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Can Housing Collateral Explain Long-Run Swings in Asset Returns? (joint with Stijn Van Nieuwerburgh)

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  • Hanno Lustig

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File URL: http://www.econ.ucla.edu/people/papers/Lustig/Lustig322.pdf
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Bibliographic Info

Paper provided by UCLA Department of Economics in its series UCLA Economics Online Papers with number 322.

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Date of creation: 10 Oct 2004
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Handle: RePEc:cla:uclaol:322

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Web page: http://www.econ.ucla.edu/

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  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, American Finance Association, vol. 60(3), pages 1167-1219, 06.
  2. Fama, Eugene F & French, Kenneth R, 1992. " The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, American Finance Association, vol. 47(2), pages 427-65, June.
  3. David K. Backus & Stanley E. Zin, 1994. "Reverse Engineering the Yield Curve," Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics 94-09, New York University, Leonard N. Stern School of Business, Department of Economics.
  4. Felix Kubler & Karl Schmedders, 2001. "Stationary Equilibria in Asset-Pricing Models with Incomplete Markets and Collateral," Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science 1319, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  5. Monika Piazzesi & Martin Schneider & Selale Tuzel, 2004. "Housing, Consumption and Asset Pricing," 2004 Meeting Papers, Society for Economic Dynamics 357c, Society for Economic Dynamics.
  6. Richard Blundell & Luigi Pistaferri & Ian Preston, 2002. "Partial insurance, information and consumption dynamics," IFS Working Papers, Institute for Fiscal Studies W02/16, Institute for Fiscal Studies.
  7. Fernando Alvarez & Urban J. Jermann, 2000. "Efficiency, Equilibrium, and Asset Pricing with Risk of Default," Econometrica, Econometric Society, Econometric Society, vol. 68(4), pages 775-798, July.
  8. David M Kreps & Evan L Porteus, 1978. "Temporal Resolution of Uncertainty and Dynamic Choice Theory," Levine's Working Paper Archive 625018000000000009, David K. Levine.
  9. Kjetil Storesletten & Chris I. Telmer & Amir Yaron, 2004. "Cyclical Dynamics in Idiosyncratic Labor Market Risk," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 112(3), pages 695-717, June.
  10. Narayana Kocherlakota, 2010. "Implications of Efficient Risk Sharing Without Commitment," Levine's Working Paper Archive 2053, David K. Levine.
  11. N. Gregory Mankiw, 1986. "The Equity Premium and the Concentration of Aggregate Shocks," NBER Working Papers 1788, National Bureau of Economic Research, Inc.
  12. Fernando Alvarez & Urban J. Jermann, 1999. "Quantitative asset pricing implications of endogenous solvency constraints," Working Papers 99-5, Federal Reserve Bank of Philadelphia.
  13. 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.
  14. Marcet, A. & Marimon, R., 1998. "Recursive Contracts," Economics Working Papers, European University Institute eco98/37, European University Institute.
  15. Campbell, John Y. & Cocco, Joao F., 2007. "How do house prices affect consumption? Evidence from micro data," Journal of Monetary Economics, Elsevier, Elsevier, vol. 54(3), pages 591-621, April.
  16. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
  17. 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, vol. 13(2), pages 265-294, April.
  18. Owen Lamont, . "Earnings and Expected Returns," CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago 345, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
  19. Mehra, Rajnish & Prescott, Edward C., 1985. "The equity premium: A puzzle," Journal of Monetary Economics, Elsevier, Elsevier, vol. 15(2), pages 145-161, March.
  20. Fernando Alvarez & Urban J. Jermann, 2001. "The Size of the Permanent Component of Asset Pricing Kernels," NBER Working Papers 8360, National Bureau of Economic Research, Inc.
  21. Krüger, Dirk & Perri, Fabrizio, 2002. "Does Income Inequality Lead to Consumption Inequality?," CEPR Discussion Papers, C.E.P.R. Discussion Papers 3583, C.E.P.R. Discussion Papers.
  22. Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, Econometric Society, vol. 46(6), pages 1429-45, November.
  23. Patrick J. Kehoe & Fabrizio Perri, 2000. "International Business Cycles with Endogenous Incomplete Markets," NBER Working Papers 7870, National Bureau of Economic Research, Inc.
  24. Epstein, Larry G & Zin, Stanley E, 1989. "Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework," Econometrica, Econometric Society, Econometric Society, vol. 57(4), pages 937-69, July.
  25. Martin S. Eichenbaum & Lars Peter Hansen, 1987. "Estimating Models with Intertemporal Substitution Using Aggregate Time Series Data," NBER Working Papers 2181, National Bureau of Economic Research, Inc.
  26. John Heaton & Deborah Lucas, 1993. "Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing," NBER Working Papers 4249, National Bureau of Economic Research, Inc.
  27. Timothy J Kehoe & David K Levine, 1993. "Debt Constrained Asset Markets," Levine's Working Paper Archive 1276, David K. Levine.
  28. Lars Ljungqvist & Thomas J. Sargent, 2004. "Recursive Macroeconomic Theory, 2nd Edition," MIT Press Books, The MIT Press, The MIT Press, edition 2, volume 1, number 026212274x, December.
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