Hanno Lustig

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Affiliations

• University of California-Los Angeles (UCLA) / Anderson Graduate School of Management / Finance Group (weight: 50%)
  • EDIRC entry
  • location:
• National Bureau of Economic Research (NBER) (weight: 50%)
  • EDIRC entry
  • location:

Research profile

author of:

• Long Run Risk, the Wealth-Consumption Ratio, and the Temporal Pricing of Risk (RePEc:aea:aecrev:v:100:y:2010:i:2:p:552-56)
  by Ralph S. J. Koijen & Hanno Lustig & Stijn Van Nieuwerburgh & Adrien Verdelhan
• The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: Reply (RePEc:aea:aecrev:v:101:y:2011:i:7:p:3477-3500)
  by Hanno Lustig & Adrien Verdelhan
• Is the Volatility of the Market Price of Risk Due to Intermittent Portfolio Rebalancing? (RePEc:aea:aecrev:v:102:y:2012:i:6:p:2859-96)
  by YiLi Chien & Harold Cole & Hanno Lustig
• The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk (RePEc:aea:aecrev:v:97:y:2007:i:1:p:89-117)
  by Hanno Lustig & Adrien Verdelhan
• How Does the US Government Finance Fiscal Shocks? (RePEc:aea:aejmac:v:4:y:2012:i:1:p:69-104)
  by Antje Berndt & Hanno Lustig & Şevin Yeltekin
• The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk (RePEc:bfr:banfra:155)
  by Lustig, H. & Verdelhan, A.
• Housing Collateral, Consumption Insurance, and Risk Premia: An Empirical Perspective (RePEc:bla:jfinan:v:60:y:2005:i:3:p:1167-1219)
  by Hanno N. Lustig & Stijn G. Van Nieuwerburgh
• The Cross-Section Of Foreign Currency Risk Premia And Consumption Growth Risk (RePEc:bos:wpaper:wp2005-019)
  by Adrien Verdelhan & Hanno Lustig
• Investing in Foreign Currency is like Betting on your Intertemporal Marginal Rate of Substitution (RePEc:bos:wpaper:wp2005-040)
  by Hanno Lustig & Adrien Verdelhan
• The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk (RePEc:bos:wpaper:wp2006-045)
  by Hanno Lustig & Adrien Verdelhan
• The Wealth-Consumption Ratio: A Litmus Test for Consumption-based Asset Pricing Models¤ (RePEc:bos:wpaper:wp2007-030)
  by Hanno Lustig & Stijn Van Nieuwerburg & Adrien Verdelhan
• The Market Price of Aggregate Risk and the Wealth Distribution (RePEc:cla:uclaol:299)
  by Hanno Lustig
• Housing Collateral, Consumption Insurance and Risk Premia: an Empirical Perspective (joint with Stijn Van Nieuwerburgh), forthcoming Journal of Finance (RePEc:cla:uclaol:300)
  by Hanno Lustig
• How much Does Household Collateral Constrain Regional Risk Sharing? (joint with Stijn Van Nieuwerburgh) (updated February 2006) (RePEc:cla:uclaol:302)
  by Hanno Lustig
• The Cross-Section of Foreign Currency Risk Premia and US Consumption Growth Risk (joint with Adrien Verdelhan)(updated February 2006) (RePEc:cla:uclaol:303)
  by Hanno Lustig
• Can Housing Collateral Explain Long-Run Swings in Asset Returns? (joint with Stijn Van Nieuwerburgh) (RePEc:cla:uclaol:322)
  by Hanno Lustig
• The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street (joint with Stijn Van Nieuwerburgh) (RePEc:cla:uclaol:352)
  by Hanno Lustig
• Fiscal Hedging and the Yield Curve(joint with Chris Sleet, CMU, and Sevin Yeltekin (CMU)) (RePEc:cla:uclaol:353)
  by Hanno Lustig
• Does the US government Hedge against Defense Expenditure Risk? (joint with Chris Sleet and Sevin Yeltekin) (RePEc:cla:uclaol:356)
