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Citations for "Housing Collateral, Consumption Insurance, and Risk Premia: An Empirical Perspective"

by Hanno N. Lustig & Stijn G. Van Nieuwerburgh

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  1. 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.
  2. Meta Brown & Sarah Stein & Basit Zafar, 2013. "The impact of housing markets on consumer debt: credit report evidence from 1999 to 2012," Staff Reports 617, Federal Reserve Bank of New York.
  3. Du, Ding, 2014. "Persistent exchange-rate movements and stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 28(C), pages 36-53.
  4. Laura Veldkamp & Chris Edmond, 2006. "Income Dispersion, Asymmetric Information and Fluctuations in Market Efficiency," Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics 06-13, New York University, Leonard N. Stern School of Business, Department of Economics.
  5. Grammig, Joachim & Schrimpf, Andreas, 2009. "Asset ppricing with a reference level of consumption: New evidence from the cross-section of stock returns," CFR Working Papers 07-05, University of Cologne, Centre for Financial Research (CFR).
  6. Jank, Stephan, 2012. "Changes in the composition of publicly traded firms: Implications for the dividend-price ratio and return predictability," CFR Working Papers 12-08, University of Cologne, Centre for Financial Research (CFR).
  7. Bekaert, Geert & Engstrom, Eric & Grenadier, Steve, 2004. "Stock and Bond Returns with Moody Investors," CEPR Discussion Papers 4501, C.E.P.R. Discussion Papers.
  8. 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.
  9. Lu Zhang, 2005. "Anomalies," NBER Working Papers 11322, National Bureau of Economic Research, Inc.
  10. Li, Minqiang, 2010. "Asset Pricing - A Brief Review," MPRA Paper 22379, University Library of Munich, Germany.
  11. Klaus Adam & Pei Kuang & Albert Marcet, 2011. "House Price Booms and the Current Account," NBER Chapters, in: NBER Macroeconomics Annual 2011, Volume 26, pages 77-122 National Bureau of Economic Research, Inc.
  12. Harald Uhlig & Stefan Ried, 2009. "The Macroeconomics of Real Estate," 2009 Meeting Papers, Society for Economic Dynamics 429, Society for Economic Dynamics.
  13. Jonathan Lewellen & Stefan Nagel, 2003. "The Conditional CAPM does not Explain Asset-Pricing Anamolies," NBER Working Papers 9974, National Bureau of Economic Research, Inc.
  14. Geoffroy Enjolras & Patrick Sentis, 2008. "The main determinants of insurance purchase. An empirical study on crop insurance policies in France," Working Papers, LAMETA, Universtiy of Montpellier 08-06, LAMETA, Universtiy of Montpellier, revised Apr 2008.
  15. Guglielmo Maria Caporale & Ricardo M. Sousa, 2011. "Are Stock and Housing Returns Complements or Substitutes? Evidence from OECD Countries," CESifo Working Paper Series 3621, CESifo Group Munich.
  16. Jack Favilukis & Sydney C. Ludvigson & Stijn Van Nieuwerburgh, 2014. "Foreign Ownership of U.S. Safe Assets: Good or Bad?," NBER Working Papers 19917, National Bureau of Economic Research, Inc.
  17. Norman Miller & Liang Peng & Michael Sklarz, 2011. "House Prices and Economic Growth," The Journal of Real Estate Finance and Economics, Springer, vol. 42(4), pages 522-541, May.
  18. Chang, Kuang-Liang & Chen, Nan-Kuang & Leung, Charles Ka Yui, 2012. "The dynamics of housing returns in Singapore: How important are the international transmission mechanisms?," Regional Science and Urban Economics, Elsevier, vol. 42(3), pages 516-530.
  19. Jin, Yi & Leung, Charles Ka Yui & Zeng, Zhixiong, 2010. "Real Estate, the External Finance Premium and Business Investment: A Quantitative Dynamic General Equilibrium Analysis," MPRA Paper 26722, University Library of Munich, Germany.
  20. Da, Zhi & Guo, Re-Jin & Jagannathan, Ravi, 2012. "CAPM for estimating the cost of equity capital: Interpreting the empirical evidence," Journal of Financial Economics, Elsevier, Elsevier, vol. 103(1), pages 204-220.
