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Citations for "The Market Price of Aggregate Risk and the Wealth Distribution"

by Hanno Lustig & Yi-Li Chien

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  1. Arpad Abraham & Eva Carceles-Poveda, 2006. "Complete Markets, Enforcement Constraints and Intermediation," Computing in Economics and Finance 2006, Society for Computational Economics 320, Society for Computational Economics.
  2. 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.
  3. Jonathan P Thomas & Tim Worrall, 2002. "Unemployment Insurance under Moral Hazard and Limited Commitment: Public vs Private Provision," Keele Economics Research Papers, Centre for Economic Research, Keele University KERP 2002/20, Centre for Economic Research, Keele University.
  4. Christian Hellwig & Guido Lorenzoni, 2009. "Bubbles and Self-Enforcing Debt," Econometrica, Econometric Society, Econometric Society, vol. 77(4), pages 1137-1164, 07.
  5. Mele, Antonio, 2011. "Repeated moral hazard and recursive Lagrangeans," MPRA Paper 30310, University Library of Munich, Germany.
  6. Hisashi Nakamura, 2007. "A Continuous-Time Analysis of Optimal Debt Contracts: Theory and Applications," 2007 Meeting Papers, Society for Economic Dynamics 230, Society for Economic Dynamics.
  7. 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.
  8. Yili Chien & Junsang Lee, 2009. "Optimal Capital Taxation Under Limited Commitment," CAMA Working Papers 2009-06, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  9. Lagakos, David & Ordoñez, Guillermo L., 2011. "Which workers get insurance within the firm?," Journal of Monetary Economics, Elsevier, Elsevier, vol. 58(6), pages 632-645.
  10. Kocherlakota, Narayana R. & Pistaferri, Luigi, 2005. "Asset pricing implications of Pareto optimality with private information," Discussion Paper Series 1: Economic Studies 2005,29, Deutsche Bundesbank, Research Centre.
  11. Paul Willen & Felix Kubler, 2006. "Collateralized Borrowing and Life-Cycle Portfolio Choice," NBER Working Papers 12309, National Bureau of Economic Research, Inc.
  12. Martin Bodenstein, 2005. "International Asset Markets and Real Exchange Rate Volatility," 2005 Meeting Papers, Society for Economic Dynamics 352, Society for Economic Dynamics.
  13. Luboš Pástor & Robert F. Stambaugh, . "Liquidity Risk and Expected Stock Returns," CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago 531, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
  14. Professor George M Constantinides, 2005. "Market Oganization and the prices of financial Assets," Money Macro and Finance (MMF) Research Group Conference 2005, Money Macro and Finance Research Group 49, Money Macro and Finance Research Group.
  15. Stephen Morris & Hyun Song Shin, 2004. "Liquidity Black Holes," Yale School of Management Working Papers, Yale School of Management ysm425, Yale School of Management.
  16. Eva Carceles-Poveda & Arpad Abraham, 2007. "Risk Sharing under Limited Committment," 2007 Meeting Papers, Society for Economic Dynamics 818, Society for Economic Dynamics.
  17. 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.
  18. Yili Chien & Junsang Lee, 2006. "Why Tax Capital?," 2006 Meeting Papers, Society for Economic Dynamics 492, Society for Economic Dynamics.
  19. Acharya, Viral V & Pedersen, Lasse Heje, 2003. "Asset Pricing with Liquidity Risk," CEPR Discussion Papers, C.E.P.R. Discussion Papers 3749, C.E.P.R. Discussion Papers.
  20. Kilenthong, Weerachart & Townsend, Robert, 2007. "Market Based, Segregated Exchanges with Default Risk," MPRA Paper 20724, University Library of Munich, Germany, revised 12 Nov 2009.
  21. 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, Universidad Carlos III, Departamento de Economía de la Empresa wb026022, Universidad Carlos III, Departamento de Economía de la Empresa.
  22. Lars Peter Hansen, 2008. "Modeling the Long Run: Valuation in Dynamic Stochastic Economies," NBER Working Papers 14243, National Bureau of Economic Research, Inc.
  23. Drew Saunders, 2007. "Sharing Risk Efficiently under Suboptimal Punishments for Defection," Purdue University Economics Working Papers 1203, Purdue University, Department of Economics.
  24. Dan Cao, 2011. "Collateral Shortages, Asset Price and Investment Volatility with Heterogeneous Beliefs," Working Papers, Georgetown University, Department of Economics gueconwpa~11-11-01, Georgetown University, Department of Economics.
