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Hanno Lustig

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Personal Details

First Name: Hanno
Middle Name:
Last Name: Lustig
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RePEc Short-ID: plu17

Email:
Homepage: http://www.anderson.ucla.edu/x18962.xml
Postal Address:
Phone: 3108253697

Affiliation

(in no particular order)

Works

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Working papers

  1. YiLi Chien & Harold L. Cole & Hanno Lustig, 2014. "Implications of Heterogeneity in Preferences, Beliefs and Asset Trading Technologies for the Macroeconomy," NBER Working Papers 20328, National Bureau of Economic Research, Inc.
  2. Bernard Herskovic & Bryan T. Kelly & Hanno Lustig & Stijn Van Nieuwerburgh, 2014. "The Common Factor in Idiosyncratic Volatility: Quantitative Asset Pricing Implications," NBER Working Papers 20076, National Bureau of Economic Research, Inc.
  3. Matthias Fleckenstein & Francis A. Longstaff & Hanno Lustig, 2013. "Deflation Risk," NBER Working Papers 19238, National Bureau of Economic Research, Inc.
  4. Bryan Kelly & Hanno Lustig & Stijn Van Nieuwerburgh, 2013. "Firm Volatility in Granular Networks," NBER Working Papers 19466, National Bureau of Economic Research, Inc.
  5. Hanno Lustig & Andreas Stathopoulos & Adrien Verdelhan, 2013. "The Term Structure of Currency Carry Trade Risk Premia," NBER Working Papers 19623, National Bureau of Economic Research, Inc.
  6. Bryan T. Kelly & Hanno Lustig & Stijn Van Nieuwerburgh, 2011. "Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees," NBER Working Papers 17149, National Bureau of Economic Research, Inc.
  7. Priyank Gandhi & Hanno Lustig, 2010. "Size Anomalies in U.S. Bank Stock Returns: A Fiscal Explanation," NBER Working Papers 16553, National Bureau of Economic Research, Inc.
  8. Matthias Fleckenstein & Francis A. Longstaff & Hanno Lustig, 2010. "Why Does the Treasury Issue Tips? The Tips–Treasury Bond Puzzle," NBER Working Papers 16358, National Bureau of Economic Research, Inc.
  9. Hanno Lustig & Priyank Gandhi, 2010. "Size Anomalies in US Bank Stock Returns: Your Tax Dollars at Work?," 2010 Meeting Papers, Society for Economic Dynamics 1290, Society for Economic Dynamics.
  10. Hanno Lustig & Nikolai Roussanov & Adrien Verdelhan, 2010. "Countercyclical Currency Risk Premia," NBER Working Papers 16427, National Bureau of Economic Research, Inc.
  11. Ralph S.J. Koijen & Hanno Lustig & Stijn Van Nieuwerburgh, 2010. "The Cross-Section and Time-Series of Stock and Bond Returns," NBER Working Papers 15688, National Bureau of Economic Research, Inc.
  12. 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.
  13. Stijn Van Nieuwerburgh & Hanno Lustig & Ralph S.J. Koijen, 2009. "The Bond Risk Premium and the Cross-Section of Equity Returns," 2009 Meeting Papers, Society for Economic Dynamics 12, Society for Economic Dynamics.
  14. 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.
  15. Hanno Lustig & Stijn Van Nieuwerburgh & Adrien Verdelhan, 2008. "The Wealth-Consumption Ratio," NBER Working Papers 13896, National Bureau of Economic Research, Inc.
  16. Hanno Lustig & Adrien Verdelhan, 2008. "The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: A Reply," NBER Working Papers 13812, National Bureau of Economic Research, Inc.
  17. Hanno Lustig & Nikolai Roussanov & Adrien Verdelhan, 2008. "Common Risk Factors in Currency Markets," NBER Working Papers 14082, National Bureau of Economic Research, Inc.
  18. Stijn Van Nieuwerburgh & Chad Syverson & Hanno Lustig, 2008. "IT, Corporate Payouts, and the Growing Inequality in Managerial Compensation," 2008 Meeting Papers, Society for Economic Dynamics 265, Society for Economic Dynamics.
  19. 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.
  20. 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.
  21. Krüger, Dirk & Lustig, Hanno, 2006. "The Irrelevance of Market Incompleteness for the Price of Aggregate Risk," CEPR Discussion Papers, C.E.P.R. Discussion Papers 5936, C.E.P.R. Discussion Papers.
  22. Hanno Lustig & Christopher Sleet & Sevin Yeltekin, 2006. "Optimal Debt Maturity Management," 2006 Meeting Papers, Society for Economic Dynamics 367, Society for Economic Dynamics.
  23. 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.
  24. 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.
  25. 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, Society for Economic Dynamics 105, Society for Economic Dynamics.
