Hanno Lustig : Citation Profile

Are you Hanno Lustig?

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

23

H index

39

i10 index

2793

Citations

RESEARCH PRODUCTION:

17

Articles

84

Papers

1

Chapters

RESEARCH ACTIVITY:

   32 years (1990 - 2022). See details.
   Cites by year: 87
   Journals where Hanno Lustig has often published
   Relations with other researchers
   Recent citing documents: 317.    Total self citations: 38 (1.34 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/plu17
   Updated: 2023-03-25    RAS profile: 2015-07-16    
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Relations with other researchers

Works with:

Van Nieuwerburgh, Stijn (6)

KRISHNAMURTHY, ARVIND (3)

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

Is cited by:

Sarno, Lucio (62)

Nitschka, Thomas (41)

Van Nieuwerburgh, Stijn (39)

Schrimpf, Andreas (37)

Weber, Michael (35)

Coeurdacier, Nicolas (31)

Hassan, Tarek (28)

Lettau, Martin (28)

Schmeling, Maik (27)

Engel, Charles (26)

Chien, YiLi (26)

Cites to:

Campbell, John (117)

Cochrane, John (45)

Hansen, Lars (40)

Verdelhan, Adrien (33)

Alvarez, Fernando (30)

Jermann, Urban (30)

Lettau, Martin (29)

Lucas, Robert (27)

Gabaix, Xavier (27)

Kehoe, Patrick (27)

Van Nieuwerburgh, Stijn (27)

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
NBER Working Papers / National Bureau of Economic Research, Inc43
CEPR Discussion Papers / C.E.P.R. Discussion Papers4
Boston University - Department of Economics - Working Papers Series / Boston University - Department of Economics4
2004 Meeting Papers / Society for Economic Dynamics3
2008 Meeting Papers / Society for Economic Dynamics2
GSIA Working Papers / Carnegie Mellon University, Tepper School of Business2
2011 Meeting Papers / Society for Economic Dynamics2
Working Papers / Federal Reserve Bank of St. Louis2

Recent works citing Hanno Lustig (2022 and 2021)

YearTitle of citing document
2022The Coming Battle of Digital Currencies. (2022). Mayer, Simon ; Cong, Lin William. In: Applied Economics and Policy Working Paper Series. RePEc:ags:cuaepw:320020.

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2021Social Capital: A Double-Edged Sword. (2021). Cole, Harold L ; Park, Yena ; Mailath, George J ; Krueger, Dirk. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:064.

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2022Scrambling for Dollars: International Liquidity, Banks and Exchange Rates. (2022). Engel, Charles ; Bigio, Saki ; Bianchi, Javier. In: Working Papers. RePEc:apc:wpaper:182.

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2021Deep Learning in Asset Pricing. (2019). Zhu, Jason ; Pelger, Markus ; Chen, Luyang. In: Papers. RePEc:arx:papers:1904.00745.

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2021A Bewley-Huggett model with many consumption goods. (2019). Light, Bar. In: Papers. RePEc:arx:papers:1906.06810.

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2021Dynamic Networks in Large Financial and Economic Systems. (2020). Baruník, Jozef ; Ellington, Michael. In: Papers. RePEc:arx:papers:2007.07842.

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2021Dynamic industry uncertainty networks and the business cycle. (2021). Baruník, Jozef ; Faff, Robert ; Bevilacqua, Mattia. In: Papers. RePEc:arx:papers:2101.06957.

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2021Uncertainty Network Risk and Currency Returns. (2021). Baruník, Jozef ; Babiak, Mykola. In: Papers. RePEc:arx:papers:2101.09738.

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2022Incorporating Financial Big Data in Small Portfolio Risk Analysis: Market Risk Management Approach. (2021). Yu, Seunghyeon ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.12783.

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2021Turnover-Adjusted Information Ratio. (2021). Cao, Honggao ; Wang, XI ; Zhang, Feng. In: Papers. RePEc:arx:papers:2105.10306.

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2021An Interpretable Neural Network for Parameter Inference. (2021). Pfitzinger, Johann. In: Papers. RePEc:arx:papers:2106.05536.

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2022Volatility forecasting with machine learning and intraday commonality. (2022). Zhang, Chao ; Qian, Zhongmin ; Cucuringu, Mihai. In: Papers. RePEc:arx:papers:2202.08962.

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2022Railroad Bailouts in the Great Depression. (2022). Verdickt, Gertjan ; Moore, Lyndon. In: Papers. RePEc:arx:papers:2205.13025.

