Hanno Lustig : Citation Profile


Are you Hanno Lustig?

University of California-Los Angeles (UCLA)
National Bureau of Economic Research (NBER)

19

H index

28

i10 index

1310

Citations

RESEARCH PRODUCTION:

17

Articles

73

Papers

1

Chapters

RESEARCH ACTIVITY:

   28 years (1990 - 2018). See details.
   Cites by year: 46
   Journals where Hanno Lustig has often published
   Relations with other researchers
   Recent citing documents: 154.    Total self citations: 32 (2.38 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/plu17
   Updated: 2018-10-20    RAS profile: 2015-07-16    
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Relations with other researchers


Works with:

Chien, YiLi (4)

Van Nieuwerburgh, Stijn (2)

Naknoi, Kanda (2)

Verdelhan, Adrien (2)

Cole, Harold (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Hanno Lustig.

Is cited by:

Nitschka, Thomas (34)

Sarno, Lucio (29)

Schrimpf, Andreas (26)

Weber, Michael (25)

Van Nieuwerburgh, Stijn (24)

Schmeling, Maik (20)

Chien, YiLi (20)

Sousa, Ricardo (17)

koijen, ralph (17)

Ludvigson, Sydney (14)

Hassan, Tarek (14)

Cites to:

Campbell, John (90)

Hansen, Lars (31)

Alvarez, Fernando (24)

Levine, David (23)

Cochrane, John (23)

Jermann, Urban (23)

Lucas, Robert (23)

Kehoe, Patrick (22)

Yaron, Amir (20)

Lettau, Martin (20)

Rogoff, Kenneth (20)

Main data


Where Hanno Lustig has published?


Journals with more than one article published# docs
American Economic Review4
Review of Financial Studies3
Review of Economic Dynamics2
Journal of the European Economic Association2

Working Papers Series with more than one paper published# docs
Boston University - Department of Economics - Working Papers Series / Boston University - Department of Economics4
2004 Meeting Papers / Society for Economic Dynamics3
GSIA Working Papers / Carnegie Mellon University, Tepper School of Business2
2011 Meeting Papers / Society for Economic Dynamics2
2008 Meeting Papers / Society for Economic Dynamics2

Recent works citing Hanno Lustig (2018 and 2017)


YearTitle of citing document
2018Uncovered Return Parity: Equity Returns and Currency Returns. (2018). Dunbar, Geoffrey ; Djeutem, Edouard. In: Staff Working Papers. RePEc:bca:bocawp:18-22.

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2017Monetary Policy through Production Networks: Evidence from the Stock Market. (2017). Weber, Michael ; Ozdagli, Ali. In: Working Papers. RePEc:bfi:wpaper:2017-07.

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2018Frontiers of macrofinancial linkages. (2018). Claessens, Stijn ; Kose, Ayhan M. In: BIS Papers. RePEc:bis:bisbps:95.

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2018Structural changes in banking after the crisis. (2018). Bank for International Settlements, . In: CGFS Papers. RePEc:bis:biscgf:60.

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2018Price rigidities and the granular origins of aggregate fluctuations. (2018). Weber, Michael ; Schoenle, Raphael ; Pasten, Ernosto. In: Research Discussion Papers. RePEc:bof:bofrdp:2018_003.

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2017The Global Equity Premium Revisited: What Human Rights Imply for Assets’ Purchasing Power. (2017). Biakowski, Jdrzej ; Ronn, Ehud I. In: Working Papers in Economics. RePEc:cbt:econwp:17/19.

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2017Fat tails and spurious estimation of consumption-based asset pricing models. (2017). Toda, Alexis Akira ; Walsh, Kieran James. In: University of California at San Diego, Economics Working Paper Series. RePEc:cdl:ucsdec:qt8df3x7gw.

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2017Redistribution of Local Labor Market Shocks through Firms’ Internal Networks. (2017). Giroud, Xavier ; Mueller, Holger M. In: Working Papers. RePEc:cen:wpaper:17-03.

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2017The Cross-Section of Labor Leverage and Equity Returns*. (2017). Kehrig, Matthias ; Gourio, Francois ; Palacios, Miguel ; Donangelo, Andres. In: Working Papers. RePEc:cen:wpaper:17-70.

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2017The Paradox of the Joneses: Superstar Houses and Mortgage Frenzy in Suburban America. (2017). Bellet, Clement . In: CEP Discussion Papers. RePEc:cep:cepdps:dp1462.