  21. Karl Case & John Cotter & Stuart Gabriel, 2011. "Housing risk and return: Evidence from a housing asset-pricing model," Papers 1103.5971, arXiv.org.
  22. John Geanakoplos & William R. Zame, 2013. "Collateral Equilibrium: A Basic Framework," Levine's Working Paper Archive 786969000000000741, David K. Levine.
  23. Edmond, Chris & Veldkamp, Laura, 2009. "Income dispersion and counter-cyclical markups," Journal of Monetary Economics, Elsevier, Elsevier, vol. 56(6), pages 791-804, September.
  24. 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.
  25. Chris Edmond & Pierre-Olivier Weill, 2011. "Aggregate Implications of Micro Asset Market Segmentation," Department of Economics - Working Papers Series, The University of Melbourne 1117, The University of Melbourne.
  26. Márquez, Elena & Nieto, Belén & Rubio, Gonzalo, 2014. "Stock returns with consumption and illiquidity risks," International Review of Economics & Finance, Elsevier, vol. 29(C), pages 57-74.
  27. 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.
  28. Giorgio Canarella & Stephen M. Miller & Stephen K. Pollard, 2010. "Unit Roots and Structural Change: An Application to US House-Price Indices," Working Papers, University of Nevada, Las Vegas , Department of Economics 1004, University of Nevada, Las Vegas , Department of Economics.
  29. Jaime Casassus & Freddy Higuera, 2011. "Stock Return Predictability and Oil Prices," Documentos de Trabajo, Instituto de Economia. Pontificia Universidad Católica de Chile. 406, Instituto de Economia. Pontificia Universidad Católica de Chile..
  30. Martin Lettau & Stijn Van Nieuwerburgh, 2006. "Reconciling the Return Predictability Evidence," NBER Working Papers 12109, National Bureau of Economic Research, Inc.
  31. Ricardo M. Sousa, 2010. "Collateralizable Wealth, Asset Returns, and Systemic Risk: International Evidence," NIPE Working Papers, NIPE - Universidade do Minho 15/2010, NIPE - Universidade do Minho.
  32. Orazio P. Attanasio & Guglielmo Weber, 2010. "Consumption and Saving: Models of Intertemporal Allocation and Their Implications for Public Policy," NBER Working Papers 15756, National Bureau of Economic Research, Inc.
  33. Nobuhiro Kiyotaki & Alexander Michaelides & Kalin Nikolov, 2011. "Winners and Losers in Housing Markets," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 43, pages 255-296, 03.
  34. Alex Chinco & Christopher Mayer, 2014. "Misinformed Speculators and Mispricing in the Housing Market," NBER Working Papers 19817, National Bureau of Economic Research, Inc.
  35. Morris A. Davis & Stijn Van Nieuwerburgh, 2014. "Housing, Finance and the Macroeconomy," NBER Working Papers 20287, National Bureau of Economic Research, Inc.
  36. Mathias Hoffmann & Iryna Shcherbakova, 2008. "Consumption risk sharing over the business cycle: the role of small firms' access to credit markets," IEW - Working Papers 363, Institute for Empirical Research in Economics - University of Zurich.
  37. Aron, Janine & Muellbauer, John & Murphy, Anthony, 2006. "Housing wealth, credit conditions and consumption," MPRA Paper 24485, University Library of Munich, Germany.
  38. Christian Dreger & Hans-Eggert Reimers, 2012. "The long run relationship between private consumption and wealth: common and idiosyncratic effects," Portuguese Economic Journal, Springer, vol. 11(1), pages 21-34, April.
  39. Atif R. Mian & Amir Sufi, 2009. "House Prices, Home Equity-Based Borrowing, and the U.S. Household Leverage Crisis," NBER Working Papers 15283, National Bureau of Economic Research, Inc.
  40. Bryan Kelly & Hao Jiang, 2013. "Tail Risk and Asset Prices," NBER Working Papers 19375, National Bureau of Economic Research, Inc.
  41. Mayer, Chris & Piskorski, Tomasz & Tchistyi, Alexei, 2013. "The inefficiency of refinancing: Why prepayment penalties are good for risky borrowers," Journal of Financial Economics, Elsevier, Elsevier, vol. 107(3), pages 694-714.
