Wascher, 1999. "House price differentials and dynamics: evidence from the Los Angeles and San Francisco metropolitan areas," Economic Review, Federal Reserve Bank of San Francisco, pages 3-22. [Downloadable!]
2. Gabriel, Stuart A. & Rosenthal, Stuart S., 1999. "Location and the effect of demographic traits on earnings," Regional Science and Urban Economics, Elsevier, vol. 29(4), pages 445-461, July. [Downloadable!] (restricted)

1998

1. James A. Berkovec & Glenn B. Canner & Stuart A. Gabriel & Timothy H. Hannan, 1998. "Discrimination, Competition, And Loan Performance In Fha Mortgage Lending," The Review of Economics and Statistics, MIT Press, vol. 80(2), pages 241-250, May. [Downloadable!] (restricted)

1996

1. Stuart A. Gabriel & Joe P. Mattey, 1996. "The slowing exodus from California," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue Dec 27. [Downloadable!]
2. Gabriel, Stuart A. & Rosenthal, Stuart S., 1996. "Commutes, Neighborhood Effects, and Earnings: An Analysis of Racial Discrimination and Compensating Differentials," Journal of Urban Economics, Elsevier, vol. 40(1), pages 61-83, July. [Downloadable!] (restricted)

1995

1. James A. Berkovec & Glenn B. Canner & Stuart A. Gabriel & Timothy H. Hannan, 1995. "Mortgage discrimination and FHA loan performance," Proceedings, Federal Reserve Bank of Chicago, issue May, pages 218-237.
2. Stuart A. Gabriel & Joe P. Mattey & William L. Wascher, 1995. "The demise of California reconsidered: interstate migration over the economic cycle," Economic Review, Federal Reserve Bank of San Francisco, pages 30-48. [Downloadable!]
3. Stuart A. Gabriel, 1995. "California dreamin': a rebound in net migration?," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue Oct 6. [Downloadable!]
4. Bradley, Michael G & Gabriel, Stuart A & Wohar, Mark E, 1995. "The Thrift Crisis, Mortgage-Credit Intermediation, and Housing Activity," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 27(2), pages 476-97, May. [Downloadable!] (restricted)
5. David Dale-Johnson & Stuart A. Gabriel, 1995. "Introduction: Deregulation and Reform of Housing and Housing Finance Markets: Recent Lessons from Western and Central Europe," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 23(4), pages 395-400. [Downloadable!] (restricted)

1994

1. James A. Berkovec & Glenn B. Canner & Stuart A. Gabriel & Timothy H. Hannan, 1994. "Race, redlining, and residential mortgage loan performance," Proceedings, Federal Reserve Bank of Philadelphia, pages 263-298.
2. Stuart A. Gabriel, 1994. "Crises in the thrift industry and the cost of mortgage credit," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue Nov 11. [Downloadable!]

1993

1. Gabriel, Stuart A & Rosenthal, Stuart S, 1993. "Adjustable-Rate Mortgages, Household Mobility, and Homeownership: A Simulation Study," The Journal of Real Estate Finance and Economics, Springer, vol. 7(1), pages 29-41, July.
2. Gabriel, Stuart A. & Shack-Marquez, Janice & Wascher, William L., 1993. "Does migration arbitrage regional labor market differentials?," Regional Science and Urban Economics, Elsevier, vol. 23(2), pages 211-233, April. [Downloadable!] (restricted)

1992

1. Gabriel, Stuart A. & Shack-Marquez, Janice & Wascher, William L., 1992. "Regional house-price dispersion and interregional migration," Journal of Housing Economics, Elsevier, vol. 2(3), pages 235-256, September. [Downloadable!] (restricted)

1991

1. Rosenthal, Stuart S. & Duca, John V. & Gabriel, Stuart A., 1991. "Credit rationing and the demand for owner-occupied housing," Journal of Urban Economics, Elsevier, vol. 30(1), pages 48-63, July. [Downloadable!] (restricted)

1990

1. Stuart A. Gabriel & Janice Shack-Marquez & William L. Wascher, 1990. "Regional house price dispersion and interregional migration," Proceedings, Federal Reserve Bank of San Francisco, issue Nov.