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2017Monetary Policy through Production Networks: Evidence from the Stock Market. (2017). Weber, Michael ; Ozdagli, Ali. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6486.

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2017Why Does Idiosyncratic Risk Increase with Market Risk?. (2017). Bartram, Söhnke ; Stulz, Rene M ; Brown, Gregory . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6560.

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2017Price Rigidities and the Granular Origins of Aggregate Fluctuations. (2017). Weber, Michael ; Pasten, Ernesto ; Schoenle, Raphael S. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6619.

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2018Uncertainty and Economic Activity: A Multi-Country Perspective. (2018). Rebucci, Alessandro ; Pesaran, M ; Cesa-Bianchi, Ambrogio. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6910.

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2017Productivity and Misallocation in General Equilibrium. (2017). Farhi, Emmanuel ; Baqaee, David. In: Discussion Papers. RePEc:cfm:wpaper:1735.

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2017The Quanto Theory of Exchange Rates. (2017). Martin, Ian ; Kremens, Lukas . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11970.

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2017Gradual Portfolio Adjustment: Implications for Global Equity Portfolios and Returns. (2017). Bacchetta, Philippe ; van Wincoop, Eric. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11983.

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2017Changes in the Cost of Bank Equity and the Supply of Bank Credit. (2017). Ongena, Steven ; Kick, Thomas ; Celerier, Claire. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12172.

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2017Quantile Factor Models. (2017). Gonzalo, Jesus ; Dolado, Juan ; Chen, Liang ; Muoz, Jesus Gonzalo. In: UC3M Working papers. Economics. RePEc:cte:werepe:25299.

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2018Estimating a Latent Risk Premium in Exchange Rate Futures. (2018). Bernoth, Kerstin ; de Vries, Casper G ; von Hagen, Jurgen. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1733.

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2017High Frequency Trading and Fragility. (2017). Vives, Xavier ; Cespa, Giovanni . In: IESE Research Papers. RePEc:ebg:iesewp:d-1161.

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2018Carry trades and economic policy uncertainty: measuring the political dimension of the forward rate bias in emerging countries. (2018). Araki, Michael E ; Antonio, ; Klotzle, Marcelo Cabus. In: Economics Bulletin. RePEc:ebl:ecbull:eb-18-00310.

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2018Structural policies in the euro area. (2018). Masuch, Klaus ; Benalal, Nicholai ; Setzer, Ralph ; Anderton, Robert. In: Occasional Paper Series. RePEc:ecb:ecbops:2018210.

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2017High frequency trading and fragility. (2017). Vives, Xavier ; Cespa, Giovanni . In: Working Paper Series. RePEc:ecb:ecbwps:20172020.

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2017Price rigidities and the granular origins of aggregate fluctuations. (2017). Weber, Michael ; Pasten, Ernesto ; Schoenle, Raphael. In: Working Paper Series. RePEc:ecb:ecbwps:20172102.

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2018From carry trades to curvy trades. (2018). Kostka, Thomas ; Gräb, Johannes ; Grab, Johannes ; Dreher, Ferdinand. In: Working Paper Series. RePEc:ecb:ecbwps:20182149.

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2018Credit default swaps and firms financing policies. (2018). Fuller, Kathleen P ; Uymaz, Yurtsev ; Yildiz, Serhat . In: Journal of Corporate Finance. RePEc:eee:corfin:v:48:y:2018:i:c:p:34-48.

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2017Empirical properties of a heterogeneous agent model in large dimensions. (2017). Coqueret, Guillaume. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:77:y:2017:i:c:p:180-201.

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2018Dispersion in macroeconomic volatility between the core and periphery of the international trade network. (2018). Chakrabarti, Anindya S. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:88:y:2018:i:c:p:31-50.

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2018Comments on “Exploiting MIT shocks in heterogeneous-agent economies: The impulse response as a numerical derivative” by T. Boppart, P. Krusell and K. Mitman. (2018). Reiter, Michael. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:89:y:2018:i:c:p:93-99.

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2018Solving an incomplete markets model with a large cross-section of agents. (2018). Mertens, Thomas M ; Judd, Kenneth L. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:349-368.

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2018Directional predictability and time-varying spillovers between stock markets and economic cycles. (2018). Shahzad, Syed Jawad Hussain ; Bekiros, Stelios ; Ur, Mobeen ; Arreola-Hernandez, Jose ; Hussain, Syed Jawad. In: Economic Modelling. RePEc:eee:ecmode:v:69:y:2018:i:c:p:301-312.

