|
Based on your IP address, your paper is being delivered by:
|
 |
 |
 |
 |
 |
New York, USA
Processing request.
|
Illinois, USA
Processing request.
|
Brussels, Belgium
Processing request.
|
Seoul, Korea
Processing request.
|
California, USA
Processing request.
|
If you have any problems downloading this paper,
please click on another Download Location above, or
File name: nber. ; Size: 616K
|
|
A Theory of Housing Collateral, Consumption Insurance and Risk Premia
Hanno N. Lustig
UCLA - Anderson School of Management; National Bureau of Economic Research (NBER)
Stijn Van Nieuwerburgh
New York University Stern School of Business, Department of Finance; National Bureau of Economic Research (NBER); Centre for Economic Policy Research (CEPR)
December 2004
NBER Working Paper No. w10955
Abstract:
In a model with housing collateral, 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. This collateral mechanism can quantitatively replicate the conditional and the cross-sectional variation in risk premia on stocks for reasonable parameter values. The increase of the conditional equity premium and Sharpe ratio when collateral is scarce in the model matches the increase observed in US data. The model also generates a return spread of value firms over growth firms of the magnitude observed in the data, because the term structure of consumption strip risk premia is downward sloping.
Number of Pages in PDF File: 62
working papers series
Download This Paper
Date posted: May 25, 2006
Suggested CitationLustig, Hanno N. and Van Nieuwerburgh, Stijn, A Theory of Housing Collateral, Consumption Insurance and Risk Premia (December 2004). NBER Working Paper No. w10955. Available at SSRN: http://ssrn.com/abstract=629597
|
| Feedback to SSRN (Beta) |
|
|
|
|
|
|
