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1

Housing Collateral, Consumption Insurance, and Risk Premia: An Empirical Perspective

HANNO N. LUSTIG, STIJN G. VAN NIEUWERBURGH

Journal:

The Journal of Finance

Year:

2005

Language:

english

File:

PDF, 321 KB

english, 2005

2

Is the Volatility of the Market Price of Risk Due to Intermittent Portfolio Rebalancing?

Chien, YiLi, Cole, Harold, Lustig, Hanno

Journal:

American Economic Review

Year:

2012

Language:

english

File:

PDF, 1.45 MB

english, 2012

3

Common Risk Factors in Currency Markets

Hanno Lustig, Nikolai Roussanov and Adrien Verdelhan

Journal:

Review of Financial Studies

Year:

2011

Language:

english

File:

PDF, 3.38 MB

english, 2011

4

Countercyclical currency risk premia

Lustig, Hanno, Roussanov, Nikolai, Verdelhan, Adrien

Journal:

Journal of Financial Economics

Year:

2014

Language:

english

File:

PDF, 845 KB

english, 2014

5

Too-Systemic-to-Fail: What Option Markets Imply about Sector-Wide Government Guarantees †

Kelly, Bryan, Lustig, Hanno, Van Nieuwerburgh, Stijn

Journal:

American Economic Review

Year:

2016

Language:

english

File:

PDF, 961 KB

english, 2016

6

Foreign Safe Asset Demand for US Treasurys and the Dollar

Jiang, Zhengyang, Krishnamurthy, Arvind, Lustig, Hanno

Journal:

American Economic Association Papers and Proceedings

Year:

2018

Language:

english

File:

PDF, 882 KB

english, 2018

7

Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?

Lustig, Hanno, Verdelhan, Adrien

Journal:

American Economic Review

Year:

2019

Language:

english

File:

PDF, 816 KB

english, 2019

8

The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk: Reply

Hanno Lustig and Adrien Verdelhan

Journal:

American Economic Review

Year:

2011

Language:

english

File:

PDF, 2.44 MB

english, 2011

9

The TIPS-Treasury Bond Puzzle

FLECKENSTEIN, MATTHIAS, LONGSTAFF, FRANCIS A., LUSTIG, HANNO

Journal:

The Journal of Finance

Year:

2014

Language:

english

File:

PDF, 456 KB

english, 2014

10

The Market Price of Aggregate Risk and the Wealth Distribution

YiLi Chien and Hanno Lustig

Journal:

Review of Financial Studies

Year:

2010

Language:

english

File:

PDF, 3.34 MB

english, 2010

11

Size Anomalies in U.S. Bank Stock Returns

GANDHI, PRIYANK, LUSTIG, HANNO

Journal:

The Journal of Finance

Year:

2015

Language:

english

File:

PDF, 358 KB

english, 2015

12

Long Run Risk, the Wealth-Consumption Ratio, and the Temporal Pricing of Risk

Koijen, Ralph S.J, Lustig, Hanno, Van Nieuwerburgh, Stijn, Verdelhan, Adrien

Journal:

American Economic Review

Year:

2010

Language:

english

File:

PDF, 93 KB

english, 2010

13

The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk: Reply

Lustig, Hanno, Verdelhan, Adrien

Journal:

American Economic Review

Year:

2011

Language:

english

File:

PDF, 1.11 MB

english, 2011

14

Technological change and the growing inequality in managerial compensation

Hanno Lustig, Chad Syverson, Stijn Van Nieuwerburgh

Journal:

Journal of Financial Economics

Year:

2011

Language:

english

File:

PDF, 886 KB

english, 2011

15

The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk

Hanno Lustig and Adrien Verdelhan

Journal:

American Economic Review

Year:

2007

Language:

english

File:

PDF, 3.79 MB

english, 2007

16

Business cycle variation in the risk-return trade-off

Lustig, Hanno, Verdelhan, Adrien

Journal:

Journal of Monetary Economics

Year:

2012

Language:

english

File:

PDF, 283 KB

english, 2012

17

PAPERS AND PROCEEDINGS OF THE One Hundred Twenty Second Annual Meeting OF THE AMERICAN ECONOMIC ASSOCIATION || Long Run Risk, the Wealth-Consumption Ratio, and the Temporal Pricing of Risk

Ralph S.J. Koijen, Hanno Lustig, Stijn Van Nieuwerburgh and Adrien Verdelhan

Journal:

American Economic Review

Year:

2010

Language:

english

File:

PDF, 634 KB

english, 2010

18

Size Anomalies in U.S. Bank Stock Returns

GANDHI, PRIYANK, LUSTIG, HANNO

Journal:

The Journal of Finance

Year:

2013

Language:

english

File:

PDF, 655 KB

english, 2013

19

Is the Volatility of the Market Price of Risk Due to Intermittent Portfolio Rebalancing?