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2018Optimal combination of currency strategies. (2018). Laborda, Ricardo. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:43:y:2018:i:c:p:129-140.

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2017Volatility and expected option returns: A note. (2017). Chaudhury, MO. In: Economics Letters. RePEc:eee:ecolet:v:152:y:2017:i:c:p:1-4.

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2017Using principal component analysis to estimate a high dimensional factor model with high-frequency data. (2017). Ait-Sahalia, Yacine ; Xiu, Dacheng. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:384-399.

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2018Resolution of policy uncertainty and sudden declines in volatility. (2018). Amengual, Dante ; Xiu, Dacheng. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:2:p:297-315.

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2018A class of tractable incomplete-market models for studying asset returns and risk exposure. (2018). Legrand, Franois ; Ragot, Xavier ; le Grand, Franois. In: European Economic Review. RePEc:eee:eecrev:v:103:y:2018:i:c:p:39-59.

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2017Customer-base concentration and the transmission of idiosyncratic volatility along the vertical chain. (2017). Mihov, Atanas ; Naranjo, Andy. In: Journal of Empirical Finance. RePEc:eee:empfin:v:40:y:2017:i:c:p:73-100.

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2018Global macro risks in currency excess returns. (2018). Berg, Kimberly ; Mark, Nelson C. In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:300-315.

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2017Firm life cycle and idiosyncratic volatility. (2017). Hasan, Mostafa Monzur ; Habib, Ahsan. In: International Review of Financial Analysis. RePEc:eee:finana:v:50:y:2017:i:c:p:164-175.

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2018Return dispersion risk in FX and global equity markets: Does it explain currency momentum?. (2018). Grobys, Klaus ; Kolari, James ; Heinonen, Jari-Pekka . In: International Review of Financial Analysis. RePEc:eee:finana:v:56:y:2018:i:c:p:264-280.

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2017Human capital measures and stock return predictability: Macroeconomic versus microeconomic approaches. (2017). Lee, Jaeram ; Ryu, Doojin ; Ihm, Jungjoon . In: Finance Research Letters. RePEc:eee:finlet:v:21:y:2017:i:c:p:53-56.

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2018Do precious and industrial metals act as hedges and safe havens for currency portfolios?. (2018). Sakemoto, Ryuta. In: Finance Research Letters. RePEc:eee:finlet:v:24:y:2018:i:c:p:256-262.

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2017Sovereign debt maturity structure under asymmetric information. (2017). Perez, Diego J. In: Journal of International Economics. RePEc:eee:inecon:v:108:y:2017:i:c:p:243-259.

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2017Disaster risk and asset returns: An international perspective. (2017). Liu, Edith ; Lewis, Karen K. In: Journal of International Economics. RePEc:eee:inecon:v:108:y:2017:i:s1:p:s42-s58.

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2017Predicting risk premium under changes in the conditional distribution of stock returns. (2017). Sousa, Ricardo. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:50:y:2017:i:c:p:204-218.

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2018Common information in carry trade risk factors. (2018). Sakemoto, Ryuta ; Byrne, Joseph ; Ibrahim, Boulis Maher. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:52:y:2018:i:c:p:37-47.

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2017The joint cross-sectional variation of equity returns and volatilities. (2017). Gonzalez-Urteaga, Ana ; Rubio, Gonzalo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:75:y:2017:i:c:p:17-34.

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2017Financial contagion risk and the stochastic discount factor. (2017). Piccotti, Louis R. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:77:y:2017:i:c:p:230-248.

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2017Unemployment fluctuations and the predictability of currency returns. (2017). Nucera, Federico. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:84:y:2017:i:c:p:88-106.

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2017Stochastic idiosyncratic cash flow risk and real options: Implications for stock returns. (2017). Bhamra, Harjoat ; Shim, Kyung Hwan . In: Journal of Economic Theory. RePEc:eee:jetheo:v:168:y:2017:i:c:p:400-431.

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2017Productivity spillovers through labor mobility in search equilibrium. (2017). Preugschat, Edgar ; Moen, Espen ; Heggedal, Tom-Reiel. In: Journal of Economic Theory. RePEc:eee:jetheo:v:169:y:2017:i:c:p:551-602.

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2018Dynamic market participation and endogenous information aggregation. (2018). Yu, Edison. In: Journal of Economic Theory. RePEc:eee:jetheo:v:175:y:2018:i:c:p:491-517.

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2017Customer concentration and loan contract terms. (2017). Gao, Janet ; Campello, Murillo . In: Journal of Financial Economics. RePEc:eee:jfinec:v:123:y:2017:i:1:p:108-136.