  by Hanno Lustig
• Investing in Foreign Currency is like Betting on your Intertemporal Marginal Rate of Substitution (joint with Adrien Verdelhan, BU, forthcoming in Papers and Proceedings JEEA) (RePEc:cla:uclaol:368)
  by Hanno Lustig
• When is Market Incompleteness Irrelevant for the Price of Aggregate Risk (joint with Dirk Krueger, UPenn) (RePEc:cla:uclaol:380)
  by Hanno Lustig
• Exploring the Link between Housing and the Value Premium (joint with Stijn Van Nieuwerburgh) (RePEc:cla:uclaol:389)
  by Hanno Lustig
• The Wealth-Consumption Ratio: A Litmus Test for Consumption-based Asset Pricing Models (RePEc:cla:uclaol:420)
  by Hanno Lustig
• Macro Implications of Household Finance (joint with YiLi Chien and Harold Cole ) (RePEc:cla:uclaol:422)
  by Hanno Lustig
• Fiscal Hedging with Nominal Assets (RePEc:cmu:gsiawp:1143224649)
  by Hanno Lustig & Christopher Sleet & Sevin Yeltekin
• How does the U.S. government finance fiscal shocks? (RePEc:cmu:gsiawp:1153249048)
  by Antje Berndt & Hanno Lustig & Sevin Yeltekin
• The Irrelevance of Market Incompleteness for the Price of Aggregate Risk (RePEc:cpr:ceprdp:5936)
  by Krueger, Dirk & Lustig, Hanno
• The Wealth-Consumption Ratio (RePEc:cpr:ceprdp:9022)
  by Verdelhan, Adrien & Van Nieuwerburgh, Stijn & Lustig, Hanno
• Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees (RePEc:cpr:ceprdp:9023)
  by Van Nieuwerburgh, Stijn & Lustig, Hanno & Kelly, Bryan
• The Cross-Section and Time-Series of Stock and Bond Returns (RePEc:cpr:ceprdp:9024)
  by Van Nieuwerburgh, Stijn & Lustig, Hanno & Koijen, Ralph
• When is market incompleteness irrelevant for the price of aggregate risk (and when is it not)? (RePEc:eee:jetheo:v:145:y:2010:i:1:p:1-41)
  by Krueger, Dirk & Lustig, Hanno
• Technological change and the growing inequality in managerial compensation (RePEc:eee:jfinec:v:99:y:2011:i:3:p:601-627)
  by Lustig, Hanno & Syverson, Chad & Van Nieuwerburgh, Stijn
• Fiscal hedging with nominal assets (RePEc:eee:moneco:v:55:y:2008:i:4:p:710-727)
  by Lustig, Hanno & Sleet, Christopher & Yeltekin, Sevin
• Implications of heterogeneity in preferences, beliefs and asset trading technologies for the macroeconomy (RePEc:fip:fedlwp:2014-014)
  by YiLi Chien & Harold L. Cole & Hanno Lustig
• Why Are Exchange Rates So Smooth? A Household Finance Explanation (RePEc:fip:fedlwp:2015-039)
  by YiLi Chien & Hanno Lustig & Kanda Naknoi
• Comment on "Carry Trades and Currency Crashes" (RePEc:nbr:nberch:7288)
  by Hanno Lustig & Adrien Verdelhan
• How Much Does Household Collateral Constrain Regional Risk Sharing? (RePEc:nbr:nberwo:10505)
  by Hanno Lustig & Stijn Van Nieuwerburgh
• A Theory of Housing Collateral, Consumption Insurance and Risk Premia (RePEc:nbr:nberwo:10955)
  by Hanno Lustig & Stijn Van Nieuwerburgh
• The Cross-Section of Currency Risk Premia and US Consumption Growth Risk (RePEc:nbr:nberwo:11104)
  by Hanno Lustig & Adrien Verdelhan
• The Market Price of Aggregate Risk and the Wealth Distribution (RePEc:nbr:nberwo:11132)
  by Hanno Lustig & Yi-Li Chien
• The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street (RePEc:nbr:nberwo:11564)
  by Hanno Lustig & Stijn Van Nieuwerburgh
