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Citations of
Hanno Lustig

For current contact information and a more complete listing of works, please see here

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Working papers

  1. 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)

    Cited by:

    1. Thomas Nitschka, 2008. "Idiosyncratic Consumption Risk and Predictability of the Carry Trade Premium: Euro Area Evidence," IEW - Working Papers iewwp387, Institute for Empirical Research in Economics - IEW. [Downloadable!]
    2. Aidan Corcoran, 2009. "The Determinants of Carry Trade Risk Premia," The Institute for International Integration Studies Discussion Paper Series iiisdp287, IIIS. [Downloadable!]
    3. Paul Soderlind & Angelo Ranaldo & Charlotte Christiansen, 2009. "The Time-Varying Systematic Risk of Carry Trade Strategies," University of St. Gallen Department of Economics working paper series 2009 2009-06, Department of Economics, University of St. Gallen. [Downloadable!]
      Other versions:
    4. Mouhamadou Sy & Hamidreza Tabarraei, 2009. "Carry trade and return crash risk," PSE Working Papers 2009-14, PSE (Ecole normale supérieure). [Downloadable!]
    5. Thomas Nitschka, 2009. "Momentum in stock market returns, risk premia on foreign currencies and international financial integration," IEW - Working Papers iewwp405, Institute for Empirical Research in Economics - IEW. [Downloadable!]
    6. Yu-chin Chen & Kwok Ping Tsang, 2009. "What Does the Yield Curve Tell Us About Exchange Rate Predictability?," Working Papers UWEC-2009-04, University of Washington, Department of Economics. [Downloadable!]
      Other versions:
    7. Menkhoff, Lukas & Sarno, Lucio & Schmeling, Maik & Schrimpf, Andreas, 2009. "Carry Trades and Global FX Volatility," MPRA Paper 14728, University Library of Munich, Germany. [Downloadable!]
    8. Ranaldo, Angelo & Söderlind, Paul, 2009. "Safe Haven Currencies," CEPR Discussion Papers 7249, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:

  2. 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)

    Cited by:

    1. Emmanuel Farhi & Xavier Gabaix, 2008. "Rare Disasters and Exchange Rates," NBER Working Papers 13805, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    2. Aidan Corcoran, 2009. "The Determinants of Carry Trade Risk Premia," The Institute for International Integration Studies Discussion Paper Series iiisdp287, IIIS. [Downloadable!]

  3. Hanno Lustig & Stijn Van Nieuwerburgh & Adrien Verdelhan, 2008. "The Wealth-Consumption Ratio," NBER Working Papers 13896, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

    Cited by:

    1. Aoki, Shuhei & Kitahara, Minoru, 2008. "Measuring the Dynamic Cost of Living Index from Consumption Data," MPRA Paper 9802, University Library of Munich, Germany. [Downloadable!]
    2. Sydney Ludvigson, 2008. "The Research Agenda: Sydney Ludvigson on Empirical Evaluation of Economic Theories of Risk Premia," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 9(2), April. [Downloadable!]
    3. Antonio Falato, 2008. "Happiness maintenance and asset prices," Finance and Economics Discussion Series 2008-19, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]

  4. 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)

    Cited by:

    1. Ralph S.J Koijen & Otto Van Hemert & Stijn Van Nieuwerburgh, 2007. "Mortgage Timing," NBER Working Papers 13361, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    2. Walentin, Karl, 2007. "Earnings Inequality and the Equity Premium," Working Paper Series 215, Sveriges Riksbank (Central Bank of Sweden). [Downloadable!]
    3. Jan Rouwendal, 2009. "Housing Wealth and Household Portfolios in an Ageing Society," De Economist, Springer, vol. 157(1), pages 1-48, March. [Downloadable!] (restricted)
    4. James A. Kahn, 2008. "What drives housing prices?," Staff Reports 345, Federal Reserve Bank of New York. [Downloadable!]
    5. Sydney C. Ludvigson, 2007. "Housing, credit and consumer expenditure: commentary," Proceedings, Federal Reserve Bank of Kansas City, pages 335-350. [Downloadable!]
    6. Stijn Van Nieuwerburgh & Pierre-Olivier Weill, 2006. "Why Has House Price Dispersion Gone Up?," NBER Working Papers 12538, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  5. 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)