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2017Variance risk premiums and the forward premium puzzle. (2017). Londono, Juan M ; Zhou, Hao. In: Journal of Financial Economics. RePEc:eee:jfinec:v:124:y:2017:i:2:p:415-440.

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2017Investor flows and fragility in corporate bond funds. (2017). Goldstein, Itay ; Ng, David T ; Jiang, Hao. In: Journal of Financial Economics. RePEc:eee:jfinec:v:126:y:2017:i:3:p:592-613.

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2017Bank rescues and bailout expectations: The erosion of market discipline during the financial crisis. (2017). Hett, Florian ; Schmidt, Alexander . In: Journal of Financial Economics. RePEc:eee:jfinec:v:126:y:2017:i:3:p:635-651.

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2018Carry. (2018). , Ralph ; Vrugt, Evert B ; Pedersen, Lasse Heje ; Moskowitz, Tobias J. In: Journal of Financial Economics. RePEc:eee:jfinec:v:127:y:2018:i:2:p:197-225.

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2018An intertemporal CAPM with stochastic volatility. (2018). Campbell, John ; Turley, Robert ; Polk, Christopher ; Giglio, Stefano. In: Journal of Financial Economics. RePEc:eee:jfinec:v:128:y:2018:i:2:p:207-233.

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2018Downside risks and the cross-section of asset returns. (2018). Farago, Adam ; Tedongap, Romeo. In: Journal of Financial Economics. RePEc:eee:jfinec:v:129:y:2018:i:1:p:69-86.

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2017Explaining exchange rate anomalies in a model with Taylor-rule fundamentals and consistent expectations. (2017). Lansing, Kevin ; Ma, Jun. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:70:y:2017:i:c:p:62-87.

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2017Violations of uncovered interest rate parity and international exchange rate dependences. (2017). Ames, Matthew ; Peters, Gareth W ; Bagnarosa, Guillaume . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:73:y:2017:i:pa:p:162-187.

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2017Systematic consumption risk in currency returns. (2017). Hoffmann, Mathias ; Studer-Suter, Rahel . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:74:y:2017:i:c:p:187-208.

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2017The first arrow hitting the currency target: A long-run risk perspective. (2017). Kano, Takashi ; Wada, Kenji . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:74:y:2017:i:c:p:337-352.

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2017Carry trade strategies based on option-implied information: Evidence from a cross-section of funding currencies. (2017). Chen, Shu-Hsiu. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:78:y:2017:i:c:p:1-20.

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2018Measuring the international dimension of output volatility. (2018). Iseringhausen, Martin ; Everaert, Gerdie. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:81:y:2018:i:c:p:20-39.

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2018Bond market evidence of time variation in exposures to global risk factors and the role of US monetary policy. (2018). Nitschka, Thomas. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:83:y:2018:i:c:p:44-54.

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2018Conditioning carry trades: Less risk, more return. (2018). Mulder, Arjen ; Tims, Ben . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:85:y:2018:i:c:p:1-19.

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2018Intertemporal equilibrium with heterogeneous agents, endogenous dividends and collateral constraints. (2018). Pham, Ngoc-Sang ; le Van, Cuong ; Bosi, Stefano. In: Journal of Mathematical Economics. RePEc:eee:mateco:v:76:y:2018:i:c:p:1-20.

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2017Collateral constraints and macroeconomic asymmetries. (2017). Iacoviello, Matteo ; Guerrieri, Luca. In: Journal of Monetary Economics. RePEc:eee:moneco:v:90:y:2017:i:c:p:28-49.

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2018Forecasting the CNY-CNH pricing differential: The role of investor attention. (2018). Yin, Libo ; Xu, Yang ; Han, Liyan. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:49:y:2018:i:c:p:232-247.

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2018The pricing effect of the common pattern in firm-level idiosyncratic volatility: Evidence from A-Share stocks of China. (2018). Yin, Libo ; Su, Zhi ; Shu, Tengjia. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:497:y:2018:i:c:p:218-235.

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2018Pricing the American options using the Black–Scholes pricing formula. (2018). Alghalith, Moawia. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:507:y:2018:i:c:p:443-445.

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2017The asymmetry in carry trade and the U.S. dollar. (2017). Wu, Chih-Chiang. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:65:y:2017:i:c:p:304-313.

