Motohiro Yogo

Princeton University - Department of Economics

Professor of Economics

Julis Romo Rabinowitz Building

Princeton, NJ 08544

United States

http://sites.google.com/site/motohiroyogo/

National Bureau of Economic Research

Research Associate

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

29

DOWNLOADS
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26,378

CITATIONS
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Top 1,004

in Total Papers Citations

357

Ideas:
“  Asset pricing and Insurance  ”

Scholarly Papers (29)

What Does Futures Market Interest Tell Us about the Macroeconomy and Asset Prices?

Journal of Financial Economics (JFE), Vol. 105, No. 3, 2012, AFA 2010 Atlanta Meetings Paper
Number of pages: 46 Posted: 22 Mar 2009 Last Revised: 24 Jun 2012
Harrison G. Hong and Motohiro Yogo
Columbia University, Graduate School of Arts and Sciences, Department of Economics and Princeton University - Department of Economics
Downloads 3,787 (2,348)
Citation 3

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Bonds, Business cycle, Commodities, Currencies, Futures market, Inflation

What Does Futures Market Interest Tell Us About the Macroeconomy and Asset Prices?

NBER Working Paper No. w16712
Number of pages: 47 Posted: 24 Jan 2011
Harrison G. Hong and Motohiro Yogo
Columbia University, Graduate School of Arts and Sciences, Department of Economics and Princeton University - Department of Economics
Downloads 77 (311,462)
Citation 72

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2.
Downloads 3,225 ( 3,169)
Citation 32

A Demand System Approach to Asset Pricing

Journal of Political Economy, Vol. 127, No. 4, 2019
Number of pages: 62 Posted: 14 Dec 2014 Last Revised: 21 Jun 2019
Ralph S. J. Koijen and Motohiro Yogo
University of Chicago - Booth School of Business and Princeton University - Department of Economics
Downloads 3,179 (3,177)
Citation 31

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Asset pricing model, Demand system, Institutional investors, Liquidity, Portfolio choice

A Demand System Approach to Asset Pricing

NBER Working Paper No. w21749
Number of pages: 63 Posted: 23 Nov 2015
Ralph S. J. Koijen and Motohiro Yogo
University of Chicago - Booth School of Business and Princeton University - Department of Economics
Downloads 46 (404,612)
Citation 2

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3.
Downloads 3,133 ( 3,340)
Citation 9

Shadow Insurance

Econometrica, Vol. 84, No. 3, 2016, Swiss Finance Institute Research Paper No. 14-64
Number of pages: 50 Posted: 06 Sep 2013 Last Revised: 19 May 2016
Ralph S. J. Koijen and Motohiro Yogo
University of Chicago - Booth School of Business and Princeton University - Department of Economics
Downloads 3,102 (3,320)
Citation 2

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Capital regulation, Demand estimation, Life insurance industry, Regulatory arbitrage, Reinsurance

Shadow Insurance

NBER Working Paper No. w19568
Number of pages: 51 Posted: 25 Oct 2013
Ralph S. J. Koijen and Motohiro Yogo
University of Chicago - Booth School of Business and Princeton University - Department of Economics
Downloads 31 (468,675)
Citation 4

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4.
Downloads 2,514 ( 4,820)
Citation 453

Testing for Weak Instruments in Linear IV Regression

IDENTIFICATION AND INFERENCE FOR ECONOMETRIC MODELS: ESSAYS IN HONOR OF THOMAS ROTHENBERG, 2005
Number of pages: 48 Posted: 07 Jan 2011 Last Revised: 31 Jul 2013
James H. Stock and Motohiro Yogo
Harvard University - Department of Economics and Princeton University - Department of Economics
Downloads 2,275 (5,597)
Citation 346

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Testing for Weak Instruments in Linear IV Regression

NBER Working Paper No. t0284
Number of pages: 73 Posted: 02 Apr 2003
James H. Stock and Motohiro Yogo
Harvard University - Department of Economics and Princeton University - Department of Economics
Downloads 239 (125,890)
Citation 469

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5.
Downloads 1,906 ( 7,718)
Citation 103