    Cited by:

    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)

  6. 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)

    Cited by:

    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)

  7. 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!]
    Other versions:
    Published as:

    Cited by:

    1. Quinn, Dennis & Voth, Hans-Joachim, 2008. "Free Flows, Limited Diversification: Explaining the Fall and Rise of Stock Market Correlations, 1890-2001," CEPR Discussion Papers 7013, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    2. Emmanuel Farhi & Xavier Gabaix, 2008. "Rare Disasters and Exchange Rates," NBER Working Papers 13805, 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)
    4. Dennis Quinn & Joachim Voth, 2006. "A Century of Global Equity Market Correlations," Economics Working Papers 1119, Department of Economics and Business, Universitat Pompeu Fabra, revised Oct 2008. [Downloadable!]
      Other versions:
    5. Aidan Corcoran, 2009. "The Determinants of Carry Trade Risk Premia," The Institute for International Integration Studies Discussion Paper Series iiisdp287, IIIS. [Downloadable!]
    6. Fernando Alvarez & Andrew Atkeson & Patrick J. Kehoe, 2008. "Time-varying risk, interest rates, and exchange rates in general equilibrium," Staff Report 371, Federal Reserve Bank of Minneapolis. [Downloadable!]
      Other versions:
    7. Stephen Gilmore & Fumio Hayashi, 2008. "Emerging Market Currency Excess Returns," NBER Working Papers 14528, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    8. Pierre Perron† & Tatsuma Wada, 2005. "Let’s Take a Break: Trends and Cycles in US Real GDP?," Boston University - Department of Economics - Working Papers Series WP2005-031, Boston University - Department of Economics, revised Oct 2005. [Downloadable!]
      Other versions:
    9. 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)
    10. Craig Burnside, 2007. "The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: A Comment," NBER Working Papers 13129, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    11. Thomas Nitschka, 2008. "The Risk Premium on the Euro Area Market Portfolio: The Role of Real Estate," IEW - Working Papers iewwp385, Institute for Empirical Research in Economics - IEW. [Downloadable!]
    12. A. Craig Burnside, 2007. "Empirical Asset Pricing and Statistical Power in the Presence of Weak Risk Factors," NBER Working Papers 13357, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    13. Daniel Kohler, 2007. "Carry Trades: Betting Against Safe Haven," University of St. Gallen Department of Economics working paper series 2007 2007-12, Department of Economics, University of St. Gallen. [Downloadable!]
    14. 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!]
    15. John Y. Campbell & Karine Serfaty-de Medeiros & Luis M. Viceira, 2007. "Global Currency Hedging," NBER Working Papers 13088, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    16. Douglas Steigerwald & Jack Erb, 2007. "Accurately Sized Test Statistics with Misspecified Conditional Homoskedasticity," University of California at Santa Barbara, Economics Working Paper Series 09-07, Department of Economics, UC Santa Barbara. [Downloadable!]

  8. 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)

    Cited by:

    1. Cristina Arellano & Ananth Ramanarayanan, 2008. "Default and the maturity structure in sovereign bonds," Globalization and Monetary Policy Institute Working Paper 19, Federal Reserve Bank of Dallas. [Downloadable!]
      Other versions:
    2. 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)

  9. 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)
    Published as:

    Cited by:

    1. Akito Matsumoto, 2007. "The Role of Nonseparable Utility and Nontradeables in International Business Cycle and Portfolio Choice," IMF Working Papers 07/163, International Monetary Fund. [Downloadable!]
    2. Aoki, Shuhei & Kitahara, Minoru, 2008. "Measuring the Dynamic Cost of Living Index from Consumption Data," MPRA Paper 9802, University Library of Munich, Germany. [Downloadable!]
    3. Nicolas Coeurdacier & Pierre-Olivier Gourinchas, 2008. "When bonds matter: home bias in goods and assets," Working Paper Series 2008-25, Federal Reserve Bank of San Francisco. [Downloadable!]
    4. Borja Larrain & Motohiro Yogo, 2005. "Does firm value move too much to be justified by subsequent changes in cash flow?," Working Papers 05-18, Federal Reserve Bank of Boston. [Downloadable!]
      Other versions:
    5. Sydney Ludvigson, 2008. "The Research Agenda: Sydney Ludvigson on Empirical Evaluation of Economic Theories of Risk Premia," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 9(2), April. [Downloadable!]
    6. Coeurdacier, Nicolas & Kollmann, Robert & Martin, Philippe, 2007. "International Portfolios with Supply, Demand and Redistributive Shocks," CEPR Discussion Papers 6482, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    7. Ricardo M. Sousa, 2007. "Wealth Shocks and Risk Aversion," NIPE Working Papers 28/2007, NIPE - Universidade do Minho. [Downloadable!]
    8. Chang, Yanqin, 2007. "high level of international risk sharing when the productivity growth contains long run risk," MPRA Paper 4476, University Library of Munich, Germany. [Downloadable!]
    9. Hanno Lustig & Stijn Van Nieuwerburgh & Adrien Verdelhan, 2008. "The Wealth-Consumption Ratio," NBER Working Papers 13896, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    10. Xavier Gabaix & Augustin Landier, 2006. "Why Has CEO Pay Increased So Much?," NBER Working Papers 12365, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    11. Luca Benzoni & Olena Chyruk, 2009. "Investing over the life cycle with long-run labor income risk," Economic Perspectives, Federal Reserve Bank of Chicago, issue Q III, pages 29-43. [Downloadable!]
    12. Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein, 2007. "Portfolio choice over the life-cycle when the stock and labor markets are cointegrated," Working Paper Series WP-07-11, Federal Reserve Bank of Chicago. [Downloadable!]

  10. 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)

    Cited by:

    1. Jeffrey Frankel & Jumana Poonawala, 2006. "The Forward Market in Emerging Currencies: Less Biased Than in Major Currencies," NBER Working Papers 12496, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    2. Fernando Alvarez & Andrew Atkeson & Patrick J. Kehoe, 2008. "Time-varying risk, interest rates, and exchange rates in general equilibrium," Staff Report 371, Federal Reserve Bank of Minneapolis. [Downloadable!]
      Other versions:

  11. 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)

    Cited by:

    1. Morris A. Davis & Robert F. Martin, 2005. "Housing, house prices, and the equity premium puzzle," Finance and Economics Discussion Series 2005-13, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    2. Yoshida, Jiro, 2007. "Technology Shocks and Asset Price Dynamics: The Role of Housing in General Equilibrium," MPRA Paper 6271, University Library of Munich, Germany, revised 05 Mar 2008. [Downloadable!]
    3. François Ortalo-Magné & Sven Rady, 2005. "Housing Market Dynamics: On the Contribution of Income Shocks and Credit Constraint," Discussion Papers 50, SFB/TR 15 Governance and the Efficiency of Economic Systems, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich. [Downloadable!]
      Other versions:
    4. Dirk Krueger & Fabrizio Perri, 2005. "The Research Agenda: Dirk Krueger and Fabrizio Perri on Risk Sharing across Households, Generations and Countries," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 6(2), April. [Downloadable!]

  12. 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!]