  42. Matteo Iacoviello & Stefano Neri, 2008. "Housing market spillovers: Evidence from an estimated DSGE model," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area 659, Bank of Italy, Economic Research and International Relations Area.
  43. Nobuhiro Kiyotaki & Alexander Michaelides & Kalin Nikolov, 2010. "Winners and Losers in House Markets," Working Papers, Central Bank of Cyprus 2010-5, Central Bank of Cyprus.
  44. Nitschka, Thomas, 2013. "The impact of (global) business cycle risk on the German and British stock markets: Evidence from the first age of globalization," Review of Financial Economics, Elsevier, Elsevier, vol. 22(3), pages 118-124.
  45. Cooper, Michael J. & Gubellini, Stefano, 2011. "The critical role of conditioning information in determining if value is really riskier than growth," Journal of Empirical Finance, Elsevier, Elsevier, vol. 18(2), pages 289-305, March.
  46. João Sousa & Ricardo M. Sousa, 2011. "Asset Returns Under Model Uncertainty: Eveidence from the euro area, the U.K and the U.S," NIPE Working Papers, NIPE - Universidade do Minho 21/2011, NIPE - Universidade do Minho.
  47. Rengel, Malte & Herwartz, Helmut & Xu, Fang, 2013. "Persistence in the price-to-dividend ratio and its macroeconomic fundamentals," Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79860, Verein für Socialpolitik / German Economic Association.
  48. Tobias Adrian & Francesco Franzoni, 2008. "Learning about beta: time-varying factor loadings, expected returns, and the conditional CAPM," Staff Reports 193, Federal Reserve Bank of New York.
  49. Sousa, João & Sousa, Ricardo M., 2013. "Asset returns under model uncertainty: evidence from the euro area, the U.S. and the U.K," Working Paper Series 1575, European Central Bank.
  50. Martin Lettau & Jessica A. Wachter, 2009. "The Term Structures of Equity and Interest Rates," NBER Working Papers 14698, National Bureau of Economic Research, Inc.
  51. Goswami, Gautam & Tan, Sinan, 2012. "Pricing the US residential asset through the rent flow: A cross-sectional study," Journal of Banking & Finance, Elsevier, vol. 36(10), pages 2742-2756.
  52. Ricardo M. Sousa, 2005. "Consumption, (Dis) Aggregate Wealth and Asset Returns," NIPE Working Papers, NIPE - Universidade do Minho 9/2005, NIPE - Universidade do Minho.
  53. Baltussen, Guido & Post, Gerrit T. & Van Vliet, Pim, 2012. "Downside risk aversion, fixed-income exposure, and the value premium puzzle," Journal of Banking & Finance, Elsevier, vol. 36(12), pages 3382-3398.
  54. Xun Lu & Liangjun Su, 2014. "Jackknife Model Averaging for Quantile Regressions," Working Papers 11-2014, Singapore Management University, School of Economics.
  55. Philippe Bracke & Christian Hilber & Olmo Silva, 2012. "Homeownerhip and Entrepreneurship," SERC Discussion Papers 0103, Spatial Economics Research Centre, LSE.
  56. Yilmaz, Ensar & Ünveren, Burak, 2011. "Income distribution and exchange in a dynamic search model," International Review of Economics & Finance, Elsevier, vol. 20(4), pages 665-678, October.
  57. 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.
  58. François Gourio, 2005. "Operating Leverage,Stock Market Cyclicality,and the Cross-Section of Returns," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics WP2005-002, Boston University - Department of Economics.
  59. Ralph S.J. Koijen & Stijn Van Nieuwerburgh, 2011. "Predictability of Returns and Cash Flows," Annual Review of Financial Economics, Annual Reviews, vol. 3(1), pages 467-491, December.
  60. Wang, Zigan & Zhu, Youwei, 2011. "A dynamic model of house price," MPRA Paper 34395, University Library of Munich, Germany, revised 29 Oct 2011.
  61. YIlmaz, Ensar, 2011. "Income distribution, efficiency and rationing," Economic Modelling, Elsevier, vol. 28(3), pages 1247-1255, May.
