Hanno Lustig
Personal Details
First Name: | Hanno |
Middle Name: | |
Last Name: | Lustig |
Suffix: | |
RePEc Short-ID: | plu17 |
[This author has chosen not to make the email address public] | |
https://sites.google.com/site/lustighanno/ | |
Stanford Graduate School of Business 355 Knight Way Stanford, Ca 94305 | |
Terminal Degree: | 2002 Department of Economics; Stanford University (from RePEc Genealogy) |
Affiliation
(in no particular order)
Finance Group
Anderson Graduate School of Management
University of California-Los Angeles (UCLA)
Los Angeles, California (United States)http://www.anderson.ucla.edu/faculty/finance
RePEc:edi:fguclus (more details at EDIRC)
National Bureau of Economic Research (NBER)
Cambridge, Massachusetts (United States)http://www.nber.org/
RePEc:edi:nberrus (more details at EDIRC)
Research output
Jump to: Working papers Articles Software ChaptersWorking papers
- Zhengyang Jiang & Arvind Krishnamurthy & Hanno Lustig & Jialu Sun, 2024. "Convenience Yields and Exchange Rate Puzzles," NBER Working Papers 32092, National Bureau of Economic Research, Inc.
- Yi-Li Chien & Harold L. Cole & Hanno Lustig, 2023.
"What about Japan?,"
NBER Working Papers
31850, National Bureau of Economic Research, Inc.
- YiLi Chien & Harold L. Cole & Hanno Lustig, 2023. "What about Japan?," Working Papers 2023-028, Federal Reserve Bank of St. Louis, revised 12 Jul 2024.
- Zhengyang Jiang & Arvind Krishnamurthy & Hanno Lustig, 2023. "Implications of Asset Market Data for Equilibrium Models of Exchange Rates," NBER Working Papers 31851, National Bureau of Economic Research, Inc.
- Zhengyang Jiang & Arvind Krishnamurthy & Hanno Lustig, 2022. "The Rest of the World’s Dollar-Weighted Return on U.S. Treasurys," NBER Working Papers 30089, National Bureau of Economic Research, Inc.
- Zhengyang Jiang & Hanno Lustig & Stijn Van Nieuwerburgh & Mindy Z. Xiaolan, 2022.
"Measuring U.S. Fiscal Capacity using Discounted Cash Flow Analysis,"
NBER Working Papers
29902, National Bureau of Economic Research, Inc.
- Zhengyang Jiang & Hanno Lustig & Stijn Van Nieuwerburgh & Mindy Z. Xiaolan, 2022. "Measuring US Fiscal Capacity Using Discounted Cash Flow Analysis," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 53(2 (Fall)), pages 157-229.
- Jiang, Zhengyang & Lustig, Hanno & Van Nieuwerburgh, Stijn & Xiaolan, Mindy Z., 2022. "Measuring U.S. Fiscal Capacity Using Discounted Cash Flow Analysis," Research Papers 4021, Stanford University, Graduate School of Business.
- Jiang, Zhengyang & Lustig, Hanno & Van Nieuwerburgh, Stijn & Xiaolan, Mindy, 2022. "Measuring U.S. Fiscal Capacity using Discounted Cash Flow Analysis," CEPR Discussion Papers 17341, C.E.P.R. Discussion Papers.
- Zefeng Chen & Zhengyang Jiang & Hanno Lustig & Stijn Van Nieuwerburgh & Mindy Z. Xiaolan, 2022.
"Exorbitant Privilege Gained and Lost: Fiscal Implications,"
NBER Working Papers
30059, National Bureau of Economic Research, Inc.
- Chen, Zefeng & Jiang, Zhengyang & Lustig, Hanno & Van Nieuwerburgh, Stijn & Xiaolan, Mindy, 2022. "Exorbitant Privilege Gained and Lost: Fiscal Implications," CEPR Discussion Papers 17340, C.E.P.R. Discussion Papers.
- Chen, Zefeng & Jiang, Zhengyang & Lustig, Hanno N. & Van Nieuwerburgh, Stijn & Xiaolan, Mindy Z., 2022. "Exorbitant Privilege Gained and Lost: Fiscal Implications," Research Papers 4020, Stanford University, Graduate School of Business.