Efficient Tests of Stock Return Predictability

Journal of Financial Economics (JFE), Vol. 81, No. 1, 2006
Number of pages: 56 Posted: 23 Oct 2002 Last Revised: 17 Jun 2009
John Y. Campbell and Motohiro Yogo
Harvard University - Department of Economics and Princeton University - Department of Economics
Downloads 1,788 (8,419)
Citation 12

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Bonferroni test, Dividend yield, Predictability, Stock returns, Unit root

Efficient Tests of Stock Return Predictability

NBER Working Paper No. w10026
Number of pages: 57 Posted: 14 Oct 2003 Last Revised: 28 Aug 2009
John Y. Campbell and Motohiro Yogo
Harvard University - Department of Economics and Princeton University - Department of Economics
Downloads 118 (235,780)
Citation 179

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6.
Downloads 1,368 ( 13,248)
Citation 22

The Cost of Financial Frictions for Life Insurers

American Economic Review, Vol. 105, No. 1, 2015, Chicago Booth Research Paper No. 12-30, Fama-Miller Working Paper
Number of pages: 42 Posted: 31 Mar 2012 Last Revised: 13 Nov 2014
Ralph S. J. Koijen and Motohiro Yogo
University of Chicago - Booth School of Business and Princeton University - Department of Economics
Downloads 1,346 (13,299)
Citation 3

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Annuities, Capital regulation, Financial crisis, Leverage, Life insurance

The Cost of Financial Frictions for Life Insurers

NBER Working Paper No. w18321
Number of pages: 43 Posted: 18 Aug 2012
Ralph S. J. Koijen and Motohiro Yogo
University of Chicago - Booth School of Business and Princeton University - Department of Economics
Downloads 22 (520,363)
Citation 44

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7.

Inspecting the Mechanism of Quantitative Easing in the Euro Area

Banque de France Working Paper No. 601
Number of pages: 47 Posted: 09 Sep 2016 Last Revised: 23 Mar 2018
University of Chicago - Booth School of Business, Luxembourg School of Finance, Banque de France and Princeton University - Department of Economics
Downloads 1,341 (13,687)
Citation 32

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Quantitative Easing, Flow of Risk, Portfolio Rebalancing, Risk Concentration

Portfolio Choice in Retirement: Health Risk and the Demand for Annuities, Housing, and Risky Assets

Journal of Monetary Economics, Vol. 80, 2016, Boston College Center for Retirement Research Working Paper No. 2009-3, AFA 2009 San Francisco Meetings Paper
Number of pages: 40 Posted: 06 Mar 2008 Last Revised: 19 May 2016
Motohiro Yogo
Princeton University - Department of Economics
Downloads 1,015 (20,482)
Citation 5

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Aging, Asset allocation, Life-cycle model, Medical expenditure, Saving

Portfolio Choice in Retirement: Health Risk and the Demand for Annuities, Housing, and Risky Assets

NBER Working Paper No. w15307
Number of pages: 41 Posted: 08 Sep 2009 Last Revised: 25 Sep 2010
Motohiro Yogo
Princeton University - Department of Economics
Downloads 38 (436,591)
Citation 22

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9.
Downloads 861 ( 26,494)
Citation 8

A Note on Liquidity Risk Management

American Economic Review, Vol. 99, No. 2, 2009
Number of pages: 13 Posted: 19 Jan 2009 Last Revised: 17 Jun 2009
Markus K. Brunnermeier and Motohiro Yogo
Princeton University - Department of Economics and Princeton University - Department of Economics
Downloads 779 (29,954)
Citation 13

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Funding liquidity, Hedging, Maturity structure, Risk management

A Note on Liquidity Risk Management

NBER Working Paper No. w14727
Number of pages: 14 Posted: 17 Feb 2009 Last Revised: 29 Sep 2010
Markus K. Brunnermeier and Motohiro Yogo
Princeton University - Department of Economics and Princeton University - Department of Economics
Downloads 82 (299,810)

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10.
Downloads 795 ( 29,611)
Citation 1

The Fragility of Market Risk Insurance

Becker Friedman Institute for Research in Economics Working Paper No. 2018-9
Number of pages: 45 Posted: 24 May 2017 Last Revised: 16 May 2018
Ralph S. J. Koijen and Motohiro Yogo
University of Chicago - Booth School of Business and Princeton University - Department of Economics
Downloads 773 (30,278)
Citation 1

