NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Publications by Hanno Lustig

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers onlyInformation about this author at RePEc

Working Papers and Chapters

July 2014Implications of Heterogeneity in Preferences, Beliefs and Asset Trading Technologies for the Macroeconomy
with YiLi Chien, Harold L. Cole, Hanno Lustig: w20328
April 2014The Common Factor in Idiosyncratic Volatility: Quantitative Asset Pricing Implications
with Bernard Herskovic, Bryan T. Kelly, Hanno Lustig, Stijn Van Nieuwerburgh: w20076
November 2013The Term Structure of Currency Carry Trade Risk Premia
with Hanno Lustig, Andreas Stathopoulos, Adrien Verdelhan: w19623
September 2013Firm Volatility in Granular Networks
with Bryan Kelly, Hanno Lustig, Stijn Van Nieuwerburgh: w19466
July 2013Deflation Risk
with Matthias Fleckenstein, Francis A. Longstaff, Hanno Lustig: w19238
June 2011Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees
with Bryan T. Kelly, Hanno Lustig, Stijn Van Nieuwerburgh: w17149
November 2010Size Anomalies in U.S. Bank Stock Returns: A Fiscal Explanation
with Priyank Gandhi, Hanno Lustig: w16553

Size Anomalies in Bank Stock Returns (joint with Priyank Gandhi), forthcoming in Journal of Finance.

October 2010How Does the U.S. Government Finance Fiscal Shocks?
with Antje Berndt, Hanno Lustig, Sevin Yeltekin: w16458

Published: Antje Berndt & Hanno Lustig & Sevin Yeltekin, 2012. "How Does the US Government Finance Fiscal Shocks?," American Economic Journal: Macroeconomics, American Economic Association, vol. 4(1), pages 69-104, January. citation courtesy of

September 2010Countercyclical Currency Risk Premia
with Hanno Lustig, Nikolai Roussanov, Adrien Verdelhan: w16427

Published: Lustig, Hanno & Roussanov, Nikolai & Verdelhan, Adrien, 2014. "Countercyclical currency risk premia," Journal of Financial Economics, Elsevier, vol. 111(3), pages 527-553. citation courtesy of

Why Does the Treasury Issue Tips? The Tips-Treasury Bond Puzzle
with Matthias Fleckenstein, Francis A. Longstaff, Hanno Lustig: w16358

Published: The TIPS—Treasury Bond Puzzle* The Journal of Finance Accepted manuscript online: 30 JAN 2013, Matthias Fleckenstein, Francis A. Longstaff and Hanno Lustig DOI: 10.1111/jofi.12032

January 2010The Cross-Section and Time-Series of Stock and Bond Returns
with Ralph S.J. Koijen, Hanno Lustig, Stijn Van Nieuwerburgh: w15688
September 2009Is the Volatility of the Market Price of Risk due to Intermittent Portfolio Re-balancing?
with Yi-Li Chien, Harold L. Cole, Hanno Lustig: w15382

Published: 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 2859-96, October. citation courtesy of

April 2009Comment on "Carry Trades and Currency Crashes"
with Hanno Lustig, Adrien Verdelhan
in NBER Macroeconomics Annual 2008, Volume 23, Daron Acemoglu, Kenneth Rogoff and Michael Woodford, editors
January 2009Technological Change and the Growing Inequality in Managerial Compensation
with Hanno Lustig, Chad Syverson, Stijn Van Nieuwerburgh: w14661

Published: 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. citation courtesy of

June 2008Common Risk Factors in Currency Markets
with Hanno Lustig, Nikolai Roussanov, Adrien Verdelhan: w14082

Published: Rev. Financ. Stud. (2011) doi: 10.1093/rfs/hhr068 First published online: August 30, 2011

March 2008The Wealth-Consumption Ratio
with Hanno Lustig, Stijn Van Nieuwerburgh, Adrien Verdelhan: w13896

Published: Rev Asset Pric Stud (2013) 3 (1): 38-94. doi: 10.1093/rapstu/rat002 First published online: April 11, 2013

February 2008The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: A Reply
with Hanno Lustig, Adrien Verdelhan: w13812

Published: 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. citation courtesy of

November 2007Evaluating Asset Pricing Models with Limited Commitment using Household Consumption Data
with Dirk Krueger, Hanno Lustig, Fabrizio Perri: w13650

Published: 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. citation courtesy of

A Multiplier Approach to Understanding the Macro Implications of Household Finance
with YiLi Chien, Harold Cole, Hanno Lustig: w13555

Published: 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. citation courtesy of

December 2006Can Housing Collateral Explain Long-Run Swings in Asset Returns?
with Hanno Lustig, Stijn Van Nieuwerburgh: w12766
October 2006When is Market Incompleteness Irrelevant for the Price of Aggregate Risk (and when is it not)?
with Dirk Krueger, Hanno Lustig: w12634

Published: 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. citation courtesy of

October 2005Fiscal Hedging and the Yield Curve
with Hanno Lustig, Christopher Sleet, Sevin Yeltekin: w11687

Published: Lustig, Hanno, Chris Sleet, and Sevin Yeltekin. "Fiscal Hedging with Nominal Assets." Journal of Monetary Economics 55, 4(2008).

August 2005The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street
with Hanno Lustig, Stijn Van Nieuwerburgh: w11564

Published: Hanno Lustig & Stijn Van Nieuwerburgh, 2008. "The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 21(5), pages 2097-2137, September. citation courtesy of

February 2005The Market Price of Aggregate Risk and the Wealth Distribution
with Hanno Lustig, Yi-Li Chien: w11132

Published: YiLi Chien & Hanno Lustig, 2010. "The Market Price of Aggregate Risk and the Wealth Distribution," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 23(4), pages 1596-1650, April. citation courtesy of

The Cross-Section of Currency Risk Premia and US Consumption Growth Risk
with Hanno Lustig, Adrien Verdelhan: w11104

Published: 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.

December 2004A Theory of Housing Collateral, Consumption Insurance and Risk Premia
with Hanno Lustig, Stijn Van Nieuwerburgh: w10955
May 2004How Much Does Household Collateral Constrain Regional Risk Sharing?
with Hanno Lustig, Stijn Van Nieuwerburgh: w10505

Published: Hanno Lustig & Stijn Van Nieuwerburgh. "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 2010. "How Much Does Household Collateral Constrain Regional Risk Sharing?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics. citation courtesy of

September 2003Housing Collateral, Consumption Insurance and Risk Premia: An Empirical Perpective
with Hanno Lustig, Stijn Van Nieuwerburgh: w9959

Published: 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, 06. citation courtesy of

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers onlyInformation about this author at RePEc

 
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