- Daniel L. Greenwald & Matteo Leombroni & Hanno Lustig & Stijn Van Nieuwerburgh, 2021.
"Financial and Total Wealth Inequality with Declining Interest Rates,"
NBER Working Papers
28613, National Bureau of Economic Research, Inc.
- Greenwald, Daniel L. & Leombroni, Matteo & Lustig, Hanno & Van Nieuwerburgh, Stijn, 2021. "Financial and Total Wealth Inequality with Declining Interest Rates," Research Papers 3948, Stanford University, Graduate School of Business.
- Van Nieuwerburgh, Stijn & Greenwald, Dan & Leombroni, Matteo & Lustig, Hanno, 2021. "Financial and Total Wealth Inequality with Declining Interest Rates," CEPR Discussion Papers 16081, C.E.P.R. Discussion Papers.
- Zhengyang Jiang & Hanno Lustig & Stijn Van Nieuwerburgh & Mindy Z. Xiaolan, 2021. "What Drives Variation in the U.S. Debt/Output Ratio? The Dogs that Didn't Bark," NBER Working Papers 29351, National Bureau of Economic Research, Inc.
- Zhengyang Jiang & Hanno Lustig & Stijn Van Nieuwerburgh & Mindy Z. Xiaolan, 2020.
"Manufacturing Risk-free Government Debt,"
NBER Working Papers
27786, National Bureau of Economic Research, Inc.
- Van Nieuwerburgh, Stijn & Jiang, Zhengyang & Lustig, Hanno & Xiaolan, Mindy, 2021. "Manufacturing Risk-free Government Debt," CEPR Discussion Papers 16304, C.E.P.R. Discussion Papers.
- Zhengyang Jiang & Hanno Lustig & Stijn Van Nieuwerburgh & Mindy Z. Xiaolan, 2021. "Manufacturing Risk-Free Government Debt," CESifo Working Paper Series 8902, CESifo.
- Jiang, Zhengyang & Lustig, Hanno & Van Nieuwerburgh, Stijn & Xiaolan, Mindy Z., 2020. "Manufacturing Risk-Free Government Debt," Research Papers 3882, Stanford University, Graduate School of Business.
- Mark Garmaise & Yaron Levi & Hanno Lustig, 2020. "Spending Less After (Seemingly) Bad News," NBER Working Papers 27010, National Bureau of Economic Research, Inc.
- Zhengyang Jiang & Arvind Krishnamurthy & Hanno Lustig, 2020.
"Dollar Safety and the Global Financial Cycle,"
NBER Working Papers
27682, National Bureau of Economic Research, Inc.
- Jiang, Zhengyang & Krishnamurthy, Arvind & Lustig, Hanno, 2018. "Dollar Safety and the Global Financial Cycle," Research Papers 3747, Stanford University, Graduate School of Business.
- Zhengyang Jiang & Hanno Lustig & Stijn Van Nieuwerburgh & Mindy Z. Xiaolan, 2019.
"The U.S. Public Debt Valuation Puzzle,"
NBER Working Papers
26583, National Bureau of Economic Research, Inc.
- Zhengyang Jiang & Hanno Lustig & Stijn Van Nieuwerburgh & Mindy Z. Xiaolan, 2024. "The U.S. Public Debt Valuation Puzzle," Econometrica, Econometric Society, vol. 92(4), pages 1309-1347, July.
- Van Nieuwerburgh, Stijn & Jiang, Zhengyang & Lustig, Hanno & Xiaolan, Mindy, 2021. "The U.S. Public Debt Valuation Puzzle," CEPR Discussion Papers 16082, C.E.P.R. Discussion Papers.
- Zhengyang Jiang & Arvind Krishnamurthy & Hanno Lustig, 2018.
"Foreign Safe Asset Demand and the Dollar Exchange Rate,"
NBER Working Papers
24439, National Bureau of Economic Research, Inc.
- Zhengyang Jiang & Arvind Krishnamurthy & Hanno Lustig, 2021. "Foreign Safe Asset Demand and the Dollar Exchange Rate," Journal of Finance, American Finance Association, vol. 76(3), pages 1049-1089, June.
- Jiang, Zhengyang & Krishnamurthy, Arvind & Lustig, Hanno, 2019. "Foreign Safe Asset Demand and the Dollar Exchange Rate," Research Papers 3775, Stanford University, Graduate School of Business.
