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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. Martínez Sedano, Miguel Angel & Nieto, Belén & Rubio Irigoyen, Gonzalo, 2002. "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.
  2. Stephen Morris & Hyun Song Shin, 2003. "Liquidity Black Holes," Cowles Foundation Discussion Papers 1434, Cowles Foundation for Research in Economics, Yale University.
  3. 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).
  4. Narayana R. Kocherlakota, 2006. "Injecting Rational Bubbles," Levine's Bibliography 122247000000000905, UCLA Department of Economics.
  5. Dan Cao, 2011. "Collateral Shortages, Asset Price and Investment Volatility with Heterogeneous Beliefs," Working Papers gueconwpa~11-11-01, Georgetown University, Department of Economics.
  6. Vladimir Asriyan, 2015. "Balance sheet recessions with informational and trading frictions," Economics Working Papers 1463, Department of Economics and Business, Universitat Pompeu Fabra.
  7. Pierre-Olivier Weill & Chris Edmond, 2008. "Aggregate implications of micro asset market segmentation," 2008 Meeting Papers 481, Society for Economic Dynamics.
  8. 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.
  9. Brumm, Johannes & Kubler, Felix & Grill, Michael & Schmedders, Karl, 2014. "Margin regulation and volatility," Working Paper Series 1698, European Central Bank.
  10. Kiyotaki, Nobuhiro & Michaelides, Alexander & Nikolov, Kalin, 2010. "Winners and Losers in Housing Markets," CEPR Discussion Papers 7953, C.E.P.R. Discussion Papers.
  11. Pástor, Luboš & Stambaugh, Robert F., 2002. "Liquidity Risk and Expected Stock Returns," CEPR Discussion Papers 3494, C.E.P.R. Discussion Papers.
  12. Vladimir Asriyan, 2015. "Balance Sheet Recessions with Informational and Trading Frictions," Working Papers 806, Barcelona Graduate School of Economics.
  13. 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.
  14. Jose Lopez, 2012. "Labor Supply, Aggregation and the Labor Wedge," 2012 Meeting Papers 737, Society for Economic Dynamics.
  15. Narayana R Kocherlakota & Luigi Pistaferri, 2005. "Asset Pricing Implications of Pareto Optimality with Private Information," Levine's Bibliography 784828000000000507, UCLA Department of Economics.
  16. Viral V. Acharya & Lasse Heje Pedersen, 2004. "Asset Pricing with Liquidity Risk," NBER Working Papers 10814, National Bureau of Economic Research, Inc.
  17. GOTTARDI, Piero & KUBLER, Felix, 2012. "Dynamic Competitive Economies with Complete Markets and Collateral Constraints," Economics Working Papers ECO2012/17, European University Institute.
  18. Christian Hellwig & Guido Lorenzoni, 2009. "Bubbles and Self-Enforcing Debt," Econometrica, Econometric Society, vol. 77(4), pages 1137-1164, 07.
  19. Casey B. Mulligan, 2004. "Robust Aggregate Implications of Stochastic Discount Factor Volatility," NBER Working Papers 10210, National Bureau of Economic Research, Inc.
  20. Antonio Mele, 2008. "Repeated Moral Hazard and Recursive Lagrangeans," 2008 Meeting Papers 482, Society for Economic Dynamics.
  21. 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.
  22. 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.
  23. 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.
  24. Hisashi Nakamura, 2007. "A Continuous-Time Analysis of Optimal Debt Contracts: Theory and Applications," 2007 Meeting Papers 230, Society for Economic Dynamics.
  25. Nobuhiro Kiyotaki & Alexander Michaelides & Kalin Nikolov, 2010. "Winners and Losers in House Markets," Working Papers 2010-5, Central Bank of Cyprus.
  26. Chien, YiLi & Cole, Harold L. & Lustig, Hanno, 2014. "Implications of heterogeneity in preferences, beliefs and asset trading technologies for the macroeconomy," Working Papers 2014-14, Federal Reserve Bank of St. Louis.
  27. Lagakos, David & Ordoñez, Guillermo L., 2011. "Which workers get insurance within the firm?," Journal of Monetary Economics, Elsevier, vol. 58(6), pages 632-645.
