NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Publications by Hanno Lustig

Contact and additional information for this authorAll papers and publicationsWorking Papers onlyWorking Papers with publication info

Working Papers and Chapters

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
October 2010How Does the U.S. Government Finance Fiscal Shocks?
with Antje Berndt, Hanno Lustig, Sevin Yeltekin: w16458
September 2010Countercyclical Currency Risk Premia
with Hanno Lustig, Nikolai Roussanov, Adrien Verdelhan: w16427
Why Does the Treasury Issue Tips? The Tips–Treasury Bond Puzzle
with Matthias Fleckenstein, Francis A. Longstaff, Hanno Lustig: w16358
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
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
June 2008Common Risk Factors in Currency Markets
with Hanno Lustig, Nikolai Roussanov, Adrien Verdelhan: w14082
March 2008The Wealth-Consumption Ratio
with Hanno Lustig, Stijn Van Nieuwerburgh, Adrien Verdelhan: w13896
February 2008The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: A Reply
with Hanno Lustig, Adrien Verdelhan: w13812
November 2007Evaluating Asset Pricing Models with Limited Commitment using Household Consumption Data
with Dirk Krueger, Hanno Lustig, Fabrizio Perri: w13650
A Multiplier Approach to Understanding the Macro Implications of Household Finance
with YiLi Chien, Harold Cole, Hanno Lustig: w13555
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
October 2005Fiscal Hedging and the Yield Curve
with Hanno Lustig, Christopher Sleet, Sevin Yeltekin: w11687
August 2005The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street
with Hanno Lustig, Stijn Van Nieuwerburgh: w11564
February 2005The Market Price of Aggregate Risk and the Wealth Distribution
with Hanno Lustig, Yi-Li Chien: w11132
The Cross-Section of Currency Risk Premia and US Consumption Growth Risk
with Hanno Lustig, Adrien Verdelhan: w11104
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
September 2003Housing Collateral, Consumption Insurance and Risk Premia: An Empirical Perpective
with Hanno Lustig, Stijn Van Nieuwerburgh: w9959

Contact and additional information for this authorAll papers and publicationsWorking Papers onlyWorking Papers with publication info

 
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