- Jiang, Zhengyang & Krishnamurthy, Arvind & Lustig, Hanno, 2018. "Foreign Safe Asset Demand and the Dollar Exchange Rate," Research Papers 3621, Stanford University, Graduate School of Business.
- Jordan Brooks & Michael Katz & Hanno Lustig, 2018. "Post-FOMC Announcement Drift in U.S. Bond Markets," NBER Working Papers 25127, National Bureau of Economic Research, Inc.
- Andrea L. Eisfeldt & Hanno Lustig & Lei Zhang, 2017. "Complex Asset Markets," NBER Working Papers 23476, National Bureau of Economic Research, Inc.
- Hanno Lustig & Robert J. Richmond, 2017. "Gravity in FX R-Squared: Understanding the Factor Structure in Exchange Rates," NBER Working Papers 23773, National Bureau of Economic Research, Inc.
- Hanno Lustig & Adrien Verdelhan, 2016.
"Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?,"
NBER Working Papers
22023, National Bureau of Economic Research, Inc.
- Lustig, Hanno & Verdelhan, Adrien, 2016. "Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?," Research Papers 3412, Stanford University, Graduate School of Business.
- Adrien Verdelhan & Hanno Lustig, 2016. "Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?," 2016 Meeting Papers 1183, Society for Economic Dynamics.
- Priyank Gandhi & Hanno Lustig & Alberto Plazzi, 2016.
"Equity is Cheap for Large Financial Institutions: The International Evidence,"
NBER Working Papers
22355, National Bureau of Economic Research, Inc.
- Priyank Gandhi & Hanno N. Lustig & Alberto Plazzi, 2016. "Equity is Cheap for Large Financial Institutions: The International Evidence," Swiss Finance Institute Research Paper Series 16-22, Swiss Finance Institute, revised Jun 2016.
- Gandhi, Priyank & Lustig, Hanno & Plazzi, Alberto, 2016. "Equity Is Cheap for Large Financial Institutions: The International Evidence," Research Papers 3454, Stanford University, Graduate School of Business.
- Barney Hartman-Glaser & Hanno Lustig & Mindy Z. Xiaolan, 2016.
"Capital Share Dynamics When Firms Insure Workers,"
NBER Working Papers
22651, National Bureau of Economic Research, Inc.
- Barney Hartman‐Glaser & Hanno Lustig & Mindy Z. Xiaolan, 2019. "Capital Share Dynamics When Firms Insure Workers," Journal of Finance, American Finance Association, vol. 74(4), pages 1707-1751, August.
- YiLi Chien & Hanno Lustig & Kanda Naknoi, 2015.
"Why Are Exchange Rates So Smooth? A Household Finance Explanation,"
Working Papers
2015-39, Federal Reserve Bank of St. Louis.
- Chien, YiLi & Lustig, Hanno & Naknoi, Kanda, 2020. "Why are exchange rates so smooth? A household finance explanation," Journal of Monetary Economics, Elsevier, vol. 112(C), pages 129-144.
- YiLi Chien & Hanno Lustig & Kanda Naknoi, 2017. "Why Are Exchange Rates So Smooth? A Household Finance Explanation," Working papers 2017-20, University of Connecticut, Department of Economics.
- 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.
- Herskovic, Bernard & Kelly, Bryan & Lustig, Hanno & Van Nieuwerburgh, Stijn, 2016. "The common factor in idiosyncratic volatility: Quantitative asset pricing implications," Journal of Financial Economics, Elsevier, vol. 119(2), pages 249-283.
- YiLi Chien & Harold L. Cole & Hanno Lustig, 2014.
"Implications of heterogeneity in preferences, beliefs and asset trading technologies for the macroeconomy,"
Working Papers
2014-14, Federal Reserve Bank of St. Louis.
- 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.
- Matthias Fleckenstein & Francis A. Longstaff & Hanno Lustig, 2013. "Deflation Risk," NBER Working Papers 19238, National Bureau of Economic Research, Inc.
- Bernard Herskovic & Bryan Kelly & Hanno Lustig & Stijn Van Nieuwerburgh, 2013.
"Firm Volatility in Granular Networks,"
NBER Working Papers
19466, National Bureau of Economic Research, Inc.