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2017Measuring the financial soundness of U.S. firms, 1926–2012. (2017). Weill, Pierre-Olivier ; Eisfeldt, Andrea L ; Atkeson, Andrew G. In: Research in Economics. RePEc:eee:reecon:v:71:y:2017:i:3:p:613-635.

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2017A multi-sector growth model with technology diffusion and networks. (2017). Magalhães, Manuela ; Afonso, Oscar ; Magalhes, Manuela. In: Research Policy. RePEc:eee:respol:v:46:y:2017:i:7:p:1340-1359.

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2017Do cay and cayMS predict stock and housing returns? Evidence from a nonparametric causality test. (2017). Wohar, Mark ; Sousa, Ricardo ; GUPTA, RANGAN ; Balcilar, Mehmet. In: International Review of Economics & Finance. RePEc:eee:reveco:v:48:y:2017:i:c:p:269-279.

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2017Macroeconomic factors and index option returns. (2017). Lai, Ya-Wen. In: International Review of Economics & Finance. RePEc:eee:reveco:v:48:y:2017:i:c:p:452-477.

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2017Effect of net foreign assets on persistency of time-varying risk premium: Evidence from the Dollar-Yen exchange rate. (2017). Shimizu, Makoto. In: International Review of Economics & Finance. RePEc:eee:reveco:v:49:y:2017:i:c:p:255-265.

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2018Systematic exchange rate variation: Where does the dollar factor come from?. (2018). Lee, Kyuseok. In: International Review of Economics & Finance. RePEc:eee:reveco:v:56:y:2018:i:c:p:288-307.

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2017On the predictability of carry trade returns: The case of the Chinese Yuan. (2017). Sinnakkannu, Jothee ; Ramasamy, Sockalingam . In: Research in International Business and Finance. RePEc:eee:riibaf:v:39:y:2017:i:pa:p:358-376.

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2017The paradox of the Joneses: superstar houses andmortgage frenzy in suburban America. (2017). Bellet, Clement . In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:69044.

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2017Exchange rates and monetary policy uncertainty. (2017). Tahbaz-Salehi, Alireza ; Vedolin, Andrea ; Mueller, Philippe. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:77256.

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2017Productivity and misallocation in general equilibrium. (2017). Farhi, Emmanuel ; Baqaee, David. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:87170.

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2017Monetary policy through production networks: evidence from the stock market. (2017). Weber, Michael ; Ozdagli, Ali. In: Working Papers. RePEc:fip:fedbwp:17-15.

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2017Implementing the Modified Golden Rule? Optimal Ramsey Capital Taxation with Incomplete Markets Revisited. (2017). Chien, YiLi ; Yang, C C ; Chen, Yunmin. In: Working Papers. RePEc:fip:fedlwp:2017-003.

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2018Government Guarantees and the Valuation of American Banks. (2018). Weill, Pierre-Olivier ; Eisfeldt, Andrea L ; D'Avernas, Adrien ; Atkeson, Andrew. In: Staff Report. RePEc:fip:fedmsr:567.

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2017Horizon-dependent risk aversion and the timing and pricing of uncertainty. (2017). Schmalz, Martin ; Eisenbach, Thomas ; Andries, Marianne. In: Staff Reports. RePEc:fip:fednsr:703.

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2018Resolving “Too Big to Fail”. (2018). Cetorelli, Nicola ; Traina, James . In: Staff Reports. RePEc:fip:fednsr:859.

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2018A six-factor asset pricing model. (2018). Roy, Rahul ; Shijin, Santhakumar. In: Post-Print. RePEc:hal:journl:hal-01878923.

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2018Liquidity and exchange rate volatility. (2018). Hanh, Thi Hong. In: Working Papers. RePEc:hal:wpaper:halshs-01708633.

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2018Bubble on real estate: The role of altruism and fiscal policy. (2018). Clain-Chamosset, Lise ; Seegmuller, Thomas. In: Working Papers. RePEc:hal:wpaper:halshs-01885932.

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2017The Term Structure of Systematic and Idiosyncratic Risk. (2017). Prokopczuk, Marcel ; Simen, Chardin Wese ; Hollstein, Fabian . In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-618.

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2017House Prices, Home Equity, and Personal Debt Composition. (2017). Li, Jieying ; Zhang, Xin. In: Working Paper Series. RePEc:hhs:rbnkwp:0343.

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2018A Review of Norges Banks Active Management of the Government Pension Fund Global. (2018). Ødegaard, Bernt ; Dahlquist, Magnus . In: UiS Working Papers in Economics and Finance. RePEc:hhs:stavef:2018_001.