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2022Risk in Network Economies. (2022). Sellemi, Victor. In: Papers. RePEc:arx:papers:2208.01467.

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2022Common Idiosyncratic Quantile Risk. (2022). Nevrla, Matej ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2208.14267.

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2023Labor Income Risk and the Cross-Section of Expected Returns. (2023). Pinchuk, Mykola. In: Papers. RePEc:arx:papers:2301.09173.

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2021Monetary Policy, Trends in Real Interest Rates and Depressed Demand. (2021). Meh, Cesaire ; Beaudry, Paul. In: Staff Working Papers. RePEc:bca:bocawp:21-27.

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2021Foreign Exchange Fixings and Returns Around the Clock. (2021). Whelan, Paul ; Mueller, Philippe ; Krohn, Ingomar. In: Staff Working Papers. RePEc:bca:bocawp:21-48.

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2021Discount Rates, Debt Maturity, and the Fiscal Theory. (2021). Morales, Gonzalo ; Kung, Howard ; Kind, Thilo ; Corhay, Alexandre. In: Staff Working Papers. RePEc:bca:bocawp:21-58.

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2022Monetary Policy and Redistribution in Open Economies. (2022). Guo, Xing ; Perez, Diego ; Ottonello, Pablo. In: Staff Working Papers. RePEc:bca:bocawp:22-6.

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2021Common and idiosyncratic movements in Latin-American Exchange Rates. (2021). Romero, Jose ; Gamboa-Estrada, Fredy. In: Borradores de Economia. RePEc:bdr:borrec:1158.

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2022Macroeconomic Forecasting Using Filtered Signals from a Stock Market Cross Section. (2022). Stalla-Bourdillon, Arthur ; Chinn, Menzie ; Chatelais, Nicolas. In: Working papers. RePEc:bfr:banfra:903.

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2021The Commitment Benefit of Consols in Government Debt Management. (2021). Debortoli, Davide ; Yared, Pierre ; Nunes, Ricardo. In: Working Papers. RePEc:bge:wpaper:1253.

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2021The Commitment Benefit of Consols in Government Debt Management. (2021). Debortoli, Davide ; Yared, Pierre ; Nunes, Ricardo. In: Working Papers. RePEc:bge:wpaper:1254.

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2022Emerging market bond flows and exchange rate returns. (2022). Valente, Giorgio ; Hordahl, Peter. In: BIS Working Papers. RePEc:bis:biswps:1042.

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2022Monetary policy expectation errors. (2022). Schrimpf, Andreas ; Schmeling, Maik. In: BIS Working Papers. RePEc:bis:biswps:996.

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2021Pairs trading and idiosyncratic cash flow risk. (2021). Faff, Robert ; Do, Binh. In: Accounting and Finance. RePEc:bla:acctfi:v:61:y:2021:i:2:p:3171-3206.

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2022Global equity fund performance adjusted for equity and currency factors. (2022). Warren, Geoffrey J ; Schmidt, Camille H ; Harman, Graham ; Gallagher, David R. In: Accounting and Finance. RePEc:bla:acctfi:v:62:y:2022:i:s1:p:1535-1565.

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2022At what price should Bordeaux wines be released?. (2022). Weisskopf, Jeanphilippe ; Masset, Philippe. In: Economic Inquiry. RePEc:bla:ecinqu:v:60:y:2022:i:1:p:392-412.

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2021Housing prices, volatility, and fundamental value. (2021). Tomat, Gian Maria. In: Economic Notes. RePEc:bla:ecnote:v:50:y:2021:i:3:n:e12191.

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2021Disentangling types of liquidity and testing limits?to?arbitrage theories in the CDS–bond basis. (2021). Schnitzler, Jan ; Augustin, Patrick. In: European Financial Management. RePEc:bla:eufman:v:27:y:2021:i:1:p:120-146.

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2021Differential risk premiums and the UIP puzzle. (2021). Schreiber, Ben Z ; Piccotti, Louis R ; Biswas, Rita . In: Financial Management. RePEc:bla:finmgt:v:50:y:2021:i:1:p:139-167.

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2021The role of asymmetry and dynamics in carry trade and general financial markets. (2021). Wu, ChihChiang ; Huang, Meichi. In: The Financial Review. RePEc:bla:finrev:v:56:y:2021:i:2:p:331-353.