- Bernard Herskovic & Bryan Kelly & Hanno Lustig & Stijn Van Nieuwerburgh, 2020. "Firm Volatility in Granular Networks," Journal of Political Economy, University of Chicago Press, vol. 128(11), pages 4097-4162.
- Stijn Van Nieuwerburgh & Hanno Lustig & Bryan Kelly, 2014. "Firm Volatility in Granular Networks," 2014 Meeting Papers 253, Society for Economic Dynamics.
- Van Nieuwerburgh, Stijn & Lustig, Hanno & Kelly, Bryan & Herskovic, Bernard, 2017. "Firm Volatility in Granual Networks," CEPR Discussion Papers 12284, C.E.P.R. Discussion Papers.
- 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.
- Lustig, Hanno & Stathopoulos, Andreas & Verdelhan, Adrien, 2017. "The Term Structure of Currency Carry Trade Risk Premia," Research Papers repec:ecl:stabus:3411, Stanford University, Graduate School of Business.
- Andreas Stathopoulos & Adrien Verdelhan & Hanno Lustig, 2014. "The Term Structure of Currency Carry Trade Risk Premia," 2014 Meeting Papers 837, Society for Economic Dynamics.
- Verdelhan, Adrien & Van Nieuwerburgh, Stijn & Lustig, Hanno, 2012.
"The Wealth-Consumption Ratio,"
CEPR Discussion Papers
9022, C.E.P.R. Discussion Papers.
- Hanno Lustig & Stijn Van Nieuwerburgh & Adrien Verdelhan, 2013. "The Wealth-Consumption Ratio," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 3(1), pages 38-94.
- Hanno Lustig & Stijn Van Nieuwerburgh & Adrien Verdelhan, 2008. "The Wealth-Consumption Ratio," NBER Working Papers 13896, National Bureau of Economic Research, Inc.
- Van Nieuwerburgh, Stijn & Lustig, Hanno & Kelly, Bryan, 2012.
"Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees,"
CEPR Discussion Papers
9023, C.E.P.R. Discussion Papers.
- Bryan Kelly & Hanno Lustig & Stijn Van Nieuwerburgh, 2016. "Too-Systemic-to-Fail: What Option Markets Imply about Sector-Wide Government Guarantees," American Economic Review, American Economic Association, vol. 106(6), pages 1278-1319, June.
- 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.
- Stijn Van Nieuwerburgh & Hanno Lustig & Bryan Kelly, 2011. "Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees," 2011 Meeting Papers 1285, Society for Economic Dynamics.
- Van Nieuwerburgh, Stijn & Lustig, Hanno & Koijen, Ralph, 2012.
"The Cross-Section and Time-Series of Stock and Bond Returns,"
CEPR Discussion Papers
9024, C.E.P.R. Discussion Papers.
- Koijen, Ralph S.J. & Lustig, Hanno & Van Nieuwerburgh, Stijn, 2017. "The cross-section and time series of stock and bond returns," Journal of Monetary Economics, Elsevier, vol. 88(C), pages 50-69.
- Koijen, Ralph S. J. & Lustig, Hanno & Van Nieuwerburgh, Stijn, 2017. "The Cross-Section and Time Series of Stock and Bond Returns," Research Papers 3518, Stanford University, Graduate School of Business.
- 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.
- 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.
- Hanno Lustig, 2011. "Why Does the Treasury Issue TIPS? The TIPS-Treasury Bond Puzzle," 2011 Meeting Papers 1443, Society for Economic Dynamics.
- 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.
- Hanno Lustig & Priyank Gandhi, 2010. "Size Anomalies in US Bank Stock Returns: Your Tax Dollars at Work?," 2010 Meeting Papers 1290, Society for Economic Dynamics.
- Hanno Lustig & Nikolai Roussanov & Adrien Verdelhan, 2010.
"Countercyclical Currency Risk Premia,"
NBER Working Papers
16427, National Bureau of Economic Research, Inc.
- Lustig, Hanno & Roussanov, Nikolai & Verdelhan, Adrien, 2014. "Countercyclical currency risk premia," Journal of Financial Economics, Elsevier, vol. 111(3), pages 527-553.
- 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.
- 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, vol. 102(6), pages 2859-2896, October.