  28. Christian Hellwig, 2003. "Bubbles and Self-enforcing Debt (October 2006, with Guido Lorenzoni)," UCLA Economics Online Papers 229, UCLA Department of Economics.
  29. 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.).
  30. Junsang Lee & Yili Chien, 2008. "Optimal Capital Taxation Under Limited Commitment," ANU Working Papers in Economics and Econometrics 2008-498, Australian National University, College of Business and Economics, School of Economics.
  31. 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.
  32. 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.
  33. Thomas Mertens, 2012. "Solving General Incomplete Market Models with Substantial Heterogeneity," 2012 Meeting Papers 1173, Society for Economic Dynamics.
  34. Eva Carceles-Poveda & Arpad Abraham, 2005. "Complete Markets, Enforcement Constraints and Intermediation," 2005 Meeting Papers 661, Society for Economic Dynamics.
  35. 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.
  36. Paul Willen & Felix Kubler, 2006. "Collateralized Borrowing And Life-Cycle Portfolio Choice," 2006 Meeting Papers 578, Society for Economic Dynamics.
  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. 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.).
  39. Yili Chien & Harold Cole & Hanno Lustig, 2011. "A Multiplier Approach to Understanding the Macro Implications of Household Finance," Review of Economic Studies, Oxford University Press, vol. 78(1), pages 199-234.
  40. Liu, Weimin, 2006. "A liquidity-augmented capital asset pricing model," Journal of Financial Economics, Elsevier, vol. 82(3), pages 631-671, December.
  41. Juan Pablo Medina, 2004. "Endogenous Financial Constraints: Persistence and Interest Rate Fluctuations," Working Papers Central Bank of Chile 290, Central Bank of Chile.
  42. 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.
  43. Adrien Verdelhan & Nicola Borri, 2010. "Sovereign Risk Premia," 2010 Meeting Papers 1122, Society for Economic Dynamics.
  44. Yili Chien & Harold Cole & Hanno Lustig, . "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.
  45. 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.
  46. Eva Carceles-Poveda & Arpad Abraham, 2007. "Risk Sharing under Limited Committment," 2007 Meeting Papers 818, Society for Economic Dynamics.
  47. Kilenthong, Weerachart & Townsend, Robert, 2007. "Market Based, Segregated Exchanges with Default Risk," MPRA Paper 20724, University Library of Munich, Germany, revised 12 Nov 2009.
  48. Lin, Ji-Chai & Singh, Ajai K. & Sun, Ping-Wen (Steven) & Yu, Wen, 2014. "Price delay premium and liquidity risk," Journal of Financial Markets, Elsevier, vol. 17(C), pages 150-173.
  49. Lars Peter Hansen, 2012. "Risk Pricing over Alternative Investment Horizons," Working Papers 2012-008, Becker Friedman Institute for Research In Economics.
  50. Professor George M Constantinides, 2005. "Market Oganization and the prices of financial Assets," Money Macro and Finance (MMF) Research Group Conference 2005 49, Money Macro and Finance Research Group.
  51. 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.
  52. Weerachart Kilenthong, 2011. "Collateral premia and risk sharing under limited commitment," Economic Theory, Springer, vol. 46(3), pages 475-501, April.
  53. Lars Peter Hansen, 2008. "Modeling the Long Run: Valuation in Dynamic Stochastic Economies," NBER Working Papers 14243, National Bureau of Economic Research, Inc.
  54. Athanasios Geromichalos & Jiwon Lee & Seungduck Lee & Keita Oikawa, 2014. "Over-the-Counter Trade and the Value of Assets as Collateral," Working Papers 143, University of California, Davis, Department of Economics.
  55. Jonathan P Thomas & Tim Worrall, 2002. "Unemployment Insurance under Moral Hazard and Limited Commitment: Public vs Private Provision," Public Economics 0211002, EconWPA.
  56. Magill, Michael & Quinzii, Martine, 2015. "Prices and investment with collateral and default," Journal of Economic Dynamics and Control, Elsevier, vol. 51(C), pages 111-132.
  57. Indrajit Mitra & Leonid Kogan, 2014. "Accuracy Verification for Numerical Solutions of Equilibrium Models," 2014 Meeting Papers 423, Society for Economic Dynamics.
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