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2021Measuring systematic risk from managerial organization capital. (2021). Allen, Linda ; Yildirim, Alev. In: Journal of Business Finance & Accounting. RePEc:bla:jbfnac:v:48:y:2021:i:9-10:p:2049-2072.

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2021Inalienable Customer Capital, Corporate Liquidity, and Stock Returns. (2021). Reibstein, David ; Ji, Yan ; Dou, Winston Wei ; Wu, Wei. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:1:p:211-265.

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2021A Unified Model of Firm Dynamics with Limited Commitment and Assortative Matching. (2021). Li, Rui ; Kiku, Dana ; Ai, Hengjie ; Tong, Jincheng. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:1:p:317-356.

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2021Limited Risk Sharing and International Equity Returns. (2021). Zhang, Shaojun. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:2:p:893-933.

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2021Model?Free International Stochastic Discount Factors. (2021). Vedolin, Andrea ; Trojani, Fabio ; Sandulescu, Mirela. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:2:p:935-976.

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2021Foreign Safe Asset Demand and the Dollar Exchange Rate. (2021). KRISHNAMURTHY, ARVIND ; Lustig, Hanno ; Jiang, Zhengyang. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:3:p:1049-1089.

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2021The Cross Section of MBS Returns. (2021). Richardson, Scott ; Eisfeldt, Andrea L ; Diep, Peter . In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:5:p:2093-2151.

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2022Monetary Policy Spillovers through Invoicing Currencies. (2022). Zhang, Tony. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:1:p:129-161.

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2022Volatility Expectations and Returns. (2022). Muir, Tyler ; Lochstoer, Lars A. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:2:p:1055-1096.

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2022Common Risk Factors in Cryptocurrency. (2022). Wu, XI ; Tsyvinski, Aleh ; Liu, Yukun. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:2:p:1133-1177.

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2022Fully Closed: Individual Responses to Realized Gains and Losses. (2022). Pagel, Michaela ; Meyer, Steffen. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:3:p:1529-1585.

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2021Implied Equity Duration: A Measure of Pandemic Shutdown Risk. (2021). Sloan, Richard G ; Erhard, Ryan D ; Dechow, Patricia M ; Mark, And. In: Journal of Accounting Research. RePEc:bla:joares:v:59:y:2021:i:1:p:243-281.

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2022Next generation models for portfolio risk management: An approach using financial big data. (2022). Yu, Seunghyeon ; Kim, Donggyu ; Jung, Kwangmin. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:89:y:2022:i:3:p:765-787.

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2021Getting on and Moving Up the Property Ladder: Real Hedging in the U.S. Housing Market Before and After the Crisis. (2021). Escobari, Diego ; Damianov, Damian S. In: Real Estate Economics. RePEc:bla:reesec:v:49:y:2021:i:4:p:1201-1237.

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2021The housing consumption capital asset pricing model with an antichresis rent market: Nonseparability and composition risk. (2021). Park, Yun W ; Hur, Seokkyun ; Kim, Jihun. In: Real Estate Economics. RePEc:bla:reesec:v:49:y:2021:i:s1:p:297-327.

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2021Correcting US payments imbalances: Taxing foreign holders of its treasury securities is better than import tariffs. (2021). Hallwood, Paul. In: The World Economy. RePEc:bla:worlde:v:44:y:2021:i:8:p:2228-2237.

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2021Exchange Rate Disconnect Redux. (2021). Valchev, Rosen ; Guerron, Pablo ; De Leo, Pierre ; Cormun, Vito ; Chahrour, Ryan ; Guerron-Quintana, Pablo. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:1041.

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2021Dash for dollars. (2021). Eguren Martin, Fernando ; Cesa-Bianchi, Ambrogio ; Eguren-Martin, Fernando. In: Bank of England working papers. RePEc:boe:boeewp:0932.

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2021Refinancing cross-subsidies in the mortgage market. (2021). Gavazza, Alessandro ; Tripathy, Jagdish ; Ramadorai, Tarun ; Liu, LU ; Fisher, Jack . In: Bank of England working papers. RePEc:boe:boeewp:0948.

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2022FX option volume. (2022). Wang, Tianyu ; Huang, Shiyang ; Della Corte, Pasquale ; Czech, Robert. In: Bank of England working papers. RePEc:boe:boeewp:0964.

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2022The Effects of Subsidized Flood Insurance on Real Estate Markets. (2022). Lee, Jonathan ; Guin, Benjamin ; Garbarino, Nicola. In: Bank of England working papers. RePEc:boe:boeewp:0995.