• Fiscal Hedging and the Yield Curve (RePEc:nbr:nberwo:11687)
  by Hanno Lustig & Christopher Sleet & Sevin Yeltekin
• When is Market Incompleteness Irrelevant for the Price of Aggregate Risk (and when is it not)? (RePEc:nbr:nberwo:12634)
  by Dirk Krueger & Hanno Lustig
• Can Housing Collateral Explain Long-Run Swings in Asset Returns? (RePEc:nbr:nberwo:12766)
  by Hanno Lustig & Stijn Van Nieuwerburgh
• A Multiplier Approach to Understanding the Macro Implications of Household Finance (RePEc:nbr:nberwo:13555)
  by YiLi Chien & Harold Cole & Hanno Lustig
• Evaluating Asset Pricing Models with Limited Commitment using Household Consumption Data (RePEc:nbr:nberwo:13650)
  by Dirk Krueger & Hanno Lustig & Fabrizio Perri
• The Cross-Section of Foreign Currency Risk Premia and Consumption Growth Risk: A Reply (RePEc:nbr:nberwo:13812)
  by Hanno Lustig & Adrien Verdelhan
• The Wealth-Consumption Ratio (RePEc:nbr:nberwo:13896)
  by Hanno Lustig & Stijn Van Nieuwerburgh & Adrien Verdelhan
• Common Risk Factors in Currency Markets (RePEc:nbr:nberwo:14082)
  by Hanno Lustig & Nikolai Roussanov & Adrien Verdelhan
• Technological Change and the Growing Inequality in Managerial Compensation (RePEc:nbr:nberwo:14661)
  by Hanno Lustig & Chad Syverson & Stijn Van Nieuwerburgh
• Is the Volatility of the Market Price of Risk due to Intermittent Portfolio Re-balancing? (RePEc:nbr:nberwo:15382)
  by Yi-Li Chien & Harold L. Cole & Hanno Lustig
• The Cross-Section and Time-Series of Stock and Bond Returns (RePEc:nbr:nberwo:15688)
  by Ralph S.J. Koijen & Hanno Lustig & Stijn Van Nieuwerburgh
• Why Does the Treasury Issue Tips? The Tips-Treasury Bond Puzzle (RePEc:nbr:nberwo:16358)
  by Matthias Fleckenstein & Francis A. Longstaff & Hanno Lustig
• Countercyclical Currency Risk Premia (RePEc:nbr:nberwo:16427)
  by Hanno Lustig & Nikolai Roussanov & Adrien Verdelhan
• How Does the U.S. Government Finance Fiscal Shocks? (RePEc:nbr:nberwo:16458)
  by Antje Berndt & Hanno Lustig & Sevin Yeltekin
• Size Anomalies in U.S. Bank Stock Returns: A Fiscal Explanation (RePEc:nbr:nberwo:16553)
  by Priyank Gandhi & Hanno Lustig
• Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees (RePEc:nbr:nberwo:17149)
  by Bryan T. Kelly & Hanno Lustig & Stijn Van Nieuwerburgh
• Deflation Risk (RePEc:nbr:nberwo:19238)
  by Matthias Fleckenstein & Francis A. Longstaff & Hanno Lustig
• Firm Volatility in Granular Networks (RePEc:nbr:nberwo:19466)
  by Bernard Herskovic & Bryan Kelly & Hanno Lustig & Stijn Van Nieuwerburgh
• The Term Structure of Currency Carry Trade Risk Premia (RePEc:nbr:nberwo:19623)
  by Hanno Lustig & Andreas Stathopoulos & Adrien Verdelhan
• The Common Factor in Idiosyncratic Volatility: Quantitative Asset Pricing Implications (RePEc:nbr:nberwo:20076)
  by Bernard Herskovic & Bryan T. Kelly & Hanno Lustig & Stijn Van Nieuwerburgh
• Implications of Heterogeneity in Preferences, Beliefs and Asset Trading Technologies for the Macroeconomy (RePEc:nbr:nberwo:20328)
  by YiLi Chien & Harold L. Cole & Hanno Lustig
• Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates? (RePEc:nbr:nberwo:22023)
  by Hanno Lustig & Adrien Verdelhan
• Equity is Cheap for Large Financial Institutions: The International Evidence (RePEc:nbr:nberwo:22355)