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2018Foreign Exchange Strategies Performance. (2018). del Castillo, Raul Alvarez ; Mata, Leovardo Mata ; Nuez, Jose Antonio . In: Remef - The Mexican Journal of Economics and Finance. RePEc:imx:journl:v:13:y:2018:i:2:p:195-245.

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2018The Anatomy of Public and Private Real Estate Return Premia. (2018). Kroencke, Tim ; Steininger, Bertram I ; Schindler, Felix. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:56:y:2018:i:3:d:10.1007_s11146-017-9646-8.

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2017Background risk in consumption and the equity risk premium. (2017). Semenov, Andrei . In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:48:y:2017:i:2:d:10.1007_s11156-016-0556-2.

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2017Gradual Portfolio Adjustment: Implications for Global Equity Portfolios and Returns. (2017). Bacchetta, Philippe ; van Wincoop, Eric. In: Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP). RePEc:lau:crdeep:17.05.

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2017Earnings Inequality and the Global Division of Labor: Evidence from the Executive Labor Market. (2017). Schymik, Jan. In: Discussion Papers in Economics. RePEc:lmu:muenec:38385.

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2018Intertemporal equilibrium with heterogeneous agents, endogenous dividends and collateral constraints. (2018). Pham, Ngoc-Sang ; le Van, Cuong ; Bosi, Stefano. In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:15067rr.

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More than 100 citations found, this list is not complete...

Works by Hanno Lustig:


YearTitleTypeCited
2010Long Run Risk, the Wealth-Consumption Ratio, and the Temporal Pricing of Risk In: American Economic Review.
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article10
2011The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: Reply In: American Economic Review.
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2008The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: A Reply.(2008) In: NBER Working Papers.
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2012Is the Volatility of the Market Price of Risk Due to Intermittent Portfolio Rebalancing? In: American Economic Review.
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2009Is the Volatility of the Market Price of Risk due to Intermittent Portfolio Re-balancing?.(2009) In: NBER Working Papers.
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paper
2007The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk In: American Economic Review.
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article214
2006The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk..(2006) In: Working papers.
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This paper has another version. Agregated cites: 214
paper
2005THE CROSS-SECTION OF FOREIGN CURRENCY RISK PREMIA AND CONSUMPTION GROWTH RISK.(2005) In: Boston University - Department of Economics - Working Papers Series.
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This paper has another version. Agregated cites: 214
paper
2006The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk.(2006) In: Boston University - Department of Economics - Working Papers Series.
[Citation analysis]
This paper has another version. Agregated cites: 214
paper
2012How Does the US Government Finance Fiscal Shocks? In: American Economic Journal: Macroeconomics.
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article9
1990How does the U.S. government finance fiscal shocks?.(1990) In: GSIA Working Papers.
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paper
2010How Does the U.S. Government Finance Fiscal Shocks?.(2010) In: NBER Working Papers.
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This paper has another version. Agregated cites: 9
paper
2005Housing Collateral, Consumption Insurance, and Risk Premia: An Empirical Perspective In: Journal of Finance.
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article185
2003Housing Collateral, Consumption Insurance and Risk Premia: An Empirical Perpective.(2003) In: NBER Working Papers.
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This paper has another version. Agregated cites: 185
paper
2005Investing in Foreign Currency is like Betting on your Intertemporal Marginal Rate of Substitution. In: Boston University - Department of Economics - Working Papers Series.
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paper10
2006Investing in Foreign Currency is like Betting on your Intertemporal Marginal Rate of Substitution.(2006) In: Journal of the European Economic Association.
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This paper has another version. Agregated cites: 10
article
2007The Wealth-Consumption Ratio: A Litmus Test for Consumption-based Asset Pricing Models¤ In: Boston University - Department of Economics - Working Papers Series.
[Citation analysis]
paper16
The Wealth-Consumption Ratio: A Litmus Test for Consumption-based Asset Pricing Models.() In: UCLA Economics Online Papers.
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This paper has another version. Agregated cites: 16
paper
2007The Wealth-Consumption Ratio: A Litmus Test for Consumption-Based Asset Pricing Models.(2007) In: 2007 Meeting Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16
paper
2004The Market Price of Aggregate Risk and the Wealth Distribution In: UCLA Economics Online Papers.
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paper89
2005The Market Price of Aggregate Risk and the Wealth Distribution.(2005) In: NBER Working Papers.
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This paper has another version. Agregated cites: 89
paper
2010The Market Price of Aggregate Risk and the Wealth Distribution.(2010) In: Review of Financial Studies.
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This paper has another version. Agregated cites: 89
article
2001The Market Price of Aggregate Risk and the Wealth Distribution.(2001) In: Finance.
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This paper has another version. Agregated cites: 89
paper
2004Housing Collateral, Consumption Insurance and Risk Premia: an Empirical Perspective (joint with Stijn Van Nieuwerburgh), forthcoming Journal of Finance In: UCLA Economics Online Papers.
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paper0
2004How much Does Household Collateral Constrain Regional Risk Sharing? (joint with Stijn Van Nieuwerburgh) (updated February 2006) In: UCLA Economics Online Papers.
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paper0
2004The Cross-Section of Foreign Currency Risk Premia and US Consumption Growth Risk (joint with Adrien Verdelhan)(updated February 2006) In: UCLA Economics Online Papers.
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paper0
2004Can Housing Collateral Explain Long-Run Swings in Asset Returns? (joint with Stijn Van Nieuwerburgh) In: UCLA Economics Online Papers.
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paper0
2005The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street (joint with Stijn Van Nieuwerburgh) In: UCLA Economics Online Papers.
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paper1
2005Fiscal Hedging and the Yield Curve(joint with Chris Sleet, CMU, and Sevin Yeltekin (CMU)) In: UCLA Economics Online Papers.
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paper0
2005Does the US government Hedge against Defense Expenditure Risk? (joint with Chris Sleet and Sevin Yeltekin) In: UCLA Economics Online Papers.
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paper0
2005Investing in Foreign Currency is like Betting on your Intertemporal Marginal Rate of Substitution (joint with Adrien Verdelhan, BU, forthcoming in Papers and Proceedings JEEA) In: UCLA Economics Online Papers.
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paper0
When is Market Incompleteness Irrelevant for the Price of Aggregate Risk (joint with Dirk Krueger, UPenn) In: UCLA Economics Online Papers.
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paper0
Exploring the Link between Housing and the Value Premium (joint with Stijn Van Nieuwerburgh) In: UCLA Economics Online Papers.
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paper0
Macro Implications of Household Finance (joint with YiLi Chien and Harold Cole ) In: UCLA Economics Online Papers.
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paper0
Fiscal Hedging with Nominal Assets In: GSIA Working Papers.
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paper16
2008Fiscal hedging with nominal assets.(2008) In: Journal of Monetary Economics.
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This paper has another version. Agregated cites: 16
article
2006The Irrelevance of Market Incompleteness for the Price of Aggregate Risk In: CEPR Discussion Papers.
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paper0
2012The Wealth-Consumption Ratio In: CEPR Discussion Papers.
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paper27
2008The Wealth-Consumption Ratio.(2008) In: NBER Working Papers.
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This paper has another version. Agregated cites: 27
paper
2012Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees In: CEPR Discussion Papers.
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paper44
2011Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees.(2011) In: NBER Working Papers.
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This paper has another version. Agregated cites: 44
paper
2011Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees.(2011) In: 2011 Meeting Papers.