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Financial crisis, Life insurance industry, Minimum return guarantees, Risk-based capital regulation, Variable annuities

The Fragility of Market Risk Insurance

NBER Working Paper No. w24182
Number of pages: 46 Posted: 09 Jan 2018
Ralph S. J. Koijen and Motohiro Yogo
University of Chicago - Booth School of Business and Princeton University - Department of Economics
Downloads 22 (520,363)
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The Fragility of Market Risk Insurance

CEPR Discussion Paper No. DP12560
Number of pages: 47 Posted: 08 Jan 2018
Ralph S. J. Koijen and Motohiro Yogo
University of Chicago - Booth School of Business and Princeton University - Department of Economics
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Health and Mortality Delta: Assessing the Welfare Cost of Household Insurance Choice

Journal of Finance, Vol. 71, No. 2, 2016, Netspar Discussion Paper No. 05/2011-050, Chicago Booth Research Paper No. 11-34, Fama-Miller Working Paper, NYU Working Paper No. FIN-11-055
Number of pages: 63 Posted: 10 May 2011 Last Revised: 24 Dec 2015
University of Chicago - Booth School of Business, Columbia University Graduate School of Business and Princeton University - Department of Economics
Downloads 775 (30,168)

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Annuities, Health insurance, Life-cycle model, Life insurance, Portfolio choice

Health and Mortality Delta: Assessing the Welfare Cost of Household Insurance Choice

NBER Working Paper No. w17325
Number of pages: 64 Posted: 29 Aug 2011
University of Chicago - Booth School of Business, Columbia University Graduate School of Business and Princeton University - Department of Economics
Downloads 17 (552,392)
Citation 19

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12.

Measuring Business Cycles: A Wavelet Analysis of Economic Time Series

Economics Letters, Vol. 100, No. 2, 2008
Number of pages: 11 Posted: 16 Apr 2008 Last Revised: 07 Jan 2011
Motohiro Yogo
Princeton University - Department of Economics
Downloads 730 (33,283)
Citation 15

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Band-pass filter, Business cycle, Linear filter, Trend, Wavelets

13.
Downloads 710 ( 34,549)
Citation 26

Durability of Output and Expected Stock Returns

Journal of Political Economy, Vol. 117, No. 5, 2009, AFA 2008 New Orleans Meetings Paper
Number of pages: 63 Posted: 20 Mar 2007 Last Revised: 01 Nov 2009
Joao F. Gomes, Leonid Kogan and Motohiro Yogo
The Wharton School, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Princeton University - Department of Economics
Downloads 651 (38,211)

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Cash flow, Durable goods, Factor-mimicking portfolio, Input-output accounts, Stock returns

Durability of Output and Expected Stock Returns

NBER Working Paper No. w12986
Number of pages: 65 Posted: 23 Mar 2007 Last Revised: 27 Jun 2010
Joao F. Gomes, Leonid Kogan and Motohiro Yogo
The Wharton School, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Princeton University - Department of Economics
Downloads 59 (360,329)
Citation 52

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14.
Downloads 653 ( 38,645)
Citation 63

Luxury Goods and the Equity Premium

Journal of Finance, Vol. 59, No. 6, 2004
Number of pages: 60 Posted: 19 May 2003 Last Revised: 17 Jun 2009
Princeton University - Department of Economics, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Princeton University - Department of Economics
Downloads 569 (45,834)
Citation 73

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Asset pricing, Consumption, Equity premium puzzle, Portfolio choice

Luxury Goods and the Equity Premium

NBER Working Paper No. w8417
Number of pages: 47 Posted: 17 Oct 2005 Last Revised: 23 Oct 2010
Princeton University - Department of Economics, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Princeton University - Department of Economics
Downloads 84 (295,402)

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Risk of Life Insurers: Recent Trends and Transmission Mechanisms

The Economics, Regulation, and Systemic Risk of Insurance Markets, 2017
Number of pages: 30 Posted: 21 Sep 2015 Last Revised: 15 Jan 2017
Ralph S. J. Koijen and Motohiro Yogo
University of Chicago - Booth School of Business and Princeton University - Department of Economics
Downloads 618 (41,057)
Citation 4

