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Sunday, February 9, 2020 | History

4 edition of A theory of housing collateral, consumption insurance and risk premia found in the catalog.

A theory of housing collateral, consumption insurance and risk premia

Hanno Lustig

A theory of housing collateral, consumption insurance and risk premia

  • 224 Want to read
  • 38 Currently reading

Published by National Bureau of Economic Research in Cambridge, MA .
Written in English


Edition Notes

StatementHanno Lustig, Stijn Van Nieuwerburgh.
SeriesNBER working paper series ;, working paper 10955, Working paper series (National Bureau of Economic Research : Online) ;, working paper no. 10955.
ContributionsNieuwerburgh, Stijn Van., National Bureau of Economic Research.
Classifications
LC ClassificationsHB1
The Physical Object
FormatElectronic resource
ID Numbers
Open LibraryOL3476022M
LC Control Number2005615468

He, H. Diagnosing asset pricing models using the distribution of asset returns. Journal of Monetary Economics, 15, Bernardo A. Capital market equilibrium with restricted borrowing. The equity premium: A puzzle.

Merton, R. Thus, like the results for the equity premium, our view is that the housing model does not have much to say about the source of the value premium. In a model with housing collateral, the ratio of housing wealth to human wealth shifts the conditional distribution of asset prices and consumption growth. Lifetime portfolio selection by dynamic stochastic programming. Thornton, Tom Fomby"

Journal of Economic Theory, 28, — An intertemporal general equilibrium model of asset prices. When the value of housing relative to human wealth falls, loan collateral shrinks, borrowing risk-sharing declines, and the sensitivity of consumption to income increases. Census Bureau.


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A theory of housing collateral, consumption insurance and risk premia book

The resulting regional consumption patterns quantitatively match those in the data. Krueger, D. The pricing of options and corporate liabilities. Mossin, J. Lifetime portfolio selection by dynamic stochastic programming. Review of Financial Studies, 5, The stochastic discount factor contains a new component that we label as the aggregate liquidity shock.

A Theory of Housing Collateral, Consumption Insurance and Risk Premia

Barro, R. In the United States, two-thirds of households own their houses. If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. We organize the paper as follows.

Housing and the Macroeconomy

Conditional on this ratio, the covariance of returns with aggregate risk factors explains eighty percent of the cross-sectional variation in annual size and book-to-market portfolio returns. The linear specification for the aggregate weight shock fits the data best and allows us to make contact with the linear factor models in empirical finance.

Shefrin, H. This collateral mechanism is a novel feature of the model. The housing collateral ratio, which we label my, is measured as the deviation from the cointegration relationship between the value of the aggregate housing stock and the aggregate labor income.

Financial markets and the real economy. When the collateral ratio is low, the dispersion of consumption growth across households is more sensitive to aggregate consumption growth shocks, and this raises the market price of aggregate risk.

Arbitrage Theory in Continuous Time. Working Paper, Duke University. Substitution, risk aversion, and the temporal behavior of consumption and asset returns: An empirical investigation. Arbitrage, factor structure, and mean-variance analysis on large asset markets.

Our use of lagged returns as instruments for equation 19 is standard. LX, NO. Econometrica, 57, In a model with housing collateral, the ratio of housing wealth to human wealth shifts the conditional distribution of asset prices and consumption growth.

A decrease in house prices reduces the collateral value of housing, increases household exposure to idiosyncratic risk, and increases the conditional market price of risk. Using aggregate data for the US, we find that a. Housing Collateral, Consumption Insurance and Risk Premia Hanno Lustig University of Chicago Stijn Van Nieuwerburgh⁄ Stanford University December 6, Abstract In a model with housing collateral, the ratio of housing wealth to human wealth shifts the conditional distribution of asset prices and consumption growth.

A decrease in house prices. "A Theory of Housing Collateral, Consumption Insurance and Risk Premia" Hanno Lustig (UCLA) and Stijn Van Nieuwerburgh (NYU) "Housing, Personal Bankruptcy and Entrepreneurship" Césaire Meh and Yaz Terajima (Bank of Canada) "Movements on the Price of Houses" Jose-Victor Rios-Rull and Virginia Sanchez-Marcos.

In a model with housing collateral, the ratio of housing wealth to human wealth shifts the conditional distribution of asset prices and consumption growth. A decrease in house prices reduces the collateral value of housing, increases household exposure to idiosyncratic risk, and increases the conditional market price of hildebrandsguld.com by: Housing Collateral, Consumption Insurance, and Risk Premia Finally for annual post-war data, the collateral-CAPM with separable preferences explains between 70 and 83% and the collateral-CAPM with nonseparable preferences explains between 76 and 84% of the cross-sectional variation in the 26 portfolios (results are available upon request).

In the reading list I will refer to this book as Cochrane. John Y. Campbell when risk premia are time varying, Journal of Political Explain Asset Pricing Anomalies, Journal of Financial Economics, November * Lustig, H. and S.G. Van Nieuwerburgh,Housing Collateral, Consumption Insurance, and Risk Premia: An Empirical.