  26. 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.
  27. Hanno Lustig, 2005. "Does the US government Hedge against Defense Expenditure Risk? (joint with Chris Sleet and Sevin Yeltekin)," UCLA Economics Online Papers, UCLA Department of Economics 356, UCLA Department of Economics.
  28. 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, Boston University - Department of Economics WP2005-040, Boston University - Department of Economics.
  29. 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, Boston University - Department of Economics WP2005-019, Boston University - Department of Economics.
  30. 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, UCLA Department of Economics 352, UCLA Department of Economics.
  31. Hanno Lustig & Christopher Sleet & Sevin Yeltekin, 2005. "Fiscal Hedging and the Yield Curve," NBER Working Papers 11687, National Bureau of Economic Research, Inc.
  32. Hanno Lustig, 2005. "Fiscal Hedging and the Yield Curve(joint with Chris Sleet, CMU, and Sevin Yeltekin (CMU))," UCLA Economics Online Papers, UCLA Department of Economics 353, UCLA Department of Economics.
  33. 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.
  34. 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, UCLA Department of Economics 368, UCLA Department of Economics.
  35. 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.
  36. Stijn Van Nieuwerburgh & Hanno Lustig, 2004. "Housing Collateral and Consumption Insurance Across US Regions," 2004 Meeting Papers, Society for Economic Dynamics 548, Society for Economic Dynamics.
  37. 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, UCLA Department of Economics 303, UCLA Department of Economics.
  38. Sevin Yeltekin & Hanno Lustig & Chris Sleet, 2004. "Does the US government hedge against government expenditure risk?," 2004 Meeting Papers, Society for Economic Dynamics 48, Society for Economic Dynamics.
  39. 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, UCLA Department of Economics 300, UCLA Department of Economics.
  40. Hanno Lustig, 2004. "How much Does Household Collateral Constrain Regional Risk Sharing? (joint with Stijn Van Nieuwerburgh) (updated February 2006)," UCLA Economics Online Papers, UCLA Department of Economics 302, UCLA Department of Economics.
  41. 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.
  42. Hanno Lustig & Adrien Verdelhan, 2004. "The Cross-Section of Foreign Currency Risk Premia and US Consumption Growth Risk," 2004 Meeting Papers, Society for Economic Dynamics 136c, Society for Economic Dynamics.
  43. Hanno Lustig, 2004. "Can Housing Collateral Explain Long-Run Swings in Asset Returns? (joint with Stijn Van Nieuwerburgh)," UCLA Economics Online Papers, UCLA Department of Economics 322, UCLA Department of Economics.
  44. 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.
  45. Hanno Lustig & Stijn Van Nieuwerburgh, 2002. "Housing Collateral, Consumption Insurance and Risk Premia," Macroeconomics, EconWPA 0211008, EconWPA.
  46. Hanno Lustig, 2001. "The Market Price of Aggregate Risk and the Wealth Distribution," Finance, EconWPA 0111004, EconWPA, revised 16 Nov 2001.
  47. Hanno Lustig, . "Exploring the Link between Housing and the Value Premium (joint with Stijn Van Nieuwerburgh)," UCLA Economics Online Papers, UCLA Department of Economics 389, UCLA Department of Economics.
  48. Hanno Lustig & Christopher Sleet & Sevin Yeltekin, . "Fiscal Hedging with Nominal Assets," GSIA Working Papers, Carnegie Mellon University, Tepper School of Business 2006-E35, Carnegie Mellon University, Tepper School of Business.
  49. Hanno Lustig, . "When is Market Incompleteness Irrelevant for the Price of Aggregate Risk (joint with Dirk Krueger, UPenn)," UCLA Economics Online Papers, UCLA Department of Economics 380, UCLA Department of Economics.
  50. Hanno Lustig, . "The Wealth-Consumption Ratio: A Litmus Test for Consumption-based Asset Pricing Models," UCLA Economics Online Papers, UCLA Department of Economics 420, UCLA Department of Economics.
  51. Antje Berndt & Hanno Lustig & Sevin Yeltekin, . "How does the U.S. government finance fiscal shocks?," GSIA Working Papers, Carnegie Mellon University, Tepper School of Business 2006-E70, Carnegie Mellon University, Tepper School of Business.
  52. Hanno Lustig, . "Macro Implications of Household Finance (joint with YiLi Chien and Harold Cole )," UCLA Economics Online Papers, UCLA Department of Economics 422, UCLA Department of Economics.