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2021Yield curve momentum. (2021). Sihvonen, Markus. In: Research Discussion Papers. RePEc:bof:bofrdp:2021_015.

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2021The Pricing of Unexpected Volatility in the Currency Market. (2021). Xu, Yongdeng ; Lu, Wenna ; Copeland, Laurence. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2021/16.

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2021Uncertainty Network Risk and Currency Returns. (2021). Barunik, Jozef ; Babiak, Mykola. In: CERGE-EI Working Papers. RePEc:cer:papers:wp687.

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2022Can Time-Varying Currency Risk Hedging Explain Exchange Rates?. (2022). Hau, Harald ; Brauer, Leonie. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10065.

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2021Manufacturing Risk-Free Government Debt. (2021). Xiaolan, Mindy Z ; van Nieuwerburgh, Stijn ; Lustig, Hanno ; Jiang, Zhengyang. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8902.

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2021Interest Rate Skewness and Biased Beliefs. (2021). Chernov, Mikhail ; Bauer, Michael D. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9150.

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2021An Equilibrium Theory of Nominal Exchange Rates. (2021). Hagedorn, Marcus. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9290.

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2021Debt as Safe Asset. (2021). Merkel, Sebastian ; Sebastian, Sannikov ; Brunnermeier, Markus K. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9500.

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2022Dynamics of Subjective Risk Premia. (2022). Xu, Zhengyang ; Nagel, Stefan. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9693.

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2022FTPL and the Maturity Structure of Government Debt in the New Keynesian Model. (2022). Posch, Olaf ; Liemen, Max Ole. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9840.

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2022The Liquidity Premium of Digital Payment Vehicle. (2022). Jiang, Zhengyang ; Chen, Zefeng. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9933.

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2021Money Matters: Global banks, safe assets and monetary autonomy. (2021). Florez-Orrego, Sergio. In: Documentos CEDE. RePEc:col:000089:019153.

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2022Learning to learn: Experimentation, entrepreneurial capital, and development. (2022). Zambrano, Andres ; Maloney, William. In: Documentos CEDE. RePEc:col:000089:019940.

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2021Currency Anomalies. (2021). Bartram, Söhnke ; Garratt, Anthony ; Djuranovik, Leslie . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:15653.

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2021A Reconsideration of the Failure of Uncovered Interest Parity for the U.S. Dollar. (2021). Engel, Charles ; Xiang, Nan ; Wang, Mengqi ; Kazakova, Ekaterina. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:15872.

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2021Forecasting the U.S. Dollar in the 21st Century. (2021). Wu, Steve Pak Yeung ; Engel, Charles. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:15915.

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2021Debt Management in a World of Fiscal Dominance. (2021). Oikonomou, Rigas ; de Beauffort, Charles ; Chafwehe, Boris. In: LIDAM Discussion Papers IRES. RePEc:ctl:louvir:2021018.

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2022Optimal Monetary Policy Rules in the Fiscal Theory of the Price Level. (2022). Oikonomou, Rigas ; de Beauffort, Charles ; Chafwehe, Boris. In: LIDAM Discussion Papers IRES. RePEc:ctl:louvir:2022007.

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2022When Household Heterogeneity Matters Optimal Fiscal Policy in a Medium-Scale TANK Model. (2022). Courtoy, Franois. In: LIDAM Discussion Papers IRES. RePEc:ctl:louvir:2022009.

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2022Optimal fiscal and monetary policy with preference over safe assets. (2022). Santos, Guillermo . In: LIDAM Discussion Papers IRES. RePEc:ctl:louvir:2022021.

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2021Fiscal Deficits, Bank Credit Risk, and Loan-Loss Provisions. (2021). Gurgel, Felipe Bastos. In: Journal of Financial and Quantitative Analysis. RePEc:cup:jfinqa:v:56:y:2021:i:5:p:1537-1589_2.

