How much Does Household Collateral Constrain Regional Risk Sharing? (joint with Stijn Van Nieuwerburgh) (updated February 2006)
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Attanasio, Orazio P & Weber, Guglielmo, 1995.
"Is Consumption Growth Consistent with Intertemporal Optimization? Evidence from the Consumer Expenditure Survey,"
Journal of Political Economy, University of Chicago Press, vol. 103(6), pages 1121-1157, December.
- Orazio P. Attanasio & Guglielmo Weber, 1994. "Is Consumption Growth Consistent with Intertemporal Optimization? Evidence from the Consumer Expenditure Survey," NBER Working Papers 4795, National Bureau of Economic Research, Inc.
- Jagannathan, Ravi & Wang, Zhenyu, 1996.
"The Conditional CAPM and the Cross-Section of Expected Returns,"
Journal of Finance, American Finance Association, vol. 51(1), pages 3-53, March.
- Ravi Jagannathan & Zhenyu Wang, 1996. "The conditional CAPM and the cross-section of expected returns," Staff Report 208, Federal Reserve Bank of Minneapolis.
- Eichenbaum, Martin & Hansen, Lars Peter, 1990.
"Estimating Models with Intertemporal Substitution Using Aggregate Time Series Data,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 8(1), pages 53-69, January.
- 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.
- Gourieroux, C & Monfort, A & Renault, E, 1993.
"Indirect Inference,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages 85-118, Suppl. De.
- Gourieroux, C. & Monfort, A. & Renault, E., 1992. "Indirect Inference," Papers 92.279, Toulouse - GREMAQ.
- Fernando Alvarez & Urban J. Jermann, 2000. "Efficiency, Equilibrium, and Asset Pricing with Risk of Default," Econometrica, Econometric Society, vol. 68(4), pages 775-798, July.
- Cochrane, John H, 1991. "A Simple Test of Consumption Insurance," Journal of Political Economy, University of Chicago Press, vol. 99(5), pages 957-976, October.
- Campbell, John Y, 1996.
"Understanding Risk and Return,"
Journal of Political Economy, University of Chicago Press, vol. 104(2), pages 298-345, April.
- John Y. Campbell, 1993. "Understanding Risk and Return," NBER Working Papers 4554, National Bureau of Economic Research, Inc.
- Campbell, John, 1996. "Understanding Risk and Return," Scholarly Articles 3153293, Harvard University Department of Economics.
- John Y. Campbell, 1995. "Understanding Risk and Return," Harvard Institute of Economic Research Working Papers 1711, Harvard - Institute of Economic Research.
- Lucas, Robert E, Jr, 1978. "Asset Prices in an Exchange Economy," Econometrica, Econometric Society, vol. 46(6), pages 1429-1445, November.
- Patrick J. Kehoe & Fabrizio Perri, 2002.
"International Business Cycles with Endogenous Incomplete Markets,"
Econometrica, Econometric Society, vol. 70(3), pages 907-928, May.
- Patrick J. Kehoe & Fabrizio Perri, 2000. "International business cycles with endogenous incomplete markets," Staff Report 265, Federal Reserve Bank of Minneapolis.
- Patrick J. Kehoe & Fabrizio Perri, 2000. "International Business Cycles with Endogenous Incomplete Markets," NBER Working Papers 7870, National Bureau of Economic Research, Inc.
- Hess, Gregory D. & Shin, Kwanho, 1998.
"Intranational business cycles in the United States,"
Journal of International Economics, Elsevier, vol. 44(2), pages 289-313, April.
- Gregory D. Hess & Kwanho Shin, 1995. "Intranational business cycles in the United States," Research Working Paper 95-07, Federal Reserve Bank of Kansas City.
- 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.
- Duffie, Darrell & Singleton, Kenneth J, 1993.
"Simulated Moments Estimation of Markov Models of Asset Prices,"
Econometrica, Econometric Society, vol. 61(4), pages 929-952, July.