  62. Ren, Yu & Yuan, Yufei & Zhang, Yang, 2014. "Human capital, household capital and asset returns," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 11-22.
  63. Guglielmo Maria Caporale & Ricardo M. Sousa, 2011. "Consumption, Wealth, Stock and Housing Returns: Evidence from Emerging Markets," NIPE Working Papers, NIPE - Universidade do Minho 32/2011, NIPE - Universidade do Minho.
  64. Motohiro Yogo, 2006. "A Consumption-Based Explanation of Expected Stock Returns," Journal of Finance, American Finance Association, American Finance Association, vol. 61(2), pages 539-580, 04.
  65. 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.
  66. 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.
  67. Hintermaier, Thomas & Koeniger, Winfried, 2010. "The method of endogenous gridpoints with occasionally binding constraints among endogenous variables," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 34(10), pages 2074-2088, October.
  68. Tolga Cenesizoglu, 2010. "Size, Book-to-Market Ratio and Macroeconomic News," Cahiers de recherche 1033, CIRPEE.
  69. John Donaldson & Rajnish Mehra, 2007. "Risk Based Explanations of the Equity Premium," NBER Working Papers 13220, National Bureau of Economic Research, Inc.
  70. Gene Amromin & Jennifer Huang & Clemens Sialm & Edward Zhong, 2010. "Complex mortgages," Working Paper Series, Federal Reserve Bank of Chicago WP-2010-17, Federal Reserve Bank of Chicago.
  71. 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.
  72. Jesper Rangvid & Maik Schmeling & Andreas Schrimpf, 2009. "Global Asset Pricing: Is There a Role for Long-run Consumption Risk?," CREATES Research Papers 2009-57, School of Economics and Management, University of Aarhus.
  73. Geert Bekaert & Eric Engstrom & Yuhang Xing, 2006. "Risk, Uncertainty and Asset Prices," NBER Working Papers 12248, National Bureau of Economic Research, Inc.
  74. John Cochrane, 2005. "Financial Markets and the Real Economy," NBER Working Papers 11193, National Bureau of Economic Research, Inc.
  75. David Backus & Mikhail Chernov & Ian Martin, 2011. "Disasters Implied by Equity Index Options," Journal of Finance, American Finance Association, American Finance Association, vol. 66(6), pages 1969-2012, December.
  76. Nikolai Roussanov, 2010. "Composition of Wealth, Conditioning Information, and the Cross-Section of Stock Returns," NBER Working Papers 16073, National Bureau of Economic Research, Inc.
  77. 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.
  78. Ricardo M. Sousa, 2007. "Wealth Shocks and Risk Aversion," NIPE Working Papers, NIPE - Universidade do Minho 28/2007, NIPE - Universidade do Minho.
  79. Kang, Jangkoo & Kim, Tong Suk & Lee, Changjun & Min, Byoung-Kyu, 2011. "Macroeconomic risk and the cross-section of stock returns," Journal of Banking & Finance, Elsevier, vol. 35(12), pages 3158-3173.
  80. Cenesizoglu, Tolga, 2011. "Size, book-to-market ratio and macroeconomic news," Journal of Empirical Finance, Elsevier, Elsevier, vol. 18(2), pages 248-270, March.
  81. Aono, Kohei & Iwaisako, Tokuo, 2008. "The Consumption-Wealth Ratio, Real Estate Wealth, and the Japanese Stock Market," Discussion Paper Series, Institute of Economic Research, Hitotsubashi University a504, Institute of Economic Research, Hitotsubashi University.
  82. 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.
  83. Giglio, Stefano & Maggiori, Matteo & Stroebel, Johannes, 2014. "Very long-run discount rates," Globalization and Monetary Policy Institute Working Paper 182, Federal Reserve Bank of Dallas.
  84. Yan Li & Liangjun Su & Yuewu Xu, 2014. "A Combined Approach to the Inference of Conditional Factor Models," Working Papers 10-2014, Singapore Management University, School of Economics.
  85. repec:luk:wpaper:8600 is not listed on IDEAS
  86. Ricardo Sousa, 2011. "Building proxies that capture time-variation in expected returns using a VAR approach," Applied Financial Economics, Taylor & Francis Journals, vol. 21(3), pages 147-163.