YiLi Chien, Harold Cole and Hanno Lustig

Journal:

American Economic Review

Year:

2012

Language:

english

File:

PDF, 4.38 MB

english, 2012

20

Housing Collateral, Consumption Insurance, and Risk Premia: An Empirical Perspective

Hanno N. Lustig and Stijn G. Van Nieuwerburgh

Journal:

The Journal of Finance

Year:

2005

Language:

english

File:

PDF, 6.00 MB

english, 2005

21

The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk

Lustig, Hanno, Verdelhan, Adrien

Journal:

American Economic Review

Year:

2007

Language:

english

File:

PDF, 252 KB

english, 2007

22

The Cross-Section and Time Series of Stock and Bond Returns

Koijen, Ralph S.J., Lustig, Hanno, Van Nieuwerburgh, Stijn

Journal:

Journal of Monetary Economics

Year:

2017

Language:

english

File:

PDF, 827 KB

english, 2017

23

Deflation Risk

Fleckenstein, Matthias, Longstaff, Francis A., Lustig, Hanno

Journal:

Review of Financial Studies

Year:

2017

Language:

english

File:

PDF, 680 KB

english, 2017

24

The Cross-Section and Time-Series of Stock and Bond Returns

Koijen, Ralph S. J., Lustig, Hanno N., Van Nieuwerburgh, Stijn

Journal:

SSRN Electronic Journal

Year:

2012

Language:

english

File:

PDF, 585 KB

english, 2012

25

Size Anomalies in U.S. Bank Stock Returns

Gandhi, Priyank, Lustig, Hanno N.

Journal:

SSRN Electronic Journal

Year:

2010

Language:

english

File:

PDF, 671 KB

english, 2010

26

Reply to Amit Goyal's 'Comment on Size Anomalies in U.S. Bank Stock Returns'

Gandhi, Priyank, Lustig, Hanno N.

Journal:

SSRN Electronic Journal

Year:

2014

Language:

english

File:

PDF, 136 KB

english, 2014

27

The Term Structure of Currency Carry Trade Risk Premia

Lustig, Hanno N., Stathopoulos, Andreas, Verdelhan, Adrien

Journal:

SSRN Electronic Journal

Year:

2013

Language:

english

File:

PDF, 1.19 MB

english, 2013

28

Dollar Safety and the Global Financial Cycle

Jiang, Zhengyang, Krishnamurthy, Arvind, Lustig, Hanno N.

Journal:

SSRN Electronic Journal

Year:

2019

Language:

english

File:

PDF, 1010 KB

english, 2019

29

EXCHANGE RATES, PRICES AND INTERNATIONAL TRADE IN A MODEL OF ENDOGENOUS MARKET STRUCTURE

YUNUS AKSOY, HANNO LUSTIG

Journal:

The Manchester School

Year:

2007

Language:

english

File:

PDF, 304 KB

english, 2007

30

EVALUATING ASSET PRICING MODELS WITH LIMITED COMMITMENT USING HOUSEHOLD CONSUMPTION DATA

Dirk Krueger, Hanno Lustig, Fabrizio Perri

Journal:

Journal of the European Economic Association

Year:

2008

Language:

english

File:

PDF, 163 KB

english, 2008

31

When is market incompleteness irrelevant for the price of aggregate risk (and when is it not)?

Dirk Krueger, Hanno Lustig

Journal:

Journal of Economic Theory

Year:

2010

Language:

english

File:

PDF, 356 KB

english, 2010

32

Fiscal hedging with nominal assets

Hanno Lustig, Christopher Sleet, Şevin Yeltekin

Journal:

Journal of Monetary Economics

Year:

2008

Language:

english

File:

PDF, 413 KB

english, 2008

33

How much does household collateral constrain regional risk sharing?