Articles

  1. YiLi Chien & Harold Cole & Hanno Lustig, 2012. "Is the Volatility of the Market Price of Risk Due to Intermittent Portfolio Rebalancing?," American Economic Review, American Economic Association, American Economic Association, vol. 102(6), pages 2859-96, October.
  2. Antje Berndt & Hanno Lustig & Şevin Yeltekin, 2012. "How Does the US Government Finance Fiscal Shocks?," American Economic Journal: Macroeconomics, American Economic Association, American Economic Association, vol. 4(1), pages 69-104, January.
  3. Lustig, Hanno & Syverson, Chad & Van Nieuwerburgh, Stijn, 2011. "Technological change and the growing inequality in managerial compensation," Journal of Financial Economics, Elsevier, Elsevier, vol. 99(3), pages 601-627, March.
  4. Yili Chien & Harold Cole & Hanno Lustig, 2011. "A Multiplier Approach to Understanding the Macro Implications of Household Finance," Review of Economic Studies, Oxford University Press, vol. 78(1), pages 199-234.
  5. Hanno Lustig & Adrien Verdelhan, 2011. "The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: Reply," American Economic Review, American Economic Association, American Economic Association, vol. 101(7), pages 3477-3500, December.
  6. Hanno Lustig & Stijn Van Nieuwerburgh, 2010. "How Much Does Household Collateral Constrain Regional Risk Sharing?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 13(2), pages 265-294, April.
  7. YiLi Chien & Hanno Lustig, 2010. "The Market Price of Aggregate Risk and the Wealth Distribution," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 23(4), pages 1596-1650, April.
  8. Krueger, Dirk & Lustig, Hanno, 2010. "When is market incompleteness irrelevant for the price of aggregate risk (and when is it not)?," Journal of Economic Theory, Elsevier, Elsevier, vol. 145(1), pages 1-41, January.
  9. Ralph S. J. Koijen & Hanno Lustig & Stijn Van Nieuwerburgh & Adrien Verdelhan, 2010. "Long Run Risk, the Wealth-Consumption Ratio, and the Temporal Pricing of Risk," American Economic Review, American Economic Association, American Economic Association, vol. 100(2), pages 552-56, May.
  10. Lustig, Hanno & Sleet, Christopher & Yeltekin, Sevin, 2008. "Fiscal hedging with nominal assets," Journal of Monetary Economics, Elsevier, Elsevier, vol. 55(4), pages 710-727, May.
  11. 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, MIT Press, vol. 6(2-3), pages 715-726, 04-05.
  12. 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, Society for Financial Studies, Society for Financial Studies, vol. 21(5), pages 2097-2137, September.
  13. Hanno Lustig & Adrien Verdelhan, 2007. "The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk," American Economic Review, American Economic Association, American Economic Association, vol. 97(1), pages 89-117, March.
  14. 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, MIT Press, vol. 4(2-3), pages 644-655, 04-05.
  15. Hanno N. Lustig & Stijn G. Van Nieuwerburgh, 2005. "Housing Collateral, Consumption Insurance, and Risk Premia: An Empirical Perspective," Journal of Finance, American Finance Association, American Finance Association, vol. 60(3), pages 1167-1219, 06.
  16. Hanno Lustig & Nikolai Roussanov & Adrien Verdelhan, 0. "Common Risk Factors in Currency Markets," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 24(11), pages 3731-3777.

Software components

  1. Hanno Lustig & Stijn Van Nieuwerburgh, 2009. "Code and data files for "How Much Does Housing Collateral Constrain Regional Risk Sharing?"," Computer Codes, Review of Economic Dynamics 06-187, Review of Economic Dynamics.