- Stijn Van Nieuwerburgh & Hanno Lustig & Ralph S.J. Koijen, 2009. "The Bond Risk Premium and the Cross-Section of Equity Returns," 2009 Meeting Papers 12, Society for Economic Dynamics.
- 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.
- Lustig, Hanno & Syverson, Chad & Van Nieuwerburgh, Stijn, 2011. "Technological change and the growing inequality in managerial compensation," Journal of Financial Economics, Elsevier, vol. 99(3), pages 601-627, March.
- 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.
- Hanno Lustig & Adrien Verdelhan, 2011. "The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: Reply," American Economic Review, American Economic Association, vol. 101(7), pages 3477-3500, December.
- Hanno Lustig & Nikolai Roussanov & Adrien Verdelhan, 2008.
"Common Risk Factors in Currency Markets,"
NBER Working Papers
14082, National Bureau of Economic Research, Inc.
- Hanno Lustig & Nikolai Roussanov & Adrien Verdelhan, 2011. "Common Risk Factors in Currency Markets," The Review of Financial Studies, Society for Financial Studies, vol. 24(11), pages 3731-3777.
- Nick Roussanov & Adrien Verdelhan & Hanno Lustig, 2008. "Common Risk Factors in Currency Markets," 2008 Meeting Papers 711, Society for Economic Dynamics.
- Stijn Van Nieuwerburgh & Chad Syverson & Hanno Lustig, 2008. "IT, Corporate Payouts, and the Growing Inequality in Managerial Compensation," 2008 Meeting Papers 265, Society for Economic Dynamics.
- 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.
- 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, vol. 6(2-3), pages 715-726, 04-05.
- 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).
- 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.
- Yili Chien & Harold Cole & Hanno Lustig, 2011. "A Multiplier Approach to Understanding the Macro Implications of Household Finance," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 78(1), pages 199-234.
- Hanno Lustig & Stijn Van Nieuwerburg & Adrien Verdelhan, 2007.
"The Wealth-Consumption Ratio: A Litmus Test for Consumption-based Asset Pricing Models¤,"
Boston University - Department of Economics - Working Papers Series
WP2007-030, Boston University - Department of Economics.
- Hanno Lustig, "undated". "The Wealth-Consumption Ratio: A Litmus Test for Consumption-based Asset Pricing Models," UCLA Economics Online Papers 420, UCLA Department of Economics.
- Stijn Van Nieuwerburgh & Hanno Lustig, 2007. "The Wealth-Consumption Ratio: A Litmus Test for Consumption-Based Asset Pricing Models," 2007 Meeting Papers 398, Society for Economic Dynamics.
- Hanno Lustig & Christopher Sleet & Sevin Yeltekin, 2006. "Optimal Debt Maturity Management," 2006 Meeting Papers 367, Society for Economic Dynamics.
- Krueger, Dirk & Lustig, Hanno, 2006. "The Irrelevance of Market Incompleteness for the Price of Aggregate Risk," CEPR Discussion Papers 5936, C.E.P.R. Discussion Papers.
- 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.
- 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, vol. 145(1), pages 1-41, January.
- 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.
- Lustig, H. & Verdelhan, A., 2006.
"The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk,"
Working papers
155, Banque de France.
- 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.
- 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 WP2005-019, Boston University - Department of Economics.
- Hanno Lustig & Adrien Verdelhan, 2004. "The Cross-Section of Foreign Currency Risk Premia and US Consumption Growth Risk," 2004 Meeting Papers 136c, Society for Economic Dynamics.
- Hanno Lustig & Adrien Verdelhan, 2006. "The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk," Boston University - Department of Economics - Working Papers Series WP2006-045, Boston University - Department of Economics.
- Hanno Lustig & Christopher Sleet & Sevin Yeltekin, 2005. "Fiscal Hedging and the Yield Curve," NBER Working Papers 11687, National Bureau of Economic Research, Inc.
- 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
WP2005-040, Boston University - Department of Economics.
- 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, vol. 4(2-3), pages 644-655, 04-05.
- 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.
- Hanno Lustig & Stijn Van Nieuwerburgh, 2008. "The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street," The Review of Financial Studies, Society for Financial Studies, vol. 21(5), pages 2097-2137, September.
- 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 368, UCLA Department of Economics.
- 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 105, Society for Economic Dynamics.
- 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.
- 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 352, UCLA Department of Economics.