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2021Monetary-fiscal policy interactions in the euro area. (2021). Schmidt, Sebastian ; Poelhekke, Steven ; Pisani, Massimiliano ; Mazelis, Falk ; Kataryniuk, Iván ; Freier, Maximilian ; Ferdinandusse, Marien ; Debrun, Xavier ; Cimadomo, Jacopo ; Bonam, Dennis ; Hammermann, Felix ; Vladu, Andreea ; Muggenthaler, Philip ; Kording, Julia ; Checherita-Westphal, Cristina ; Penciu, Alexandru ; Faria, Thomas ; Vansteenkiste, Isabel ; Pool, Sebastiaan ; Gerke, Rafael ; Valenta, Vilem ; Bletzinger, Tilman ; Montes-Galdon, Carlos ; Ferrero, Guiseppe ; da Costa, Jose Cardoso ; Paulus, Alari ; Eisenschmidt, Jens ; Masuch, Klaus ; Kamps, Christophe ; Gardo, Sandor ; Trzcinska, Agnieszka ; Barthelemy, Jean ; Marrazzo, Marco ; Jacquinot, Pascal ; Campos, Maria ; Ozden, Talga ; Semeano, Joo Domingues ; Sauer, Stephan ; Christ
2022Younger generations and the lost dream of home ownership. (2022). Paz-Pardo, Gonzalo. In: Research Bulletin. RePEc:ecb:ecbrbu:2022:0091:.

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2021Leveraged property cycles. (2021). Jaccard, Ivan. In: Working Paper Series. RePEc:ecb:ecbwps:20212539.

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2021What goes around comes around: How large are spillbacks from US monetary policy?. (2021). Georgiadis, Georgios ; Schumann, Ben ; Breitenlechner, Max. In: Working Paper Series. RePEc:ecb:ecbwps:20212613.

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2021Global risk and the dollar. (2021). Müller, Gernot ; Georgiadis, Georgios ; Schumann, Ben. In: Working Paper Series. RePEc:ecb:ecbwps:20212628.

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2022Boosting carry with equilibrium exchange rate estimates. (2022). Kwas, Marek ; Ca, Michele ; Michele Ca, ; Beckmann, Joscha ; Rubaszek, Micha. In: Working Paper Series. RePEc:ecb:ecbwps:20222731.

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2022Banking Goes Digital: The Main Determinants of the Clients’ Satisfaction and Trust toward Fintech-Based Services. (2022). Rhanoui, Salma. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2022-05-2.

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2021Dollar borrowing, firm credit risk, and FX-hedged funding opportunities. (2021). Serena Garralda, Jose Maria ; Mayordomo, Sergio ; Gambacorta, Leonardo ; Galvez, Julio. In: Journal of Corporate Finance. RePEc:eee:corfin:v:68:y:2021:i:c:s0929119921000663.

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2022Risk pooling, intermediation efficiency, and the business cycle. (2022). Pelizzon, Loriana ; Modena, Andrea ; Dindo, Pietro. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:144:y:2022:i:c:s0165188922002044.

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2022Momentum and the Cross-section of Stock Volatility. (2022). Liu, Jiadong ; Kearney, Fearghal ; Fan, Minyou. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:144:y:2022:i:c:s0165188922002287.

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2021Cross-sectional tests of asset pricing models with full-rank mimicking portfolios. (2021). Kim, Jin Yong ; Lee, Jeong Hwan ; Ho, Kun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000802.

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2021A filtered currency carry trade. (2021). Suh, Sangwon ; Ho, Jin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821000930.

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2022Hedging local currency risk with precious metals. (2022). Kunkler, Michael. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001923.

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2022On the pricing of expected idiosyncratic skewness. (2022). Guan, Zheng ; Cui, Xiangyu. In: Economics Letters. RePEc:eee:ecolet:v:216:y:2022:i:c:s0165176522001690.

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2022Political orientation and compensation for idiosyncratic risk. (2022). Lee, Seunghyup. In: Economics Letters. RePEc:eee:ecolet:v:218:y:2022:i:c:s0165176522002385.

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2021Predicting the VIX and the volatility risk premium: The role of short-run funding spreads Volatility Factors. (2021). Ghysels, Eric ; Andreou, Elena. In: Journal of Econometrics. RePEc:eee:econom:v:220:y:2021:i:2:p:366-398.

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2022The saving, human wealth and asset pricing nexus: Evidence from around the world. (2022). Shijin, Santhakumar ; Roy, Rahul. In: Economic Systems. RePEc:eee:ecosys:v:46:y:2022:i:2:s0939362522000395.

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2022The Mussa puzzle: A generalization. (2022). Petracchi, Cosimo. In: European Economic Review. RePEc:eee:eecrev:v:149:y:2022:i:c:s0014292122001295.

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2022Fat tails, serial dependence, and implied volatility index connections. (2022). Ellington, Michael. In: European Journal of Operational Research. RePEc:eee:ejores:v:299:y:2022:i:2:p:768-779.