Chapters

  1. Hanno Lustig & Adrien Verdelhan, 2009. "Comment on "Carry Trades and Currency Crashes"," NBER Chapters, National Bureau of Economic Research, Inc, in: NBER Macroeconomics Annual 2008, Volume 23, pages 361-384 National Bureau of Economic Research, Inc.

NEP Fields

46 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BAN: Banking (1) 2012-07-14
  2. NEP-BEC: Business Economics (11) 2004-10-21 2006-02-19 2006-02-19 2006-04-01 2006-12-09 2006-12-22 2007-08-14 2009-01-31 2009-09-26 2010-02-20 2013-10-02. Author is listed
  3. NEP-CBA: Central Banking (1) 2012-07-14
  4. NEP-CFN: Corporate Finance (1) 2005-02-20
  5. NEP-DEV: Development (1) 2007-08-14
  6. NEP-DGE: Dynamic General Equilibrium (12) 2001-11-21 2002-11-18 2004-06-07 2004-12-12 2005-02-20 2005-09-11 2006-11-04 2006-12-09 2006-12-22 2007-11-10 2008-01-05 2009-01-31. Author is listed
  7. NEP-FIN: Finance (10) 2004-08-02 2004-08-02 2004-08-02 2004-12-12 2004-12-15 2005-02-13 2005-02-20 2005-10-15 2005-12-01 2006-03-18. Author is listed
  8. NEP-FMK: Financial Markets (3) 2006-03-18 2006-04-01 2014-05-17
  9. NEP-HIS: Business, Economic & Financial History (1) 2007-08-14
  10. NEP-IAS: Insurance Economics (6) 2003-09-08 2004-08-02 2004-08-02 2004-12-12 2006-04-01 2006-12-09. Author is listed
  11. NEP-IFN: International Finance (5) 2004-08-09 2004-08-09 2006-02-19 2006-03-18 2008-07-14. Author is listed
  12. NEP-KNM: Knowledge Management & Knowledge Economy (1) 2007-08-14
  13. NEP-LAB: Labour Economics (1) 2009-01-31
  14. NEP-MAC: Macroeconomics (16) 2005-10-15 2006-02-19 2006-03-18 2006-04-01 2006-11-04 2008-01-05 2008-03-25 2009-01-31 2010-02-20 2012-07-14 2012-07-14 2012-07-14 2013-07-20 2013-10-02 2014-05-17 2014-08-02. Author is listed
  15. NEP-MON: Monetary Economics (1) 2005-10-15
  16. NEP-NET: Network Economics (1) 2013-10-02
  17. NEP-PBE: Public Economics (2) 2005-10-15 2006-02-19
  18. NEP-RMG: Risk Management (7) 2004-08-02 2004-08-02 2006-12-22 2008-07-14 2011-06-25 2012-07-14 2013-07-20. Author is listed
  19. NEP-UPT: Utility Models & Prospect Theory (4) 2006-11-04 2006-12-09 2012-07-14 2014-08-02
  20. NEP-URE: Urban & Real Estate Economics (7) 2003-09-08 2004-06-07 2004-08-02 2004-08-02 2004-12-12 2006-07-09 2006-12-22. Author is listed

Statistics

This author is among the top 5% authors according to these criteria:
  1. Average Rank Score
  2. Number of Distinct Works, Weighted by Simple Impact Factor
  3. Number of Distinct Works, Weighted by Recursive Impact Factor
  4. Number of Distinct Works, Weighted by Number of Authors and Simple Impact Factors
  5. Number of Distinct Works, Weighted by Number of Authors and Recursive Impact Factors
  6. Number of Citations
  7. Number of Citations, Discounted by Citation Age
  8. Number of Citations, Weighted by Simple Impact Factor
  9. Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
  10. Number of Citations, Weighted by Recursive Impact Factor
  11. Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
  12. Number of Citations, Weighted by Number of Authors and Simple Impact Factors
  13. Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
  14. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
  15. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
  16. h-index
  17. Number of Registered Citing Authors, Weighted by Rank (Max. 1 per Author)
  18. Number of Journal Pages, Weighted by Simple Impact Factor
  19. Number of Journal Pages, Weighted by Recursive Impact Factor
  20. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
  21. Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors
  22. Wu-Index

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