Similar Search Results

What about Japan?

Chien, YiLi; Cole, Harold L.; Lustig, Hanno - 2023

Persistent link: https://www.econbiz.de/10014505846

Can U.S. treasury markets add and subtract

Cram, Roberto Gómez; Kung, Howard; Lustig, Hanno - 2024

Persistent link: https://www.econbiz.de/10014505940

What about Japan?

Chien, YiLi; Cole, Harold L.; Lustig, Hanno - 2023

Persistent link: https://www.econbiz.de/10014429308

What about Japan?

Chien, YiLi; Cole, Harold L.; Lustig, Hanno - National Bureau of Economic Research - 2023

As a result of the BoJ's large-scale asset purchases, the consolidated Japanese government borrows mostly at the floating rate from households and invests in longer-duration risky assets to earn an extra 3% of GDP. We quantify the impact of Japan's low-rate policies on its government and...

Persistent link: https://www.econbiz.de/10014436981

The Rest of the World's Dollar-Weighted Return on U.S. Treasurys

Jiang, Zhengyang; Krishnamurthy, Arvind; Lustig, Hanno - National Bureau of Economic Research - 2022

Since 1980, foreign investors have timed their purchases and sales of U.S. Treasurys to yield particularly low returns. Their annual dollar-weighted returns, measured by IRRs, are around 3% lower than a buy-and-hold strategy over the same horizon. In comparison, the IRRs achieved by domestic...

Persistent link: https://www.econbiz.de/10013210117

The wealth-consumption ratio

Lustig, Hanno; Nieuwerburgh, Stijn van; Verdelhan, Adrien - 2008

"To measure the wealth-consumption ratio, we estimate an exponentially affine model of the stochastic discount factor … US consumption. Our estimates indicate that total wealth is much safer than stock market wealth. The consumption risk … wealth-consumption ratio is much higher than the price-dividend ratio on stocks throughout the post-war period. The high …

Persistent link: https://www.econbiz.de/10003689909

The wealth-consumption ratio

Lustig, Hanno; Nieuwerburgh, Stijn van; Verdelhan, Adrien - 2012

Persistent link: https://www.econbiz.de/10009577601

Note on the cross-section of foreign currency risk premia and consumption growth risk

Lustig, Hanno; Verdelhan, Adrien - 2008

"We find that the US consumption growth beta of an investment strategy that goes long in high interest rate currencies … and short in low interest rate currencies is larger than one. These consumption beta estimates are statistically … significant, contrary to what is claimed by Burnside (2007). With these consumption betas, the Consumption-CAPM can account for …

Persistent link: https://www.econbiz.de/10003659461

The wealth-consumption ratio

Lustig, Hanno; Nieuwerburgh, Stijn van; Verdelhan, Adrien - In: Review of asset pricing studies 3 (2013) 1, pp. 38-94

Persistent link: https://www.econbiz.de/10010188876

Manufacturing risk-free government debt

Jiang, Zhengyang; Lustig, Hanno; Nieuwerburgh, Stijn van; … - 2021

Governments face a trade-off between insuring bondholders and taxpayers. If the government fully insures bondholders by manufacturing risk-free zero-beta debt, then it cannot also insure taxpayers against permanent macroeconomic shocks over long horizons. Instead, taxpayers will pay more in...

Persistent link: https://www.econbiz.de/10012437854