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2021Can interest rate factors explain exchange rate fluctuations?. (2021). Yung, Julieta. In: Journal of Empirical Finance. RePEc:eee:empfin:v:61:y:2021:i:c:p:34-56.

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2021Bank stocks, risk factors, and tail behavior. (2021). Huang, Lin ; Marcus, Alan J ; Cai, Jun ; Yang, Huan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:63:y:2021:i:c:p:203-229.

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2021Expected stock returns, common idiosyncratic volatility and average idiosyncratic correlation. (2021). Qian, Long ; Ni, Xuanming ; Liu, Jia ; Zhao, Huimin. In: International Review of Financial Analysis. RePEc:eee:finana:v:76:y:2021:i:c:s1057521921001289.

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2021Information uncertainty, investor sentiment, and analyst reports. (2021). Yang, Hee Jin ; Ryu, Doojin ; Kim, Karam. In: International Review of Financial Analysis. RePEc:eee:finana:v:77:y:2021:i:c:s105752192100168x.

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2021What do we know about the second moment of financial markets?. (2021). Grobys, Klaus. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002180.

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2021Long-term foreign exchange risk premia and inflation risk. (2021). Moneta, Fabio ; Kim, Dae Hwan. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002271.

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2022Does previous carry trade position affect following investors decision-making and carry returns?. (2022). Li, BO ; Chen, SU ; Zhang, Ziyun. In: International Review of Financial Analysis. RePEc:eee:finana:v:80:y:2022:i:c:s105752192200031x.