  87. Nikolai Roussanov & Michael Michaux & Hui Chen, 2011. "Houses as ATMs? Mortgage Refinancing and Macroeconomic Uncertainty," 2011 Meeting Papers 1369, Society for Economic Dynamics.
  88. Hyde, Stuart & Sherif, Mohamed, 2010. "Consumption asset pricing and the term structure," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 50(1), pages 99-109, February.
  89. Morris A. Davis & Robert F. Martin, 2008. "Housing, home production, and the equity and value premium puzzles," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 931, Board of Governors of the Federal Reserve System (U.S.).
  90. Aono, Kohei & Iwaisako, Tokuo, 2013. "The consumption–wealth ratio, real estate wealth, and the Japanese stock market," Japan and the World Economy, Elsevier, Elsevier, vol. 25, pages 39-51.
  91. Morris A. Davis & Robert F. Martin, 2005. "Housing, house prices, and the equity premium puzzle," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2005-13, Board of Governors of the Federal Reserve System (U.S.).
  92. Raphael Bostic & Stuart Gabriel & Gary Painter, 2008. "Housing Wealth, Financial Wealth, and Consumption: New Evidence from Micro Data - Revised," Working Paper 8525, USC Lusk Center for Real Estate.
  93. Di Falco, Salvatore & Capitanio, Fabian & Adinolfi, Felice, 2011. "Natural Vs Financial Insurance in the Management of Weather Risk Exposure in the Italian Agriculture," 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland, European Association of Agricultural Economists 114325, European Association of Agricultural Economists.
  94. Saffi, Pedro, 2008. "Expected returns and liquidity risk: Does entrepreneurial income matter?," IESE Research Papers D/749, IESE Business School.
  95. Jonathan A. Parker & Christian Julliard, 2005. "Consumption Risk and the Cross Section of Expected Returns," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 113(1), pages 185-222, February.
  96. Stijn Van Nieuwerburgh, 2012. "The Research Agenda: Stijn Van Nieuwerburgh on Housing and the Macroeconomy," EconomicDynamics Newsletter, Review of Economic Dynamics, Review of Economic Dynamics, vol. 13(2), April.
  97. Ricardo M. Sousa, 2007. "Expectations, Shocks, and Asset Returns," NIPE Working Papers, NIPE - Universidade do Minho 29/2007, NIPE - Universidade do Minho.
  98. Chen, Nan-Kuang & Chen, Shiu-Sheng & Chou, Yu-Hsi, 2013. "Further evidence on bear market predictability: The role of the external finance premium," MPRA Paper 49093, University Library of Munich, Germany.
  99. J. Benjamin & P. Chinloy, 2008. "Home Equity, Household Savings and Consumption," The Journal of Real Estate Finance and Economics, Springer, vol. 37(1), pages 21-32, July.
  100. Hwang, Young-Soon & Min, Hong-Ghi & McDonald, Judith A. & Kim, Hwagyun & Kim, Bong-Han, 2010. "Using the credit spread as an option-risk factor: Size and value effects in CAPM," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 2995-3009, December.
  101. Alessandro Spelta & Guido Ascari & Nicolò Pecora, 2012. "Boom and Burst in Housing Market with Heterogeneous Agents," Quaderni di Dipartimento 177, University of Pavia, Department of Economics and Quantitative Methods.
  102. H. Youn Kim & Keith R. McLaren & K.K. Gary Wong, 2014. "Consumer Demand, Consumption, and Asset Pricing: An Integrated Analysis," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics 4/14, Monash University, Department of Econometrics and Business Statistics.
  103. Smoluk, H.J. & Bennett, James, 2008. "Evaluating stock returns with time-varying risk aversion driven by trend deviations from the consumption-to-wealth ratio: An analysis conditional on income levels," Review of Financial Economics, Elsevier, Elsevier, vol. 17(4), pages 261-279, December.
  104. Branger, Nicole & Larsen, Linda Sandris & Munk, Claus, 2013. "Robust portfolio choice with ambiguity and learning about return predictability," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1397-1411.