    Cited by:

    1. Emmanuel Farhi & Xavier Gabaix, 2008. "Rare Disasters and Exchange Rates," NBER Working Papers 13805, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    2. 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)
    3. Dennis Quinn & Joachim Voth, 2006. "A Century of Global Equity Market Correlations," Economics Working Papers 1119, Department of Economics and Business, Universitat Pompeu Fabra, revised Oct 2008. [Downloadable!]
      Other versions:
    4. Fernando Alvarez & Andrew Atkeson & Patrick J. Kehoe, 2008. "Time-varying risk, interest rates, and exchange rates in general equilibrium," Staff Report 371, Federal Reserve Bank of Minneapolis. [Downloadable!]
      Other versions:
    5. Stephen Gilmore & Fumio Hayashi, 2008. "Emerging Market Currency Excess Returns," NBER Working Papers 14528, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    6. Pierre Perron† & Tatsuma Wada, 2005. "Let’s Take a Break: Trends and Cycles in US Real GDP?," Boston University - Department of Economics - Working Papers Series WP2005-031, Boston University - Department of Economics, revised Oct 2005. [Downloadable!]
      Other versions:
    7. 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)
    8. Craig Burnside, 2007. "The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: A Comment," NBER Working Papers 13129, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    9. Thomas Nitschka, 2008. "The Risk Premium on the Euro Area Market Portfolio: The Role of Real Estate," IEW - Working Papers iewwp385, Institute for Empirical Research in Economics - IEW. [Downloadable!]
    10. A. Craig Burnside, 2007. "Empirical Asset Pricing and Statistical Power in the Presence of Weak Risk Factors," NBER Working Papers 13357, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    11. Daniel Kohler, 2007. "Carry Trades: Betting Against Safe Haven," University of St. Gallen Department of Economics working paper series 2007 2007-12, Department of Economics, University of St. Gallen. [Downloadable!]
    12. 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!]
    13. John Y. Campbell & Karine Serfaty-de Medeiros & Luis M. Viceira, 2007. "Global Currency Hedging," NBER Working Papers 13088, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    14. Douglas Steigerwald & Jack Erb, 2007. "Accurately Sized Test Statistics with Misspecified Conditional Homoskedasticity," University of California at Santa Barbara, Economics Working Paper Series 09-07, Department of Economics, UC Santa Barbara. [Downloadable!]
    15. Markus K. Brunnermeier & Stefan Nagel & Lasse H. Pedersen, 2008. "Carry Trades and Currency Crashes," NBER Working Papers 14473, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:

  13. Stijn Van Nieuwerburgh & Hanno Lustig, 2004. "Housing Collateral and Consumption Insurance Across US Regions," 2004 Meeting Papers 548, Society for Economic Dynamics.

    Cited by:

    1. 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!]
    2. 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)
    3. Andrew Benito & Haroon Mumtaz, . "Consumption excess sensitivity, liquidity constraints and the collateral role of housing," Bank of England working papers 306, Bank of England. [Downloadable!]
    4. 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!]
    5. Davis, Morris & Heathcote, Jonathan, 2005. "The Price and Quantity of Residential Land in the United States," CEPR Discussion Papers 5333, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    6. John Y. Campbell & João F. Cocco, 2005. "How Do House Prices Affect Consumption? Evidence From Micro Data," NBER Working Papers 11534, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:

  14. Sevin Yeltekin & Hanno Lustig & Chris Sleet, 2004. "Does the US government hedge against government expenditure risk?," 2004 Meeting Papers 48, Society for Economic Dynamics.