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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.
[Full Text][Citation analysis]		article17
2011The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: Reply In: American Economic Review.
[Full Text][Citation analysis]		article33
2008The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: A Reply.(2008) In: NBER Working Papers.
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This paper has another version. Agregated cites: 33		paper
2012Is the Volatility of the Market Price of Risk Due to Intermittent Portfolio Rebalancing? In: American Economic Review.
[Full Text][Citation analysis]		article56
2009Is the Volatility of the Market Price of Risk due to Intermittent Portfolio Re-balancing?.(2009) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 56		paper
2007The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk In: American Economic Review.
[Full Text][Citation analysis]		article404
2006The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk..(2006) In: Working papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 404		paper
2005THE CROSS-SECTION OF FOREIGN CURRENCY RISK PREMIA AND CONSUMPTION GROWTH RISK.(2005) In: Boston University - Department of Economics - Working Papers Series.
[Citation analysis]
This paper has another version. Agregated cites: 404		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: 404		paper
2004The Cross-Section of Foreign Currency Risk Premia and US Consumption Growth Risk.(2004) In: 2004 Meeting Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 404		paper
2012How Does the US Government Finance Fiscal Shocks? In: American Economic Journal: Macroeconomics.
[Full Text][Citation analysis]		article24
1990How does the U.S. government finance fiscal shocks?.(1990) In: GSIA Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 24		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: 24		paper
2005Housing Collateral, Consumption Insurance, and Risk Premia: An Empirical Perspective In: Journal of Finance.
[Full Text][Citation analysis]		article271
2003Housing Collateral, Consumption Insurance and Risk Premia: An Empirical Perpective.(2003) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 271		paper
2005Investing in Foreign Currency is like Betting on your Intertemporal Marginal Rate of Substitution. In: Boston University - Department of Economics - Working Papers Series.
[Citation analysis]		paper17
2006Investing in Foreign Currency is like Betting on your Intertemporal Marginal Rate of Substitution.(2006) In: Journal of the European Economic Association.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 17		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]		paper20
The Wealth-Consumption Ratio: A Litmus Test for Consumption-based Asset Pricing Models.() In: UCLA Economics Online Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 20		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: 20		paper
2004The Market Price of Aggregate Risk and the Wealth Distribution In: UCLA Economics Online Papers.
[Full Text][Citation analysis]		paper110
2005The Market Price of Aggregate Risk and the Wealth Distribution.(2005) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 110		paper
2010The Market Price of Aggregate Risk and the Wealth Distribution.(2010) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 110		article
2001The Market Price of Aggregate Risk and the Wealth Distribution.(2001) In: Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 110		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.
[Full Text][Citation analysis]		paper0
2004How much Does Household Collateral Constrain Regional Risk Sharing? (joint with Stijn Van Nieuwerburgh) (updated February 2006) In: UCLA Economics Online Papers.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		paper0
2004Can Housing Collateral Explain Long-Run Swings in Asset Returns? (joint with Stijn Van Nieuwerburgh) In: UCLA Economics Online Papers.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		paper10
2005Fiscal Hedging and the Yield Curve(joint with Chris Sleet, CMU, and Sevin Yeltekin (CMU)) In: UCLA Economics Online Papers.
[Full Text][Citation analysis]		paper0
2005Does the US government Hedge against Defense Expenditure Risk? (joint with Chris Sleet and Sevin Yeltekin) In: UCLA Economics Online Papers.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		paper0
When is Market Incompleteness Irrelevant for the Price of Aggregate Risk (joint with Dirk Krueger, UPenn) In: UCLA Economics Online Papers.
[Full Text][Citation analysis]		paper0
Exploring the Link between Housing and the Value Premium (joint with Stijn Van Nieuwerburgh) In: UCLA Economics Online Papers.
[Full Text][Citation analysis]		paper0
Macro Implications of Household Finance (joint with YiLi Chien and Harold Cole ) In: UCLA Economics Online Papers.
[Full Text][Citation analysis]		paper0
Fiscal Hedging with Nominal Assets In: GSIA Working Papers.
[Full Text][Citation analysis]		paper57
2008Fiscal hedging with nominal assets.(2008) In: Journal of Monetary Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 57		article
2006The Irrelevance of Market Incompleteness for the Price of Aggregate Risk In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper0
2012The Wealth-Consumption Ratio In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper59
2008The Wealth-Consumption Ratio.(2008) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 59		paper
2012Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper101
2011Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees.(2011) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 101		paper
2011Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees.(2011) In: 2011 Meeting Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 101		paper
2012The Cross-Section and Time-Series of Stock and Bond Returns In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper80
2010The Cross-Section and Time-Series of Stock and Bond Returns.(2010) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 80		paper
2010When is market incompleteness irrelevant for the price of aggregate risk (and when is it not)? In: Journal of Economic Theory.
[Full Text][Citation analysis]		article59
2006When is Market Incompleteness Irrelevant for the Price of Aggregate Risk (and when is it not)?.(2006) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 59		paper
2011Technological change and the growing inequality in managerial compensation In: Journal of Financial Economics.
[Full Text][Citation analysis]		article42
2009Technological Change and the Growing Inequality in Managerial Compensation.(2009) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 42		paper
2014Implications of heterogeneity in preferences, beliefs and asset trading technologies for the macroeconomy In: Working Papers.