- Hanno Lustig, 2005. "Does the US government Hedge against Defense Expenditure Risk? (joint with Chris Sleet and Sevin Yeltekin)," UCLA Economics Online Papers 356, UCLA Department of Economics.
- Hanno Lustig, 2005. "Fiscal Hedging and the Yield Curve(joint with Chris Sleet, CMU, and Sevin Yeltekin (CMU))," UCLA Economics Online Papers 353, UCLA Department of Economics.
- 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 300, UCLA Department of Economics.
- 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.
- 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.
- 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.
- 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.
- Stijn Van Nieuwerburgh & Hanno Lustig, 2004. "Housing Collateral and Consumption Insurance Across US Regions," 2004 Meeting Papers 548, Society for Economic Dynamics.
- Hanno Lustig, 2004.
"The Market Price of Aggregate Risk and the Wealth Distribution,"
UCLA Economics Online Papers
299, UCLA Department of Economics.
- YiLi Chien & Hanno Lustig, 2010. "The Market Price of Aggregate Risk and the Wealth Distribution," The Review of Financial Studies, Society for Financial Studies, vol. 23(4), pages 1596-1650, April.
- Hanno Lustig, 2001. "The Market Price of Aggregate Risk and the Wealth Distribution," Finance 0111004, University Library of Munich, Germany, revised 16 Nov 2001.
- Hanno Lustig & Yi-Li Chien, 2005. "The Market Price of Aggregate Risk and the Wealth Distribution," NBER Working Papers 11132, National Bureau of Economic Research, Inc.
- Sevin Yeltekin & Hanno Lustig & Chris Sleet, 2004. "Does the US government hedge against government expenditure risk?," 2004 Meeting Papers 48, Society for Economic Dynamics.
- Hanno Lustig, 2004. "How much Does Household Collateral Constrain Regional Risk Sharing? (joint with Stijn Van Nieuwerburgh) (updated February 2006)," UCLA Economics Online Papers 302, UCLA Department of Economics.
- 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.
- 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.
- Hanno N. Lustig & Stijn G. Van Nieuwerburgh, 2005. "Housing Collateral, Consumption Insurance, and Risk Premia: An Empirical Perspective," Journal of Finance, American Finance Association, vol. 60(3), pages 1167-1219, June.
- Hanno Lustig & Stijn Van Nieuwerburgh, 2002. "Housing Collateral, Consumption Insurance and Risk Premia," Macroeconomics 0211008, University Library of Munich, Germany.
- Hanno Lustig, "undated". "When is Market Incompleteness Irrelevant for the Price of Aggregate Risk (joint with Dirk Krueger, UPenn)," UCLA Economics Online Papers 380, UCLA Department of Economics.
- Hanno Lustig & Christopher Sleet & Sevin Yeltekin, "undated".
"Fiscal Hedging with Nominal Assets,"
GSIA Working Papers
2006-E35, Carnegie Mellon University, Tepper School of Business.
- Lustig, Hanno & Sleet, Christopher & Yeltekin, Sevin, 2008. "Fiscal hedging with nominal assets," Journal of Monetary Economics, Elsevier, vol. 55(4), pages 710-727, May.
- Hanno Lustig, "undated". "Exploring the Link between Housing and the Value Premium (joint with Stijn Van Nieuwerburgh)," UCLA Economics Online Papers 389, UCLA Department of Economics.
- Antje Berndt & Hanno Lustig & Sevin Yeltekin, "undated".
"How does the U.S. government finance fiscal shocks?,"
GSIA Working Papers
2006-E70, Carnegie Mellon University, Tepper School of Business.
- Antje Berndt & Hanno Lustig & Şevin Yeltekin, 2012. "How Does the US Government Finance Fiscal Shocks?," American Economic Journal: Macroeconomics, American Economic Association, vol. 4(1), pages 69-104, January.
- Antje Berndt & Hanno Lustig & Sevin Yeltekin, 2010. "How Does the U.S. Government Finance Fiscal Shocks?," NBER Working Papers 16458, National Bureau of Economic Research, Inc.
- Hanno Lustig, "undated". "Macro Implications of Household Finance (joint with YiLi Chien and Harold Cole )," UCLA Economics Online Papers 422, UCLA Department of Economics.
Articles
- Yili Chien & Harold Cole & Hanno Lustig, 2016.
