Hanno Lustig

Jul 22, 2024 | kellogg.northwestern.edu | Zhengyang Jiang |Hanno Lustig

Home | Faculty & Research Overview | Research U.S. monetary policy shocks have an outsized impact on the world economy, a phenomenon that is described by Rey’s (2013) “global financial cycle”. In contrast, shocks in foreign countries have smaller impacts on the U.S. We build a model to rationalize these facts based on the special demand for dollar safe assets.

Jun 11, 2024 | onlinelibrary.wiley.com | Zhengyang Jiang |Hanno Lustig |Stijn Van Nieuwerburgh |Mindy Z. Xiaolan

Supporting Information REFERENCES , 2018, Psychology-based models of asset prices and trading volume, in B. Douglas Bernheim, Stefano DellaVigna, and David Laibson, eds.: Handbook of Behavioral Economics: Foundations and Applications, Elsevier, North Holland, Netherlands. , and , 2018, The fiscal theory of the price level in a world of low interest rates, Journal of Economic Dynamics and Control 89, 5–22.

Nov 9, 2023 | nber.org | Zhengyang Jiang |Hanno Lustig

First draft: Feb. 2023. We are especially grateful to Andy Atkeson for his help on the first draft. For comments and feedback, we thank participants of the FRB-Dallas-University of Houston-Banco de Mexico conference Manuel Amador, Mike Chernov, Sebastian Di Tella, Ben Hebert, Matteo Maggiori, Juan Pablo Niccolini, Chris Tonetti, Monika Piazzesi, Martin Schneider, and Chenzi Xu. We thank Xuning Ding for excellent research assistance.

Jul 20, 2023 | onlinelibrary.wiley.com | Andrea Eisfeldt |Hanno Lustig |Lei Zhang

Rapid Publication This article has been accepted for publication and undergone full peer review but has not been through the copyediting, typesetting, pagination and proofreading process, which may lead to differences between this version and the Version of Record. Please cite this article as https://doi.org/10.1111/jofi.13264 ABSTRACT Investors' individual arbitrage models introduce idiosyncratic risk into complex asset strategies, driving up average returns and Sharpe ratios.

Feb 17, 2023 | marketwatch.com | Hanno Lustig

About the authors: Arvind Krishnamurthy is the John S. Osterweis professor of finance at the Stanford Graduate School of Business. Hanno Lustig is the school's Mizuho Financial Group professor of finance. Both are senior fellows at the Stanford Institute for Economic Policy Research. The last time the U.S. government posted a budget surplus, Michael Jordan was still playing in the National Basketball Association. That was 2001, the first year of George W. Bush's presidency.