  by Priyank Gandhi & Hanno Lustig & Alberto Plazzi
• Capital Share Dynamics When Firms Insure Workers (RePEc:nbr:nberwo:22651)
  by Barney Hartman-Glaser & Hanno Lustig & Mindy Z. Xiaolan
• Complex Asset Markets (RePEc:nbr:nberwo:23476)
  by Andrea L. Eisfeldt & Hanno Lustig & Lei Zhang
• Gravity in FX R-Squared: Understanding the Factor Structure in Exchange Rates (RePEc:nbr:nberwo:23773)
  by Hanno Lustig & Robert J. Richmond
• Foreign Safe Asset Demand and the Dollar Exchange Rate (RePEc:nbr:nberwo:24439)
  by Zhengyang Jiang & Arvind Krishnamurthy & Hanno Lustig
• Post-FOMC Announcement Drift in U.S. Bond Markets (RePEc:nbr:nberwo:25127)
  by Jordan Brooks & Michael Katz & Hanno Lustig
• The U.S. Public Debt Valuation Puzzle (RePEc:nbr:nberwo:26583)
  by Zhengyang Jiang & Hanno Lustig & Stijn Van Nieuwerburgh & Mindy Z. Xiaolan
• Spending Less After (Seemingly) Bad News (RePEc:nbr:nberwo:27010)
  by Mark Garmaise & Yaron Levi & Hanno Lustig
• Dollar Safety and the Global Financial Cycle (RePEc:nbr:nberwo:27682)
  by Zhengyang Jiang & Arvind Krishnamurthy & Hanno Lustig
• Manufacturing Risk-free Government Debt (RePEc:nbr:nberwo:27786)
  by Zhengyang Jiang & Hanno Lustig & Stijn Van Nieuwerburgh & Mindy Z. Xiaolan
• Financial and Total Wealth Inequality with Declining Interest Rates (RePEc:nbr:nberwo:28613)
  by Daniel L. Greenwald & Matteo Leombroni & Hanno Lustig & Stijn Van Nieuwerburgh
• What Drives Variation in the U.S. Debt/Output Ratio? The Dogs that Didn't Bark (RePEc:nbr:nberwo:29351)
  by Zhengyang Jiang & Hanno Lustig & Stijn Van Nieuwerburgh & Mindy Z. Xiaolan
• Measuring U.S. Fiscal Capacity using Discounted Cash Flow Analysis (RePEc:nbr:nberwo:29902)
  by Zhengyang Jiang & Hanno Lustig & Stijn Van Nieuwerburgh & Mindy Z. Xiaolan
• Exorbitant Privilege Gained and Lost: Fiscal Implications (RePEc:nbr:nberwo:30059)
  by Zefeng Chen & Zhengyang Jiang & Hanno Lustig & Stijn Van Nieuwerburgh & Mindy Z. Xiaolan
• The Rest of the World’s Dollar-Weighted Return on U.S. Treasurys (RePEc:nbr:nberwo:30089)
  by Zhengyang Jiang & Arvind Krishnamurthy & Hanno Lustig
• What about Japan? (RePEc:nbr:nberwo:31850)
  by Yi-Li Chien & Harold L. Cole & Hanno Lustig
• Implications of Asset Market Data for Equilibrium Models of Exchange Rates (RePEc:nbr:nberwo:31851)
  by Zhengyang Jiang & Arvind Krishnamurthy & Hanno Lustig
• Convenience Yields and Exchange Rate Puzzles (RePEc:nbr:nberwo:32092)
  by Zhengyang Jiang & Arvind Krishnamurthy & Hanno Lustig & Jialu Sun
• Can Treasury Markets Add and Subtract? (RePEc:nbr:nberwo:33604)
  by Roberto Gomez Cram & Howard Kung & Hanno Lustig
• Fiscal Redistribution Risk in Treasury Markets (RePEc:nbr:nberwo:33769)
  by Roberto Gomez Cram & Howard Kung & Hanno Lustig & David Zeke
• Housing Collateral, Consumption Insurance and Risk Premia: An Empirical Perpective (RePEc:nbr:nberwo:9959)
  by Hanno Lustig & Stijn Van Nieuwerburgh
• A Multiplier Approach to Understanding the Macro Implications of Household Finance (RePEc:oup:restud:v:78:y:2011:i:1:p:199-234)
  by Yili Chien & Harold Cole & Hanno Lustig
• The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street (RePEc:oup:rfinst:v:21:y:2008:i:5:p:2097-2137)