1989

1. Gabriel, Stuart A & Rosenthal, Stuart S, 1989. "Household Location and Race: Estimates of Multinomial Logit Model," The Review of Economics and Statistics, MIT Press, vol. 71(2), pages 240-49, May. [Downloadable!] (restricted)
2. Rothberg, James P & Nothaft, Frank E & Gabriel, Stuart A, 1989. "On the Determinants of Yield Spreads between Mortgage Pass-Through and Treasury Securities," The Journal of Real Estate Finance and Economics, Springer, vol. 2(4), pages 301-15, December.

1988

1. Gabriel, Stuart A & Levy, Daniel, 1988. "Expectations, Information, and Migration: The Case of the West Bank and Gaza," Applied Economics, Taylor and Francis Journals, vol. 20(1), pages 1-13, January.
2. Justman, Moshe & Levy, Amnon & Gabriel, Stuart, 1988. "Determinants of Internal Migration in Israel: Expected Returns and Risks," Applied Economics, Taylor and Francis Journals, vol. 20(5), pages 679-90, May.
3. Stuart A. Gabriel & Frank E. Nothaft, 1988. "Rental Housing Markets and the Natural Vacancy Rate," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 16(4), pages 419-429. [Downloadable!] (restricted)

1987

1. Stuart A. Gabriel, 1987. "Housing and mortgage markets: the post-1982 expansion," Federal Reserve Bulletin, Board of Governors of the Federal Reserve System (U.S.), issue Dec, pages 893-903.
2. Gabriel, Stuart A. & Justman, Moshe & Levy, Amnon, 1987. "Place-to-place migration in Israel : Estimates of a logistic model," Regional Science and Urban Economics, Elsevier, vol. 17(4), pages 595-606, November. [Downloadable!] (restricted)
3. Gabriel, Stuart A. & Justman, Moshe & Levy, Amnon, 1987. "A simultaneous-equations analysis of urban development: Migration and industrial growth in Israel's new towns," Journal of Urban Economics, Elsevier, vol. 21(3), pages 364-377, May. [Downloadable!] (restricted)
4. Stuart A. Gabriel, 1987. "Economic Effects of Racial Integration: An Analysis of Hedonic Housing Prices and the Willingness to Pay," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 15(3), pages 268-279. [Downloadable!] (restricted)

1986

1. Gabriel, Stuart A & Sabatello, Eitan F, 1986. "Palestinian Migration from the West Bank and Gaza: Economic and Demographic Analyses," Economic Development and Cultural Change, University of Chicago Press, vol. 34(2), pages 245-62, January.
2. Gabriel, Stuart A. & Maoz, Ilan, 1986. "Cyclical fluctuations in the Israeli housing market," Journal of Urban Economics, Elsevier, vol. 19(3), pages 249-263, May. [Downloadable!] (restricted)

1984

1. Gabriel, Stuart A. & Wolch, Jennifer R., 1984. "Spillover effects of human service facilities in a racially segmented housing market," Journal of Urban Economics, Elsevier, vol. 16(3), pages 339-350, November. [Downloadable!] (restricted)

1981

1. Jennifer R Wolch & S A Gabriel, 1981. "Local land-development policies and urban housing values," Environment and Planning A, Pion Ltd, London, vol. 13(10), pages 1253-1276, October. [Downloadable!] (restricted)

Chapters

2008

1. Hanno Lustig & Adrien Verdelhan, 2008. "Comment on "Carry Trades and Currency Crashes"," NBER Chapters, in: NBER Macroeconomics Annual 2008 National Bureau of Economic Research, Inc. [Downloadable!]

This page was last updated on 2009-12-2.