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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. GOTTARDI, Piero & KUBLER, Felix, 2012. "Dynamic Competitive Economies with Complete Markets and Collateral Constraints," Economics Working Papers ECO2012/17, European University Institute.
  2. 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.
  3. Junsang Lee & Yili Chien, 2008. "Why Tax Capital?," ANU Working Papers in Economics and Econometrics 2008-497, Australian National University, College of Business and Economics, School of Economics.
  4. Thomas Mertens, 2012. "Solving General Incomplete Market Models with Substantial Heterogeneity," 2012 Meeting Papers 1173, Society for Economic Dynamics.
  5. Antonio Mele, 2008. "Repeated Moral Hazard and Recursive Lagrangeans," 2008 Meeting Papers 482, Society for Economic Dynamics.
  6. Acharya, Viral V & Pedersen, Lasse Heje, 2004. "Asset Pricing with Liquidity Risk," CEPR Discussion Papers 4718, C.E.P.R. Discussion Papers.
  7. Lars Peter Hansen, 2008. "Modeling the Long Run: Valuation in Dynamic Stochastic Economies," NBER Working Papers 14243, National Bureau of Economic Research, Inc.
  8. 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.
  9. Christian Hellwig & Guido Lorenzoni, 2006. "Bubbles and Self-Enforcing Debt," NBER Working Papers 12614, National Bureau of Economic Research, Inc.
  10. Weerachart Kilenthong, 2011. "Collateral premia and risk sharing under limited commitment," Economic Theory, Springer, vol. 46(3), pages 475-501, April.
  11. Kocherlakota, Narayana, 2008. "Injecting rational bubbles," Journal of Economic Theory, Elsevier, vol. 142(1), pages 218-232, September.
  12. Pierre-Olivier Weill & Chris Edmond, 2008. "Aggregate implications of micro asset market segmentation," 2008 Meeting Papers 481, Society for Economic Dynamics.
  13. Jonathan P Thomas & Tim Worrall, 2002. "Unemployment Insurance under Moral Hazard and Limited Commitment: Public vs Private Provision," Public Economics 0211002, EconWPA.
  14. 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.
  15. Krueger, Dirk & Lustig, Hanno & Perri, Fabrizio, 2006. "Evaluation asset pricing models with limited commitment using household consumption data," CFS Working Paper Series 2006/22, Center for Financial Studies (CFS).
  16. George M. Constantinides, 2006. "Market Organization And The Prices Of Financial Assets," Manchester School, University of Manchester, vol. 74(s1), pages 1-23, 09.
  17. Liu, Weimin, 2006. "A liquidity-augmented capital asset pricing model," Journal of Financial Economics, Elsevier, vol. 82(3), pages 631-671, December.
  18. Saunders Drew, 2010. "Sharing Risk Efficiently under Suboptimal Punishments for Defection," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 10(1), pages 1-24, April.
  19. 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.).
  20. Paul Willen & Felix Kubler, 2006. "Collateralized borrowing and life-cycle portfolio choice," Public Policy Discussion Paper 06-4, Federal Reserve Bank of Boston.
  21. Jose Lopez, 2012. "Labor Supply, Aggregation and the Labor Wedge," 2012 Meeting Papers 737, Society for Economic Dynamics.
  22. Orazio P. Attanasio & Guglielmo Weber, 2010. "Consumption and Saving: Models of Intertemporal Allocation and Their Implications for Public Policy," Journal of Economic Literature, American Economic Association, vol. 48(3), pages 693-751, September.
  23. Pástor, Luboš & Stambaugh, Robert F, 2002. "Liquidity Risk and Expected Stock Returns," CEPR Discussion Papers 3494, C.E.P.R. Discussion Papers.
  24. Arpad Abraham & Eva Carceles-Poveda, 2006. "Complete Markets, Enforcement Constraints and Intermediation," Computing in Economics and Finance 2006 320, Society for Computational Economics.
  25. Stephen Morris & Hyun Song Shin, 2004. "Liquidity Black Holes," Yale School of Management Working Papers ysm425, Yale School of Management.
  26. 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.
  27. Hisashi Nakamura, 2007. "A Continuous-Time Analysis of Optimal Debt Contracts: Theory and Applications," 2007 Meeting Papers 230, Society for Economic Dynamics.
  28. Adrien Verdelhan & Nicola Borri, 2010. "Sovereign Risk Premia," 2010 Meeting Papers 1122, Society for Economic Dynamics.
  29. 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.
  30. 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, vol. 14(1), pages 81-103.
  31. YiLi Chien & JunSang Lee, 2006. "Optimal Capital Taxation under Limited Commitment," 2006 Meeting Papers 430, Society for Economic Dynamics.
  32. 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.
  33. Michael Magill & Martine Quinzii, 2014. "Prices and Investment with Collateral and Default," Working Papers 143, University of California, Davis, Department of Economics.
  34. 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.
  35. Rubio Irigoyen, Gonzalo & Martínez Sedano, Miguel Angel & Nieto, Belén, 2003. "Asset pricing and systematic liquidity risk: an empirical investigation of the Spanish stock market," DFAEII Working Papers 2002-05, University of the Basque Country - Department of Foundations of Economic Analysis II.
  36. Nobuhiro Kiyotaki & Alexander Michaelides & Kalin Nikolov, 2010. "Winners and Losers in House Markets," Working Papers 2010-5, Central Bank of Cyprus.
  37. Felix Kubler & Johannes Brumm, 2013. "Applying Negishi's method to stochastic models with overlapping generations," 2013 Meeting Papers 1352, Society for Economic Dynamics.
  38. 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.).
  39. Eva Carceles-Poveda & Arpad Abraham, 2007. "Risk Sharing under Limited Committment," 2007 Meeting Papers 818, Society for Economic Dynamics.
  40. Lagakos, David & Ordoñez, Guillermo L., 2011. "Which workers get insurance within the firm?," Journal of Monetary Economics, Elsevier, vol. 58(6), pages 632-645.
  41. Lars Peter Hansen, 2012. "Risk Pricing over Alternative Investment Horizons," Working Papers 2012-008, Becker Friedman Institute for Research In Economics.
  42. Stijn Van Nieuwerburgh, 2012. "The Research Agenda: Stijn Van Nieuwerburgh on Housing and the Macroeconomy," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 13(2), April.
  43. 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.
  44. Casey B. Mulligan, 2004. "Robust Aggregate Implications of Stochastic Discount Factor Volatility," NBER Working Papers 10210, National Bureau of Economic Research, Inc.
  45. Christian Hellwig, 2003. "Bubbles and Self-enforcing Debt (October 2006, with Guido Lorenzoni)," UCLA Economics Online Papers 229, UCLA Department of Economics.
  46. Dan Cao, 2011. "Collateral Shortages, Asset Price and Investment Volatility with Heterogeneous Beliefs," Working Papers gueconwpa~11-11-01, Georgetown University, Department of Economics.
  47. Juan Pablo Medina, 2004. "Endogenous Financial Constraints: Persistence and Interest Rate Fluctuations," Working Papers Central Bank of Chile 290, Central Bank of Chile.
  48. Nobuhiro Kiyotaki & Alexander Michaelides & Kalin Nikolov, 2011. "Winners and Losers in Housing Markets," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 43, pages 255-296, 03.
  49. Kilenthong, Weerachart & Townsend, Robert, 2007. "Market Based, Segregated Exchanges with Default Risk," MPRA Paper 20724, University Library of Munich, Germany, revised 12 Nov 2009.