  by Hanno Lustig & Stijn Van Nieuwerburgh
• The Market Price of Aggregate Risk and the Wealth Distribution (RePEc:oup:rfinst:v:23:y:2010:i:4:p:1596-1650)
  by YiLi Chien & Hanno Lustig
• Common Risk Factors in Currency Markets (RePEc:oup:rfinst:v:24:y::i:11:p:3731-3777)
  by Hanno Lustig & Nikolai Roussanov & Adrien Verdelhan
• Code and data files for "How Much Does Housing Collateral Constrain Regional Risk Sharing?" (RePEc:red:ccodes:06-187)
  by Hanno Lustig & Stijn Van Nieuwerburgh
• How Much Does Household Collateral Constrain Regional Risk Sharing? (RePEc:red:issued:06-187)
  by Hanno Lustig & Stijn Van Nieuwerburgh
• Implications of Heterogeneity in Preferences, Beliefs and Asset Trading Technologies in an Endowment Economy (RePEc:red:issued:14-172)
  by Yili Chien & Harold Cole & Hanno Lustig
• The Cross-Section of Foreign Currency Risk Premia and US Consumption Growth Risk (RePEc:red:sed004:136c)
  by Hanno Lustig & Adrien Verdelhan
• Does the US government hedge against government expenditure risk? (RePEc:red:sed004:48)
  by Sevin Yeltekin & Hanno Lustig & Chris Sleet
• Housing Collateral and Consumption Insurance Across US Regions (RePEc:red:sed004:548)
  by Stijn Van Nieuwerburgh & Hanno Lustig
• The Returns on Human Wealth: Good News on Wall Street is Bad News on Main Street (RePEc:red:sed005:105)
  by Stijn Van Nieuwerburgh & Hanno Lustig
• Optimal Debt Maturity Management (RePEc:red:sed006:367)
  by Hanno Lustig & Christopher Sleet & Sevin Yeltekin
• The Wealth-Consumption Ratio: A Litmus Test for Consumption-Based Asset Pricing Models (RePEc:red:sed007:398)
  by Stijn Van Nieuwerburgh & Hanno Lustig
• IT, Corporate Payouts, and the Growing Inequality in Managerial Compensation (RePEc:red:sed008:265)
  by Stijn Van Nieuwerburgh & Chad Syverson & Hanno Lustig
• Common Risk Factors in Currency Markets (RePEc:red:sed008:711)
  by Nick Roussanov & Adrien Verdelhan & Hanno Lustig
• The Bond Risk Premium and the Cross-Section of Equity Returns (RePEc:red:sed009:12)
  by Stijn Van Nieuwerburgh & Hanno Lustig & Ralph S.J. Koijen
• Size Anomalies in US Bank Stock Returns: Your Tax Dollars at Work? (RePEc:red:sed010:1290)
  by Hanno Lustig & Priyank Gandhi
• Too-Systemic-To-Fail: What Option Markets Imply About Sector-wide Government Guarantees (RePEc:red:sed011:1285)
  by Stijn Van Nieuwerburgh & Hanno Lustig & Bryan Kelly
• Why Does the Treasury Issue TIPS? The TIPS-Treasury Bond Puzzle (RePEc:red:sed011:1443)
  by Hanno Lustig
• Investing in Foreign Currency is like Betting on your Intertemporal Marginal Rate of Substitution (RePEc:tpr:jeurec:v:4:y:2006:i:2-3:p:644-655)
  by Hanno Lustig & Adrien Verdelhan
• Evaluating Asset Pricing Models with Limited Commitment Using Household Consumption Data (RePEc:tpr:jeurec:v:6:y:2008:i:2-3:p:715-726)
  by Dirk Krueger & Hanno Lustig & Fabrizio Perri
• Why Are Exchange Rates So Smooth? A Household Finance Explanation (RePEc:uct:uconnp:2017-20)
  by YiLi Chien & Hanno Lustig & Kanda Naknoi
• The Market Price of Aggregate Risk and the Wealth Distribution (RePEc:wpa:wuwpfi:0111004)
  by Hanno Lustig
• Housing Collateral, Consumption Insurance and Risk Premia (RePEc:wpa:wuwpma:0211008)
  by Hanno Lustig & Stijn Van Nieuwerburgh