"Implications of Heterogeneity in Preferences, Beliefs and Asset Trading Technologies in an Endowment Economy,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 20, pages 215-239, April.
- Yili Chien & Harold Cole & Hanno Lustig, 2015. "Code files for "Implications of Heterogeneity in Preferences, Beliefs and Asset Trading Technologies in an Endowment Economy"," Computer Codes 14-172, Review of Economic Dynamics.
- 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, vol. 102(6), pages 2859-2896, October.
- 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.
- Antje Berndt & Hanno Lustig & Şevin Yeltekin, 2012.
"How Does the US Government Finance Fiscal Shocks?,"
American Economic Journal: Macroeconomics, American Economic Association, vol. 4(1), pages 69-104, January.
- Antje Berndt & Hanno Lustig & Sevin Yeltekin, "undated". "How does the U.S. government finance fiscal shocks?," GSIA Working Papers 2006-E70, Carnegie Mellon University, Tepper School of Business.
- Antje Berndt & Hanno Lustig & Sevin Yeltekin, 2010. "How Does the U.S. Government Finance Fiscal Shocks?," NBER Working Papers 16458, National Bureau of Economic Research, Inc.
- Lustig, Hanno & Syverson, Chad & Van Nieuwerburgh, Stijn, 2011.
"Technological change and the growing inequality in managerial compensation,"
Journal of Financial Economics, Elsevier, vol. 99(3), pages 601-627, March.
- 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.
- Hanno Lustig & Nikolai Roussanov & Adrien Verdelhan, 2011.
"Common Risk Factors in Currency Markets,"
The Review of Financial Studies, Society for Financial Studies, vol. 24(11), pages 3731-3777.
- Hanno Lustig & Nikolai Roussanov & Adrien Verdelhan, 2008. "Common Risk Factors in Currency Markets," NBER Working Papers 14082, National Bureau of Economic Research, Inc.
- Nick Roussanov & Adrien Verdelhan & Hanno Lustig, 2008. "Common Risk Factors in Currency Markets," 2008 Meeting Papers 711, Society for Economic Dynamics.
- Hanno Lustig & Adrien Verdelhan, 2011.
"The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: Reply,"
American Economic Review, American Economic Association, vol. 101(7), pages 3477-3500, December.
- 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.
- Yili Chien & Harold Cole & Hanno Lustig, 2011.
"A Multiplier Approach to Understanding the Macro Implications of Household Finance,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 78(1), pages 199-234.
- 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.
- 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, vol. 100(2), pages 552-556, May.
- YiLi Chien & Hanno Lustig, 2010.
"The Market Price of Aggregate Risk and the Wealth Distribution,"
The Review of Financial Studies, Society for Financial Studies, vol. 23(4), pages 1596-1650, April.
- Hanno Lustig, 2001. "The Market Price of Aggregate Risk and the Wealth Distribution," Finance 0111004, University Library of Munich, Germany, revised 16 Nov 2001.
- Hanno Lustig, 2004. "The Market Price of Aggregate Risk and the Wealth Distribution," UCLA Economics Online Papers 299, UCLA Department of Economics.
- Hanno Lustig & Yi-Li Chien, 2005. "The Market Price of Aggregate Risk and the Wealth Distribution," NBER Working Papers 11132, National Bureau of Economic Research, Inc.
- 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.
- Hanno Lustig & Stijn Van Nieuwerburgh, 2009. "Code and data files for "How Much Does Housing Collateral Constrain Regional Risk Sharing?"," Computer Codes 06-187, Review of Economic Dynamics.
- 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.
- 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, vol. 145(1), pages 1-41, January.
- 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.
- Hanno Lustig & Stijn Van Nieuwerburgh, 2008.
"The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street,"
The Review of Financial Studies, Society for Financial Studies, vol. 21(5), pages 2097-2137, September.
- 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.
- Lustig, Hanno & Sleet, Christopher & Yeltekin, Sevin, 2008.
"Fiscal hedging with nominal assets,"
Journal of Monetary Economics, Elsevier, vol. 55(4), pages 710-727, May.
- Hanno Lustig & Christopher Sleet & Sevin Yeltekin, "undated". "Fiscal Hedging with Nominal Assets," GSIA Working Papers 2006-E35, Carnegie Mellon University, Tepper School of Business.