- Darrell Duffie & Kenneth J. Singleton, 1990. "Simulated Moments Estimation of Markov Models of Asset Prices," NBER Technical Working Papers 0087, National Bureau of Economic Research, Inc.
- Timothy J. Kehoe & David K. Levine, 1993.
"Debt-Constrained Asset Markets,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 60(4), pages 865-888.
- Timothy J. Kehoe & David K. Levine, 1992. "Debt constrained asset markets," Working Papers 445, Federal Reserve Bank of Minneapolis.
- Timothy J Kehoe & David K Levine, 1993. "Debt Constrained Asset Markets," Levine's Working Paper Archive 1276, David K. Levine.
- Martin Lettau & Sydney Ludvigson, 2001.
"Resurrecting the (C)CAPM: A Cross-Sectional Test When Risk Premia Are Time-Varying,"
Journal of Political Economy, University of Chicago Press, vol. 109(6), pages 1238-1287, December.
- Martin Lettau & Sydney C. Ludvigson, 1999. "Resurrecting the (C)CAPM: a cross-sectional test when risk premia are time-varying," Staff Reports 93, Federal Reserve Bank of New York.
- Backus, David K & Kehoe, Patrick J & Kydland, Finn E, 1992.
"International Real Business Cycles,"
Journal of Political Economy, University of Chicago Press, vol. 100(4), pages 745-775, August.
- David K. Backus & Patrick J. Kehoe & Finn E. Kydland, 1987. "International real business cycles," Working Papers 426, Federal Reserve Bank of Minneapolis.
- David K. Backus & Patrick J. Kehoe & Finn E. Kydland, 1991. "International real business cycles," Staff Report 146, Federal Reserve Bank of Minneapolis.
- Lars Ljungqvist & Thomas J. Sargent, 2004. "Recursive Macroeconomic Theory, 2nd Edition," MIT Press Books, The MIT Press, edition 2, volume 1, number 026212274x, December.
- Blundell, Richard & Preston, Ian & Pistaferri, Luigi, 2002.
"Partial Insurance, Information, and Consumption Dynamics,"
CEPR Discussion Papers
3666, C.E.P.R. Discussion Papers.
- Richard Blundell & Luigi Pistaferri & Ian Preston, 2002. "Partial insurance, information and consumption dynamics," IFS Working Papers W02/16, Institute for Fiscal Studies.
- Gourieroux, Christian & Monfort, Alain, 1997. "Simulation-based Econometric Methods," OUP Catalogue, Oxford University Press, number 9780198774754.
- Manuel Arellano & Stephen Bond, 1991.
"Some Tests of Specification for Panel Data: Monte Carlo Evidence and an Application to Employment Equations,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 58(2), pages 277-297.
- Tom Doan, "undated". "RATS program to replicate Arellano-Bond 1991 dynamic panel," Statistical Software Components RTZ00169, Boston College Department of Economics.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- 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. "How Much Does Household Collateral Constrain Regional Risk Sharing?," NBER Working Papers 10505, National Bureau of Economic Research, Inc.
- Hanno Lustig & Stijn Van Nieuwerburgh, 2002. "Housing Collateral, Consumption Insurance and Risk Premia," Macroeconomics 0211008, University Library of Munich, Germany.
- 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 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.
- 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.
- 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.
- Kris Jacobs & Kevin Q. Wang, 2002. "Idiosyncratic Consumption Risk and the Cross-Section of Asset Returns," CIRANO Working Papers 2002s-11, CIRANO.
- Ricardo M. Sousa, 2007. "Expectations, Shocks, and Asset Returns," NIPE Working Papers 29/2007, NIPE - Universidade do Minho.
- Kris Jacobs, 2001. "Estimating Nonseparable Preference Specifications for Asset Market Participants," CIRANO Working Papers 2001s-12, CIRANO.
- Miao, Jianjun & Zhang, Yuzhe, 2015.
"A duality approach to continuous-time contracting problems with limited commitment,"
Journal of Economic Theory, Elsevier, vol. 159(PB), pages 929-988.