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This paper has another version. Agregated cites: 44
paper
2012The Cross-Section and Time-Series of Stock and Bond Returns In: CEPR Discussion Papers.
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paper32
2010The Cross-Section and Time-Series of Stock and Bond Returns.(2010) In: NBER Working Papers.
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paper
2010When is market incompleteness irrelevant for the price of aggregate risk (and when is it not)? In: Journal of Economic Theory.
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article26
2006When is Market Incompleteness Irrelevant for the Price of Aggregate Risk (and when is it not)?.(2006) In: NBER Working Papers.
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This paper has another version. Agregated cites: 26
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2011Technological change and the growing inequality in managerial compensation In: Journal of Financial Economics.
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article15
2009Technological Change and the Growing Inequality in Managerial Compensation.(2009) In: NBER Working Papers.
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This paper has another version. Agregated cites: 15
paper
2017Why Are Exchange Rates So Smooth? A Household Finance Explanation In: Working Papers.
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paper2
2017Why Are Exchange Rates So Smooth? A Household Finance Explanation.(2017) In: Working papers.
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This paper has another version. Agregated cites: 2
paper
2009Comment on Carry Trades and Currency Crashes In: NBER Chapters.
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chapter1
2004How Much Does Household Collateral Constrain Regional Risk Sharing? In: NBER Working Papers.
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paper45
2010How Much Does Household Collateral Constrain Regional Risk Sharing?.(2010) In: Review of Economic Dynamics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 45
article
2004A Theory of Housing Collateral, Consumption Insurance and Risk Premia In: NBER Working Papers.
[Full Text][Citation analysis]
paper10
2005The Cross-Section of Currency Risk Premia and US Consumption Growth Risk In: NBER Working Papers.
[Full Text][Citation analysis]
paper13
2005The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street In: NBER Working Papers.
[Full Text][Citation analysis]
paper53
2008The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street.(2008) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 53
article
2005Fiscal Hedging and the Yield Curve In: NBER Working Papers.
[Full Text][Citation analysis]
paper2
2006Can Housing Collateral Explain Long-Run Swings in Asset Returns? In: NBER Working Papers.
[Full Text][Citation analysis]
paper15
2007A Multiplier Approach to Understanding the Macro Implications of Household Finance In: NBER Working Papers.
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paper45
2011A Multiplier Approach to Understanding the Macro Implications of Household Finance.(2011) In: Review of Economic Studies.
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This paper has another version. Agregated cites: 45
article
2007Evaluating Asset Pricing Models with Limited Commitment using Household Consumption Data In: NBER Working Papers.
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paper5
2008Evaluating Asset Pricing Models with Limited Commitment Using Household Consumption Data.(2008) In: Journal of the European Economic Association.
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This paper has another version. Agregated cites: 5
article
2008Common Risk Factors in Currency Markets In: NBER Working Papers.
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paper118
2011Common Risk Factors in Currency Markets.(2011) In: Review of Financial Studies.
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This paper has another version. Agregated cites: 118
article
2008Common Risk Factors in Currency Markets.(2008) In: 2008 Meeting Papers.
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This paper has another version. Agregated cites: 118
paper
2010Why Does the Treasury Issue Tips? The Tips-Treasury Bond Puzzle In: NBER Working Papers.
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paper22
2011Why Does the Treasury Issue TIPS? The TIPS-Treasury Bond Puzzle.(2011) In: 2011 Meeting Papers.
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paper
2010Countercyclical Currency Risk Premia In: NBER Working Papers.
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paper49
2010Size Anomalies in U.S. Bank Stock Returns: A Fiscal Explanation In: NBER Working Papers.
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paper16
2013Deflation Risk In: NBER Working Papers.
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paper6
2013Firm Volatility in Granular Networks In: NBER Working Papers.
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paper35
2013The Term Structure of Currency Carry Trade Risk Premia In: NBER Working Papers.
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paper4
2014The Common Factor in Idiosyncratic Volatility: Quantitative Asset Pricing Implications In: NBER Working Papers.
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paper47
2014Implications of Heterogeneity in Preferences, Beliefs and Asset Trading Technologies for the Macroeconomy In: NBER Working Papers.
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paper0
2016Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates? In: NBER Working Papers.
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paper4
2016Equity is Cheap for Large Financial Institutions: The International Evidence In: NBER Working Papers.
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paper6
2016Capital Share Dynamics When Firms Insure Workers In: NBER Working Papers.
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paper4
2017Complex Asset Markets In: NBER Working Papers.
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paper0
2017Gravity in FX R-Squared: Understanding the Factor Structure in Exchange Rates In: NBER Working Papers.
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paper1
2018Foreign Safe Asset Demand and the Dollar Exchange Rate In: NBER Working Papers.
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paper0
2016Implications of Heterogeneity in Preferences, Beliefs and Asset Trading Technologies in an Endowment Economy In: Review of Economic Dynamics.
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article1
2004The Cross-Section of Foreign Currency Risk Premia and US Consumption Growth Risk In: 2004 Meeting Papers.
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paper21
2004Does the US government hedge against government expenditure risk? In: 2004 Meeting Papers.
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paper2
2004Housing Collateral and Consumption Insurance Across US Regions In: 2004 Meeting Papers.
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paper6
2005The Returns on Human Wealth: Good News on Wall Street is Bad News on Main Street In: 2005 Meeting Papers.
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paper4
2006Optimal Debt Maturity Management In: 2006 Meeting Papers.
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paper0
2008IT, Corporate Payouts, and the Growing Inequality in Managerial Compensation In: 2008 Meeting Papers.
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paper4
2009The Bond Risk Premium and the Cross-Section of Equity Returns In: 2009 Meeting Papers.
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paper0
2010Size Anomalies in US Bank Stock Returns: Your Tax Dollars at Work? In: 2010 Meeting Papers.
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paper1
2002Housing Collateral, Consumption Insurance and Risk Premia In: Macroeconomics.
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paper24

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