- 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, vol. 6(2-3), pages 715-726, 04-05.
- 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).
- 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.
- 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.
- 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 WP2005-019, Boston University - Department of Economics.
- Lustig, H. & Verdelhan, A., 2006. "The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk," Working papers 155, Banque de France.
- Hanno Lustig & Adrien Verdelhan, 2004. "The Cross-Section of Foreign Currency Risk Premia and US Consumption Growth Risk," 2004 Meeting Papers 136c, Society for Economic Dynamics.
- Hanno Lustig & Adrien Verdelhan, 2006. "The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk," Boston University - Department of Economics - Working Papers Series WP2006-045, Boston University - Department of Economics.
- 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, vol. 4(2-3), pages 644-655, 04-05.
- 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 WP2005-040, Boston University - Department of Economics.
- Hanno N. Lustig & Stijn G. Van Nieuwerburgh, 2005.
"Housing Collateral, Consumption Insurance, and Risk Premia: An Empirical Perspective,"
Journal of Finance, American Finance Association, vol. 60(3), pages 1167-1219, June.
- 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.
Software components
- Hanno Lustig & Stijn Van Nieuwerburgh, 2009.
"Code and data files for "How Much Does Housing Collateral Constrain Regional Risk Sharing?","
Computer Codes
06-187, Review of Economic Dynamics.
- 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.
Chapters
- Hanno Lustig & Adrien Verdelhan, 2009. "Comment on "Carry Trades and Currency Crashes"," NBER Chapters, in: NBER Macroeconomics Annual 2008, Volume 23, pages 361-384, National Bureau of Economic Research, Inc.
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Co-authorship network on CollEc
NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 60 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-MAC: Macroeconomics (24) 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 2014-07-28 2014-08-02 2016-09-25 2018-11-05 2020-02-03 2020-09-14 2021-04-05 2021-10-25 2022-06-27. Author is listed
- NEP-DGE: Dynamic General Equilibrium (17) 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 2014-07-28 2015-12-08 2017-06-11 2017-10-08 2021-04-05. Author is listed
- NEP-IFN: International Finance (13) 2004-08-09 2004-08-09 2006-02-19 2006-03-18 2008-07-14 2015-12-08 2016-03-29 2017-10-08 2018-04-23 2020-09-14 2022-07-18 2024-01-01 2024-03-04. Author is listed
- NEP-BEC: Business Economics (12) 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 2016-09-25. Author is listed
- NEP-FIN: Finance (9) 2004-08-02 2004-08-02 2004-08-02 2004-12-12 2005-02-13 2005-02-20 2005-10-15 2005-12-01 2006-03-18. Author is listed
- NEP-OPM: Open Economy Macroeconomics (8) 2015-12-08 2017-09-24 2017-10-08 2020-09-14 2020-09-28 2022-06-27 2024-01-01 2024-03-04. Author is listed
- NEP-FMK: Financial Markets (7) 2006-03-18 2006-04-01 2014-05-17 2018-11-05 2020-02-03 2020-09-28 2022-07-18. Author is listed
- 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
- NEP-URE: Urban and 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
- 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
- NEP-MON: Monetary Economics (5) 2005-10-15 2017-09-24 2018-04-23 2018-11-05 2020-09-14. Author is listed
- NEP-UPT: Utility Models and Prospect Theory (5) 2006-11-04 2006-12-09 2012-07-14 2014-08-02 2016-03-29. Author is listed
- NEP-BAN: Banking (2) 2012-07-14 2016-06-25
- NEP-CBA: Central Banking (2) 2012-07-14 2020-09-14
- NEP-CFN: Corporate Finance (2) 2005-02-20 2017-06-11
- NEP-FDG: Financial Development and Growth (2) 2021-04-05 2024-01-01
- NEP-NET: Network Economics (2) 2013-10-02 2016-06-25
- NEP-PBE: Public Economics (2) 2005-10-15 2006-02-19
- NEP-DEM: Demographic Economics (1) 2022-07-18
- NEP-DEV: Development (1) 2007-08-14
- NEP-HIS: Business, Economic and Financial History (1) 2007-08-14
- NEP-KNM: Knowledge Management and Knowledge Economy (1) 2007-08-14
- NEP-LAB: Labour Economics (1) 2009-01-31
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