- Jianjun Miao & Yuzhe Zhang, 2013. "A Duality Approach to Continuous- Time Contracting Problems with Limited Commitment," Boston University - Department of Economics - Working Papers Series 2013-008, Boston University - Department of Economics.
- Yuzhe Zhang & Jianjun Miao, 2014. "A Duality Approach to Continuous-Time Contracting Problems with Limited Commitment," 2014 Meeting Papers 650, Society for Economic Dynamics.
- Jacobs, Kris, 2000. "Estimating Nonseparable Preference Specifications for Asset Market Participants," Econometric Society World Congress 2000 Contributed Papers 1472, Econometric Society.
- 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.
- 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.
- 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.
- Restrepo-Echavarria, Paulina, 2019.
"Endogenous borrowing constraints and stagnation in Latin America,"
Journal of Economic Dynamics and Control, Elsevier, vol. 109(C).
- Paulina Restrepo-Echavarria, 2010. "Endogenous Borrowing Constraints and Stagnation in Latin America," 2010 Meeting Papers 470, Society for Economic Dynamics.
- Paulina Restrepo-Echavarria, 2013. "Endogenous Borrowing Constraints and Stagnation in Latin America," Working Papers 2014-37, Federal Reserve Bank of St. Louis.
- Calvet, Laurent E. & Betermier, Sebastien & Jo, Evan, 2019. "A Supply and Demand Approach to Equity Pricing," CEPR Discussion Papers 13974, C.E.P.R. Discussion Papers.
- Yili Chien & Junsang Lee, 2006.
"Why Tax Capital?,"
2006 Meeting Papers
492, Society for Economic Dynamics.
- Yili Chien & Junsang Lee, 2009. "Why tax capital?," CAMA Working Papers 2009-05, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- 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.
- Adrian, Tobias & Franzoni, Francesco, 2009.
"Learning about beta: Time-varying factor loadings, expected returns, and the conditional CAPM,"
Journal of Empirical Finance, Elsevier, vol. 16(4), pages 537-556, September.
- Francesco Franzoni & Tobias Adrian, 2005. "Learning about Beta: Time-varying factor loadings, expected returns, and the Conditional CAPM," Working Papers hal-00587579, HAL.
- 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.
- Franzoni, Francesco & Adrian, Tobias, 2005. "Learning about Beta: time-varying factor loadings, expected returns and the conditional CAPM," HEC Research Papers Series 828, HEC Paris.
- Francesco FRANZONI & Tobias ADRIAN, 2008. "Learning about Beta: Time-Varying Factor Loadings, Expected Returns,and the Conditional CAPM," Swiss Finance Institute Research Paper Series 08-36, Swiss Finance Institute.
- Filipe Martins da Rocha & Yiannis Vailakis, 2017.
"Borrowing in Excess of Natural Ability to Repay,"
Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 23, pages 42-59, January.
- Victor Filipe Martins da Rocha & Yiannis Vailakis, 2017. "Borrowing in Excess of Natural Ability to Repay," Post-Print hal-01249202, HAL.
- Patrick J. Kehoe & Fabrizio Perri, 2002.
"International Business Cycles with Endogenous Incomplete Markets,"
Econometrica, Econometric Society, vol. 70(3), pages 907-928, May.
- Patrick J. Kehoe & Fabrizio Perri, 2000. "International business cycles with endogenous incomplete markets," Staff Report 265, Federal Reserve Bank of Minneapolis.
- Patrick J. Kehoe & Fabrizio Perri, 2000. "International Business Cycles with Endogenous Incomplete Markets," NBER Working Papers 7870, National Bureau of Economic Research, Inc.
More about this item
NEP fields
This paper has been announced in the following NEP Reports:- NEP-IAS-2004-08-02 (Insurance Economics)
- NEP-URE-2004-08-02 (Urban and Real Estate Economics)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cla:uclaol:302. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: David K. Levine (email available below). General contact details of provider: http://www.econ.ucla.edu/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.
Printed from https://ideas.repec.org/p/cla/uclaol/302.html