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Derivatives, Reinsurance, Securities lending, Shadow insurance, Systemic risk, Variable annuities

Risk of Life Insurers: Recent Trends and Transmission Mechanisms

NBER Working Paper No. w23365
Number of pages: 31 Posted: 01 May 2017
Ralph S. J. Koijen and Motohiro Yogo
University of Chicago - Booth School of Business and Princeton University - Department of Economics
Downloads 20 (532,976)
Citation 3
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Downloads 519 ( 52,173)
Citation 36

Why Do Household Portfolio Shares Rise in Wealth?

Review of Financial Studies, Vol. 23, No. 11, 2010, AFA 2008 New Orleans Meetings Paper
Number of pages: 57 Posted: 16 Mar 2007 Last Revised: 13 Dec 2011
Jessica A. Wachter and Motohiro Yogo
University of Pennsylvania - Finance Department and Princeton University - Department of Economics
Downloads 491 (55,302)
Citation 63

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Decreasing relative risk aversion, Engel curves, Life-cycle model, Nonhomothetic utility, Portfolio choice

Why Do Household Portfolio Shares Rise in Wealth?

NBER Working Paper No. w16316
Number of pages: 58 Posted: 30 Aug 2010 Last Revised: 26 Sep 2010
Jessica A. Wachter and Motohiro Yogo
University of Pennsylvania - Finance Department and Princeton University - Department of Economics
Downloads 28 (484,401)

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Does Firm Value Move Too Much to Be Justified By Subsequent Changes in Cash Flow?

Journal of Financial Economics (JFE), Vol. 87, No. 1, 2008
Number of pages: 55 Posted: 04 Mar 2006 Last Revised: 17 Jun 2009
Borja Larrain and Motohiro Yogo
Pontificia Universidad Catolica de Chile and Princeton University - Department of Economics
Downloads 430 (65,235)

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Asset valuation, Excess volatility, Payout policy, Valuation ratio

Does Firm Value Move Too Much to Be Justified by Subsequent Changes in Cash Flow?

NBER Working Paper No. w12847
Number of pages: 56 Posted: 20 Jan 2007 Last Revised: 10 Aug 2010
Borja Larrain and Motohiro Yogo
Pontificia Universidad Catolica de Chile and Princeton University - Department of Economics
Downloads 58 (363,513)
Citation 64

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Does School Quality Matter? Returns to Education and the Characteristics of Schools in South Africa

Number of pages: 43 Posted: 30 Nov 1999
Anne Case and Motohiro Yogo
Princeton University - Research Program in Development Studies and Princeton University - Department of Economics
Downloads 221 (136,086)
Citation 2

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Does School Quality Matter? Returns to Education and the Characteristics of Schools in South Africa

NBER Working Paper No. w7399
Number of pages: 48 Posted: 16 Aug 2000 Last Revised: 14 Oct 2010
Anne Case and Motohiro Yogo
Princeton University - Research Program in Development Studies and Princeton University - Department of Economics
Downloads 82 (299,810)
Citation 6

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19.

Which Investors Matter for Global Equity Valuations and Expected Returns?

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2019-92
Number of pages: 51 Posted: 28 Jun 2019
Ralph S. J. Koijen, Robert Richmond and Motohiro Yogo
University of Chicago - Booth School of Business, New York University (NYU) - Department of Finance and Princeton University - Department of Economics
Downloads 284 (106,465)

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20.

Asset Prices Under Habit Formation and Reference-Dependent Preferences

Journal of Business and Economic Statistics, Vol. 26, No. 2, 2008
Number of pages: 43 Posted: 16 Apr 2006 Last Revised: 17 Jun 2009
Motohiro Yogo
Princeton University - Department of Economics
Downloads 273 (110,240)
Citation 23

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Asset pricing, Consumption, Equity premium, Habit formation, Loss aversion

21.