Hanno Lustig, Stijn Van Nieuwerburgh

Journal:

Review of Economic Dynamics

Year:

2010

Language:

english

File:

PDF, 846 KB

english, 2010

34

INVESTING IN FOREIGN CURRENCY IS LIKE BETTING ON YOUR INTERTEMPORAL MARGINAL RATE OF SUBSTITUTION

Hanno Lustig, Adrien Verdelhan

Journal:

Journal of the European Economic Association

Year:

2006

Language:

english

File:

PDF, 83 KB

english, 2006

35

The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street

Lustig, Hanno, Van Nieuwerburgh, Stijn

Journal:

Review of Financial Studies

Year:

2008

Language:

english

File:

PDF, 332 KB

english, 2008

36

Comment

Hanno Lustig and Adrien Verdelhan

Journal:

NBER Macroeconomics Annual

Year:

2008

Language:

english

File:

PDF, 537 KB

english, 2008

37

Papers and Proceedings of the Twentieth Annual Congress of the European Economic Association || Investing in Foreign Currency is Like Betting on Your Intertemporal Marginal Rate of Substitution

Hanno Lustig and Adrien Verdelhan

Journal:

Journal of the European Economic Association

Year:

2006

Language:

english

File:

PDF, 925 KB

english, 2006

38

Proceedings of the Twenty-Second Annual Congress of the European Economic Association || Evaluating Asset Pricing Models with Limited Commitment Using Household Consumption Data

Dirk Krueger, Fabrizio Perri and Hanno Lustig

Journal:

Journal of the European Economic Association

Year:

2008

Language:

english

File:

PDF, 1001 KB

english, 2008

39

Common Risk Factors in Currency Markets

Lustig, Hanno, Roussanov, Nikolai, Verdelhan, Adrien

Journal:

Review of Financial Studies

Year:

2011

Language:

english

File:

PDF, 264 KB

english, 2011

40

Discussion of ‘Microeconomic uncertainty, international trade and aggregate fluctuations’

Journal:

Journal of Monetary Economics

Year:

2015

Language:

english

File:

PDF, 170 KB

english, 2015

41

The Market Price of Aggregate Risk and the Wealth Distribution

Chien, YiLi, Lustig, Hanno

Journal:

Review of Financial Studies

Year:

2010

Language:

english

File:

PDF, 822 KB

english, 2010

42

Implications of heterogeneity in preferences, beliefs and asset trading technologies in an endowment economy

Chien, YiLi, Cole, Harold, Lustig, Hanno

Journal:

Review of Economic Dynamics

Year:

2015

Language:

english

File:

PDF, 1.51 MB

english, 2015

43

A Multiplier Approach to Understanding the Macro Implications of Household Finance

YILI CHIEN, HAROLD COLE and HANNO LUSTIG

Journal:

Review of Economic Studies

Year:

2011

Language:

english

File:

PDF, 2.90 MB

english, 2011

44

How Does The US Government Finance Fiscal Shocks?

Berndt, Antje, Lustig, Hanno, Yeltekin, Şevin

Journal:

American Economic Journal Macroeconomics

Year:

2012

Language:

english

File:

PDF, 1.21 MB

english, 2012

45

The Returns on Human Capital: Good News on Wall Street Is Bad News on Main Street

Hanno Lustig and Stijn Van Nieuwerburgh

Journal:

Review of Financial Studies

Year:

2008

Language:

english

File:

PDF, 3.68 MB

english, 2008

46

Is the Volatility of the Market Price of Risk Due to Intermittent Portfolio Re-Balancing?

Chien, YiLi, Cole, Harold L., Lustig, Hanno N.

Journal:

SSRN Electronic Journal

Year:

2010

Language:

english

File:

PDF, 584 KB

english, 2010

47

A Multiplier Approach to Understanding the Macro Implications of Household Finance

Chien, YiLi, Cole, Harold L., Lustig, Hanno N.

Journal:

SSRN Electronic Journal

Year:

2010

Language:

english

File:

PDF, 399 KB

english, 2010

48

How Much Does Household Collateral Constrain Regional Risk Sharing?

Lustig, Hanno N., Van Nieuwerburgh, Stijn

Journal:

SSRN Electronic Journal

Year:

2008

Language:

english

File:

PDF, 837 KB

english, 2008

49

Countercyclical Currency Risk Premia

Lustig, Hanno N., Roussanov, Nikolai L., Verdelhan, Adrien

Journal:

SSRN Electronic Journal

Year:

2012

Language:

english

File:

PDF, 472 KB

english, 2012

50

Business Cycle Variation in the Risk-Return Trade-Off

Lustig, Hanno N., Verdelhan, Adrien

Journal:

SSRN Electronic Journal

Year:

2011

Language:

english

File:

PDF, 409 KB

english, 2011