[Full Text][Citation analysis]		paper0
2014Implications of Heterogeneity in Preferences, Beliefs and Asset Trading Technologies for the Macroeconomy.(2014) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2015Why Are Exchange Rates So Smooth? A Household Finance Explanation In: Working Papers.
[Full Text][Citation analysis]		paper6
2017Why Are Exchange Rates So Smooth? A Household Finance Explanation.(2017) In: Working papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6		paper
2009Comment on Carry Trades and Currency Crashes In: NBER Chapters.
[Full Text][Citation analysis]		chapter1
2004How Much Does Household Collateral Constrain Regional Risk Sharing? In: NBER Working Papers.
[Full Text][Citation analysis]		paper69
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: 69		article
2004A Theory of Housing Collateral, Consumption Insurance and Risk Premia In: NBER Working Papers.
[Full Text][Citation analysis]		paper15
2005The Cross-Section of Currency Risk Premia and US Consumption Growth Risk In: NBER Working Papers.
[Full Text][Citation analysis]		paper14
2005The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street In: NBER Working Papers.
[Full Text][Citation analysis]		paper86
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: 86		article
2005Fiscal Hedging and the Yield Curve In: NBER Working Papers.
[Full Text][Citation analysis]		paper3
2006Can Housing Collateral Explain Long-Run Swings in Asset Returns? In: NBER Working Papers.
[Full Text][Citation analysis]		paper23
2007A Multiplier Approach to Understanding the Macro Implications of Household Finance In: NBER Working Papers.
[Full Text][Citation analysis]		paper74
2011A Multiplier Approach to Understanding the Macro Implications of Household Finance.(2011) In: Review of Economic Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 74		article
2007Evaluating Asset Pricing Models with Limited Commitment using Household Consumption Data In: NBER Working Papers.
[Full Text][Citation analysis]		paper11
2008Evaluating Asset Pricing Models with Limited Commitment Using Household Consumption Data.(2008) In: Journal of the European Economic Association.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11		article
2008Common Risk Factors in Currency Markets In: NBER Working Papers.
[Full Text][Citation analysis]		paper469
2011Common Risk Factors in Currency Markets.(2011) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 469		article
2008Common Risk Factors in Currency Markets.(2008) In: 2008 Meeting Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 469		paper
2010Why Does the Treasury Issue Tips? The Tips-Treasury Bond Puzzle In: NBER Working Papers.
[Full Text][Citation analysis]		paper24
2011Why Does the Treasury Issue TIPS? The TIPS-Treasury Bond Puzzle.(2011) In: 2011 Meeting Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 24		paper
2010Countercyclical Currency Risk Premia In: NBER Working Papers.
[Full Text][Citation analysis]		paper142
2010Size Anomalies in U.S. Bank Stock Returns: A Fiscal Explanation In: NBER Working Papers.
[Full Text][Citation analysis]		paper16
2013Deflation Risk In: NBER Working Papers.
[Full Text][Citation analysis]		paper6
2013Firm Volatility in Granular Networks In: NBER Working Papers.
[Full Text][Citation analysis]		paper100
2013The Term Structure of Currency Carry Trade Risk Premia In: NBER Working Papers.
[Full Text][Citation analysis]		paper15
2014The Common Factor in Idiosyncratic Volatility: Quantitative Asset Pricing Implications In: NBER Working Papers.
[Full Text][Citation analysis]		paper114
2016Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates? In: NBER Working Papers.
[Full Text][Citation analysis]		paper7
2016Equity is Cheap for Large Financial Institutions: The International Evidence In: NBER Working Papers.
[Full Text][Citation analysis]		paper10
2016Capital Share Dynamics When Firms Insure Workers In: NBER Working Papers.
[Full Text][Citation analysis]		paper13
2017Complex Asset Markets In: NBER Working Papers.
[Full Text][Citation analysis]		paper3
2017Gravity in FX R-Squared: Understanding the Factor Structure in Exchange Rates In: NBER Working Papers.
[Full Text][Citation analysis]		paper6
2018Foreign Safe Asset Demand and the Dollar Exchange Rate In: NBER Working Papers.
[Full Text][Citation analysis]		paper70
2018Post-FOMC Announcement Drift in U.S. Bond Markets In: NBER Working Papers.
[Full Text][Citation analysis]		paper18
2019The U.S. Public Debt Valuation Puzzle In: NBER Working Papers.
[Full Text][Citation analysis]		paper9
2020Spending Less After (Seemingly) Bad News In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2020Dollar Safety and the Global Financial Cycle In: NBER Working Papers.
[Full Text][Citation analysis]		paper20
2020Manufacturing Risk-free Government Debt In: NBER Working Papers.
[Full Text][Citation analysis]		paper6
2021Financial and Total Wealth Inequality with Declining Interest Rates In: NBER Working Papers.
[Full Text][Citation analysis]		paper5
2021What Drives Variation in the U.S. Debt/Output Ratio? The Dogs that Didnt Bark In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2022Measuring U.S. Fiscal Capacity using Discounted Cash Flow Analysis In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2022Exorbitant Privilege Gained and Lost: Fiscal Implications In: NBER Working Papers.
[Full Text][Citation analysis]		paper1
2022The Rest of the World’s Dollar-Weighted Return on U.S. Treasurys In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2016Implications of Heterogeneity in Preferences, Beliefs and Asset Trading Technologies in an Endowment Economy In: Review of Economic Dynamics.
[Full Text][Citation analysis]		article10
2004Does the US government hedge against government expenditure risk? In: 2004 Meeting Papers.
[Citation analysis]		paper6
2004Housing Collateral and Consumption Insurance Across US Regions In: 2004 Meeting Papers.
[Citation analysis]		paper11
2005The Returns on Human Wealth: Good News on Wall Street is Bad News on Main Street In: 2005 Meeting Papers.
[Full Text][Citation analysis]		paper19
2006Optimal Debt Maturity Management In: 2006 Meeting Papers.
[Citation analysis]		paper0
2008IT, Corporate Payouts, and the Growing Inequality in Managerial Compensation In: 2008 Meeting Papers.
[Full Text][Citation analysis]		paper5
2009The Bond Risk Premium and the Cross-Section of Equity Returns In: 2009 Meeting Papers.
[Full Text][Citation analysis]		paper0
2010Size Anomalies in US Bank Stock Returns: Your Tax Dollars at Work? In: 2010 Meeting Papers.
[Full Text][Citation analysis]		paper1
2002Housing Collateral, Consumption Insurance and Risk Premia In: Macroeconomics.
[Full Text][Citation analysis]		paper25

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