Leverage Dynamics and Credit Quality

Journal of Economic Theory, Vol. 183, 2019
Number of pages: 40 Posted: 08 May 2013 Last Revised: 19 Jun 2019
University of Pennsylvania - Department of Economics, Universidad de los Andes, Colombia - Department of Economics and Princeton University - Department of Economics
Downloads 207 (145,183)

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Adverse Selection, Collateral, Credit Score, Reputation, Signaling

22.

Asymptotic Distributions of Instrumental Variables Statistics with Many Instruments

IDENTIFICATION AND INFERENCE FOR ECONOMETRIC MODELS: ESSAYS IN HONOR OF THOMAS ROTHENBERG, Ch. 6, 2005
Number of pages: 23 Posted: 05 Jan 2011 Last Revised: 31 Jul 2013
James H. Stock and Motohiro Yogo
Harvard University - Department of Economics and Princeton University - Department of Economics
Downloads 157 (185,930)
Citation 32

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23.

A Consumption-Based Explanation of Expected Stock Returns

Journal of Finance, Vol. 61, No. 2, 2006
Number of pages: 65 Posted: 18 Jan 2009 Last Revised: 12 Mar 2014
Motohiro Yogo
Princeton University - Department of Economics
Downloads 150 (193,191)
Citation 182

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24.

Exchange Rates and Asset Prices in a Global Demand System

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2019-91
Number of pages: 47 Posted: 18 Jun 2019 Last Revised: 16 Jul 2019
Ralph S. J. Koijen and Motohiro Yogo
University of Chicago - Booth School of Business and Princeton University - Department of Economics
Downloads 112 (243,709)

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Asset demand system, Asset pricing, Foreign exchange reserves, Monetary policy, Portfolio choice

25.

A Survey of Weak Instruments and Weak Identification in Generalized Method of Moments

Journal of Business and Economic Statistics, Vol. 20, No. 4, 2002
Number of pages: 52 Posted: 09 Jan 2011
James H. Stock, Jonathan H. Wright and Motohiro Yogo
Harvard University - Department of Economics, Johns Hopkins University - Department of Economics and Princeton University - Department of Economics
Downloads 97 (267,288)
Citation 890

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Instrument relevance, Instrumental variables, Similar tests

26.

Estimating the Elasticity of Intertemporal Substitution When Instruments Are Weak

Review of Economics and Statistics, Vol. 86, No. 3, 2004
Number of pages: 38 Posted: 18 Jan 2009 Last Revised: 12 Mar 2014
Motohiro Yogo
Princeton University - Department of Economics
Downloads 95 (270,879)
Citation 90

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27.

Asymptotic Properties of the Hahn-Hausman Test for Weak Instruments

Economics Letters, Vol. 89, No. 3, 2005
Number of pages: 15 Posted: 05 Jan 2011 Last Revised: 07 Jan 2011
Jerry A. Hausman, James H. Stock and Motohiro Yogo
Massachusetts Institute of Technology (MIT) - Department of Economics, Harvard University - Department of Economics and Princeton University - Department of Economics
Downloads 68 (330,525)
Citation 21

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Weak identification, Instrumental variables, Pretest

Worker Betas: Five Facts About Systematic Earnings Risk

FRB of Chicago Working Paper No. WP-2017-4
Number of pages: 38 Posted: 09 Mar 2017
Fatih Guvenen, Sam Schulhofer-Wohl and Motohiro Yogo
University of Minnesota - Department of Economics, Federal Reserve Bank of Chicago and Princeton University - Department of Economics
Downloads 29 (479,080)

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GDP (gross domestic product), Income, Investments

Worker Betas: Five Facts About Systematic Earnings Risk

NBER Working Paper No. w23163
Number of pages: 33 Posted: 13 Feb 2017
University of Minnesota - Department of Economics, Federal Reserve Bank of Chicago, U.S. Social Security Administration and Princeton University - Department of Economics
Downloads 13 (578,466)
Citation 2

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29.

Is the Insurance Sector at Risk?

Business Strategy Review, Vol. 25, Issue 2, pp. 30-33, 2014
Number of pages: 4 Posted: 03 Jun 2014
Ralph S. J. Koijen and Motohiro Yogo
University of Chicago - Booth School of Business and Princeton University - Department of Economics
Downloads 0 (661,936)
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