  25. Felix Kubler & Piero Gottardi, 2012. "Dynamic Competitive Economies with Complete Markets and Collateral Constraints," 2012 Meeting Papers, Society for Economic Dynamics 467, Society for Economic Dynamics.
  26. 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, Econometric Society 15, Econometric Society.
  27. Michael Magill & Martine Quinzii, 2014. "Prices and Investment with Collateral and Default," Working Papers, University of California, Davis, Department of Economics 143, University of California, Davis, Department of Economics.
  28. Weerachart Kilenthong, 2011. "Collateral premia and risk sharing under limited commitment," Economic Theory, Springer, Springer, vol. 46(3), pages 475-501, April.
  29. Gaetano Bloise & Pietro Reichlin, 2008. "Asset Prices, Debt Constraints and Inefficiency," EIEF Working Papers Series 0803, Einaudi Institute for Economics and Finance (EIEF), revised Mar 2008.
  30. 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.
  31. Liu, Weimin, 2006. "A liquidity-augmented capital asset pricing model," Journal of Financial Economics, Elsevier, Elsevier, vol. 82(3), pages 631-671, December.
  32. Emil Iantchev, 2013. "Asset-Pricing Implications of Biologically Based Non-Expected Utility," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 16(3), pages 497-510, July.
  33. Felix Kubler & Johannes Brumm, 2013. "Applying Negishi's method to stochastic models with overlapping generations," 2013 Meeting Papers, Society for Economic Dynamics 1352, Society for Economic Dynamics.
  34. Thomas Mertens, 2012. "Solving General Incomplete Market Models with Substantial Heterogeneity," 2012 Meeting Papers, Society for Economic Dynamics 1173, Society for Economic Dynamics.
  35. Adrien Verdelhan & Nicola Borri, 2010. "Sovereign Risk Premia," 2010 Meeting Papers, Society for Economic Dynamics 1122, Society for Economic Dynamics.
  36. 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.
  37. Narayana R. Kocherlakota, 2006. "Injecting Rational Bubbles," Levine's Bibliography 122247000000000905, UCLA Department of Economics.
  38. 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.
  39. 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.
  40. Weerachart Kilenthong & Robert Townsend, 2014. "Segregated Security Exchanges with Ex Ante Rights to Trade: A Market-Based Solution to Collateral-Constrained Externalities," NBER Working Papers 20086, National Bureau of Economic Research, Inc.
  41. Lars Peter Hansen, 2012. "Risk Pricing over Alternative Investment Horizons," Working Papers, Becker Friedman Institute for Research In Economics 2012-008, Becker Friedman Institute for Research In Economics.
  42. Joseph Gruber & Robert Martin, 2003. "Precautionary savings and the wealth distribution with illiquid durables," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 773, Board of Governors of the Federal Reserve System (U.S.).
  43. Juan Pablo Medina, 2004. "The Default Rate and Price of Capital in a Costly External Finance Model," Working Papers Central Bank of Chile, Central Bank of Chile 297, Central Bank of Chile.
  44. Jose Lopez, 2012. "Labor Supply, Aggregation and the Labor Wedge," 2012 Meeting Papers, Society for Economic Dynamics 737, Society for Economic Dynamics.
  45. Christian Hellwig, 2003. "Bubbles and Self-enforcing Debt (October 2006, with Guido Lorenzoni)," UCLA Economics Online Papers, UCLA Department of Economics 229, UCLA Department of Economics.
  46. Chien, YiLi & Cole, Harold L. & Lustig, Hanno, 2014. "Implications of heterogeneity in preferences, beliefs and asset trading technologies for the macroeconomy," Working Papers, Federal Reserve Bank of St. Louis 2014-14, Federal Reserve Bank of St. Louis.
  47. Juan Pablo Medina, 2004. "Endogenous Financial Constraints: Persistence and Interest Rate Fluctuations," Working Papers Central Bank of Chile, Central Bank of Chile 290, Central Bank of Chile.
  48. 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.
  49. Casey B. Mulligan, 2004. "Robust Aggregate Implications of Stochastic Discount Factor Volatility," NBER Working Papers 10210, National Bureau of Economic Research, Inc.
  50. Martinez, Miguel A. & Nieto, Belen & Rubio, Gonzalo & Tapia, Mikel, 2005. "Asset pricing and systematic liquidity risk: An empirical investigation of the Spanish stock market," International Review of Economics & Finance, Elsevier, Elsevier, vol. 14(1), pages 81-103.