    Cited by:

    1. 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)

  15. 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)
    Published as:

    Cited by:

    1. 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!]
    2. 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)
    3. Thomas Nitschka, 2008. "Idiosyncratic Consumption Risk and Predictability of the Carry Trade Premium: Euro Area Evidence," IEW - Working Papers iewwp387, Institute for Empirical Research in Economics - IEW. [Downloadable!]
    4. Sydney C. Ludvigson, 2007. "Housing, credit and consumer expenditure: commentary," Proceedings, Federal Reserve Bank of Kansas City, pages 335-350. [Downloadable!]
    5. Andrew Benito & Haroon Mumtaz, . "Consumption excess sensitivity, liquidity constraints and the collateral role of housing," Bank of England working papers 306, Bank of England. [Downloadable!]
    6. Thomas Nitschka, 2008. "The Risk Premium on the Euro Area Market Portfolio: The Role of Real Estate," IEW - Working Papers iewwp385, Institute for Empirical Research in Economics - IEW. [Downloadable!]
    7. Mathias Hoffmann & Iryna Shcherbakova, 2008. "Consumption risk sharing over the business cycle: the role of small firms' access to credit markets," IEW - Working Papers iewwp363, Institute for Empirical Research in Economics - IEW. [Downloadable!]
      Other versions:
    8. Mathias Hoffmann & Thomas Nitschka, 2008. "Securitization of Mortgage Debt, Asset Prices and International Risk Sharing," IEW - Working Papers iewwp376, Institute for Empirical Research in Economics - IEW. [Downloadable!]
      Other versions:
    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. Davis, Morris & Heathcote, Jonathan, 2005. "The Price and Quantity of Residential Land in the United States," CEPR Discussion Papers 5333, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    11. George M. Korniotis & Alok Kumar, 2008. "Do behavioral biases adversely affect the macro-economy?," Finance and Economics Discussion Series 2008-49, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    12. John Y. Campbell & João F. Cocco, 2005. "How Do House Prices Affect Consumption? Evidence From Micro Data," NBER Working Papers 11534, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:

  16. 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)
    Published as:

    Cited by:

    1. Mathias Hoffmann & Iryna Shcherbakova, 2009. "Consumption Risk Sharing over the Business Cycle: the Role of Small Firms' Access to Credit Markets," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
      Other versions:
    2. 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)
    3. David Backus & Mikhail Chernov & Ian Martin, 2009. "Disasters implied by equity index options," NBER Working Papers 15240, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    4. Geert Bekaert & Eric Engstrom & Steven R. Grenadier, 2006. "Stock and Bond Returns with Moody Investors," NBER Working Papers 12247, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    5. Geert Bekaert & Eric Engstrom & Yuhang Xing, 2006. "Risk, Uncertainty and Asset Prices," NBER Working Papers 12248, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    6. João Ejarque & Søren Leth-Petersen, 2008. "Consumption and Savings of First Time House Owners: How Do They Deal with Adverse Income Shocks?," CAM Working Papers 2008-08, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics. [Downloadable!]
    7. Matteo Iacoviello & Stefano Neri, 2007. "Housing Market Spillovers: Evidence from an Estimated DSGE Model," Boston College Working Papers in Economics 659, Boston College Department of Economics, revised 23 Oct 2009. [Downloadable!]
      Other versions:
    8. Zhi Da & Re-Jin Guo & Ravi Jagannathan, 2009. "CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence," NBER Working Papers 14889, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    9. 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)
    10. Ricardo M. Sousa, 2007. "Expectations, Shocks, and Asset Returns," NIPE Working Papers 29/2007, NIPE - Universidade do Minho. [Downloadable!]
    11. Jonathan McCarthy & Charles Steindel, 2006. "Housing activity, home values, and consumer spending," Proceedings, Federal Reserve Bank of Chicago, pages 78-89. [Downloadable!]
    12. Morris A. Davis & Robert F. Martin, 2005. "Housing, house prices, and the equity premium puzzle," Finance and Economics Discussion Series 2005-13, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    13. Ricardo M. Sousa, 2007. "Wealth Shocks and Risk Aversion," NIPE Working Papers 28/2007, NIPE - Universidade do Minho. [Downloadable!]
    14. Richard K. Green & Amy Crews Cutts & Buchi Ramagopal, 2006. "Mortgage Contracts and Household Risk Management," Working Papers 0004, School of Business, The George Washington University. [Downloadable!]
    15. Saffi, Pedro, 2008. "Expected returns and liquidity risk: Does entrepreneurial income matter?," IESE Research Papers D/749, IESE Business School. [Downloadable!]
    16. Martin Lettau & Jessica A. Wachter, 2009. "The Term Structures of Equity and Interest Rates," NBER Working Papers 14698, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    17. 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!]
    18. Wenli Li & Haiyong Liu & Rui Yao, 2009. "Housing over time and over the life cycle: a structural estimation," Working Papers 09-7, Federal Reserve Bank of Philadelphia. [Downloadable!]
    19. In Choi & Timothy K. Chue, 2006. "Subsampling-Based Tests of Stock-Return Predictability," Hi-Stat Discussion Paper Series d06-178, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
    20. Franzoni, Francesco & Adrian, Tobias, 2005. "Learning about Beta: time-varying factor loadings, expected returns and the conditional CAPM," Les Cahiers de Recherche 828, HEC Paris. [Downloadable!]
      Other versions:
    21. François Gourio, 2005. "Operating Leverage,Stock Market Cyclicality,and the Cross-Section of Returns," Boston University - Department of Economics - Working Papers Series WP2005-002, Boston University - Department of Economics. [Downloadable!]
      Other versions:
    22. Enjolras, G. & Sentis, P., 2008. "The Main Determinants of Insurance Purchase: An Empirical Study on Crop Insurance Policies in France," 2008 International Congress, August 26-29, 2008, Ghent, Belgium 44395, European Association of Agricultural Economists. [Downloadable!]
      Other versions:
    23. Laura Veldkamp & Chris Edmond, 2006. "Income Dispersion, Asymmetric Information and Fluctuations in Market Efficiency," Working Papers 06-13, New York University, Leonard N. Stern School of Business, Department of Economics. [Downloadable!]
      Other versions:
    24. 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!]
    25. 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!]
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    26. Morris A. Davis & Robert F. Martin, 2008. "Housing, home production, and the equity and value premium puzzles," International Finance Discussion Papers 931, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    27. Michael W. Brandt & David A. Chapman, 2006. "Linear Approximations and Tests of Conditional Pricing Models," NBER Working Papers 12513, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  17. Hanno Lustig & Stijn Van Nieuwerburgh, 2002. "Housing Collateral, Consumption Insurance and Risk Premia," Macroeconomics 0211008, EconWPA. [Downloadable!]

    Cited by:

    1. Marjorie Flavin & Shinobu Nakagawa, 2004. "A Model of Housing in the Presence of Adjustment Costs: A Structural Interpretation of Habit Persistence," NBER Working Papers 10458, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    2. Monika Piazzesi & Martin Schneider & Selale Tuzel, 2006. "Housing, Consumption, and Asset Pricing," NBER Working Papers 12036, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    3. Joseph Gruber & Robert Martin, 2003. "Precautionary savings and the wealth distribution with illiquid durables," International Finance Discussion Papers 773, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    4. Jiri Slacalek, 2006. "What Drives Personal Consumption?: The Role of Housing and Financial Wealth," Discussion Papers of DIW Berlin 647, DIW Berlin, German Institute for Economic Research. [Downloadable!]
    5. Raj Chetty & Adam Szeidl, 2004. "Consumption Commitments: Neoclassical Foundations for Habit Formation," NBER Working Papers 10970, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    6. Robert F. Martin Joseph W. Gruber, 2004. "Does Housing Wealth Make Us Less Equal? The Role of Durable Goods in the Distribution of Wealth," Econometric Society 2004 North American Summer Meetings 15, Econometric Society. [Downloadable!]
    7. Thomas Nitschka, 2008. "Idiosyncratic Consumption Risk and Predictability of the Carry Trade Premium: Euro Area Evidence," IEW - Working Papers iewwp387, Institute for Empirical Research in Economics - IEW. [Downloadable!]
    8. Fang Yang, 2006. "Consumption along the life cycle: how different is housing?," Working Papers 635, Federal Reserve Bank of Minneapolis. [Downloadable!]
      Other versions:
    9. John Krainer & Milton H. Marquis, 2003. "Mortgages as recursive contracts," Working Papers in Applied Economic Theory 2003-03, Federal Reserve Bank of San Francisco. [Downloadable!]
      Other versions:
    10. 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)
      Other versions:
    11. Lettau, Martin & Wachter, Jessica, 2005. "Why is Long-Horizon Equity Less Risky? A Duration-based Explanation of the Value Premium," CEPR Discussion Papers 4921, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    12. Thomas Nitschka, 2008. "The Risk Premium on the Euro Area Market Portfolio: The Role of Real Estate," IEW - Working Papers iewwp385, Institute for Empirical Research in Economics - IEW. [Downloadable!]
    13. Mathias Hoffmann & Thomas Nitschka, 2008. "Securitization of Mortgage Debt, Asset Prices and International Risk Sharing," IEW - Working Papers iewwp376, Institute for Empirical Research in Economics - IEW. [Downloadable!]
      Other versions:
    14. Matthias Messner & Nicola Pavoni, 2004. "On the Recursive Saddle Point Method," Levine's Bibliography 122247000000000050, UCLA Department of Economics. [Downloadable!]
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    15. Jonathan Lewellen & Stefan Nagel, 2003. "The Conditional CAPM does not Explain Asset-Pricing Anamolies," NBER Working Papers 9974, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    16. Jonathan Lewellen & Stefan Nagel & Jay Shanken, 2006. "A Skeptical Appraisal of Asset-Pricing Tests," NBER Working Papers 12360, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    17. Andreas Lehnert, 2004. "Housing, consumption, and credit constraints," Finance and Economics Discussion Series 2004-63, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    18. Laura Veldkamp, 2003. "Learning Asymmetries in Real Business Cycles," Working Papers 03-21, New York University, Leonard N. Stern School of Business, Department of Economics. [Downloadable!]
      Other versions:

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

    Cited by:

    1. 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)
      Other versions:
    2. Martin Bodenstein, 2006. "International asset markets and real exchange rate volatility," International Finance Discussion Papers 884, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
      Other versions:
    3. Stephen Morris & Hyun Song Shin, 2003. "Liquidity Black Holes," Cowles Foundation Discussion Papers 1434, Cowles Foundation, Yale University. [Downloadable!]
      Other versions:
    4. Acharya, Viral V & Pedersen, Lasse Heje, 2003. "Asset Pricing with Liquidity Risk," CEPR Discussion Papers 3749, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    5. Joseph Gruber & Robert Martin, 2003. "Precautionary savings and the wealth distribution with illiquid durables," International Finance Discussion Papers 773, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    6. Pástor, Luboš & Stambaugh, Robert F, 2002. "Liquidity Risk and Expected Stock Returns," CEPR Discussion Papers 3494, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    7. Gonzalo Rubio & Miguel Angel A. Martinez & Belén Nieto, 2003. "Asset pricing and systematic liquidity risk," DFAEII Working Papers 200205, University of the Basque Country - Department of Foundations of Economic Analysis II. [Downloadable!]
    8. Robert F. Martin Joseph W. Gruber, 2004. "Does Housing Wealth Make Us Less Equal? The Role of Durable Goods in the Distribution of Wealth," Econometric Society 2004 North American Summer Meetings 15, Econometric Society. [Downloadable!]
    9. Gaetano Bloise & Pietro Reichlin, 2008. "Asset Prices, Debt Constraints And Inefficiency," Departmental Working Papers of Economics - University 'Roma Tre' 0089, Department of Economics - University Roma Tre. [Downloadable!]
      Other versions:
    10. Christian Hellwig, 2003. "Bubbles and Self-enforcing Debt (October 2006, with Guido Lorenzoni)," UCLA Economics Online Papers 229, UCLA Department of Economics. [Downloadable!]
    11. Junsang Lee & Yili Chien, 2008. "Why Tax Capital?," ANUCBE School of Economics Working Papers 2008-497, Australian National University, College of Business and Economics, School of Economics. [Downloadable!]
      Other versions:
    12. Fernando Alvarez & Andrew Atkeson & Patrick Kehoe, 2007. "Time-Varying Risk, Interest Rates, and Exchange Rates in General Equilibrium," Working Papers CAS_RN_2007_6, Laboratory for Macroeconomic Analysis. [Downloadable!]
      Other versions:
    13. Miguel A. Martínez & Belén Nieto & Gonzalo Rubio & Mikel Tapia, 2002. "Asset Pricing And Systematic Liquidity Risk: An Empirical Investigation Of The Spanish Stock Market," Business Economics Working Papers wb026022, Universidad Carlos III, Departamento de Economía de la Empresa. [Downloadable!]
    14. 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)
    15. Jonathan Thomas & Tim Worral, 2004. "Unemployment Insurance under Moral Hazard and Limited Commitment: Public versus Private Provision," ESE Discussion Papers 95, Edinburgh School of Economics, University of Edinburgh. [Downloadable!]
      Other versions:
    16. Arpad Abraham & Eva Carceles-Poveda, 2006. "Complete Markets, Enforcement Constraints and Intermediation," Computing in Economics and Finance 2006 320, Society for Computational Economics. [Downloadable!]
      Other versions:
    17. Casey B. Mulligan, 2004. "Robust Aggregate Implications of Stochastic Discount Factor Volatility," NBER Working Papers 10210, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    18. Jonathan P Thomas & Tim Worrall, 2002. "Unemployment Insurance under Moral Hazard and Limited Commitment: Public vs Private Provision," Keele Economics Research Papers KERP 2002/20, Centre for Economic Research, Keele University. [Downloadable!]
      Other versions:
    19. Junsang Lee & Yili Chien, 2008. "Optimal Capital Taxation Under Limited Commitment," ANUCBE School of Economics Working Papers 2008-498, Australian National University, College of Business and Economics, School of Economics. [Downloadable!]
      Other versions:
    20. Christian Hellwig & Guido Lorenzoni, 2006. "Bubbles and Self-enforcing Debt," Levine's Bibliography 321307000000000383, UCLA Department of Economics. [Downloadable!]
      Other versions:
    21. Juan Pablo Medina, 2004. "The Default Rate and Price of Capital in a Costly External Finance Model," Working Papers Central Bank of Chile 297, Central Bank of Chile. [Downloadable!]
    22. Professor George M Constantinides, 2005. "Market Oganization and the prices of financial Assets," Money Macro and Finance (MMF) Research Group Conference 2005 49, Money Macro and Finance Research Group. [Downloadable!]
      Other versions:
    23. Juan Pablo Medina, 2004. "Endogenous Financial Constraints: Persistence and Interest Rate Fluctuations," Working Papers Central Bank of Chile 290, Central Bank of Chile. [Downloadable!]
    24. Lars Peter Hansen, 2008. "Modeling the Long Run: Valuation in Dynamic Stochastic Economies," NBER Working Papers 14243, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    25. Dirk Krueger & Hanno Lustig & Fabrizio Perri, 2006. "Taxing Capital? Not a Bad Idea After All!," CFS Working Paper Series 2006/22, Center for Financial Studies. [Downloadable!]
      Other versions:

Articles

  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)
    Other versions:

    See citations under working paper version above.

  2. 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!]
    Other versions:

    See citations under working paper version above.

  3. 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)
    Other versions:

    See citations under working paper version above.Sorry, no citations of articles recorded.

Chapters

    Sorry, no citations of chapters recorded.
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