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

27

DOWNLOADS
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SSRN RANKINGS

Top 1,006

in Total Papers Downloads

20,891

CITATIONS
Rank 253

SSRN RANKINGS

Top 253

in Total Papers Citations

1,451

Scholarly Papers (27)

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 3,483 (2,030)
Citation 22

Abstract:

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 60 (301,577)
Citation 22

Abstract:

2.
Downloads 2,772 ( 3,124)
Citation 1

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
New York University (NYU) - Department of Finance and Princeton University - Department of Economics
Downloads 2,756 (3,093)
Citation 1

Abstract:

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
New York University (NYU) - Department of Finance and Princeton University - Department of Economics
Downloads 16 (479,422)
Citation 1

Abstract:

3.
Downloads 2,237 ( 4,519)
Citation 521

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 2,024 (5,232)
Citation 520

Abstract:

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 213 (117,076)
Citation 521

Abstract:

An Equilibrium Model of Institutional Demand and Asset Prices

Number of pages: 53 Posted: 14 Dec 2014 Last Revised: 16 Oct 2016
Ralph S. J. Koijen and Motohiro Yogo
New York University (NYU) - Department of Finance and Princeton University - Department of Economics
Downloads 1,799 (6,436)

Abstract:

Asset pricing model, Differentiated product demand systems, Institutional investors, Liquidity, Portfolio choice

An Equilibrium Model of Institutional Demand and Asset Prices

NBER Working Paper No. w21749
Number of pages: 54 Posted: 23 Nov 2015
Ralph S. J. Koijen and Motohiro Yogo
New York University (NYU) - Department of Finance and Princeton University - Department of Economics
Downloads 15 (485,213)

Abstract:

5.
Downloads 1,810 ( 6,505)
Citation 176

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 1,710 (7,066)
Citation 176

Abstract:

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
John Y. Campbell and Motohiro Yogo
Harvard University - Department of Economics and Princeton University - Department of Economics
Downloads 100 (221,521)
Citation 176

Abstract:

6.
Downloads 1,141 ( 13,886)
Citation 5

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
New York University (NYU) - Department of Finance and Princeton University - Department of Economics
Downloads 1,131 (13,797)
Citation 5

Abstract:

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
New York University (NYU) - Department of Finance and Princeton University - Department of Economics
Downloads 10 (513,855)
Citation 5

Abstract:

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 936 (18,388)
Citation 37

Abstract:

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
Motohiro Yogo
Princeton University - Department of Economics
Downloads 25 (427,985)
Citation 37

Abstract:

8.
Downloads 834 ( 22,196)
Citation 7

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 759 (25,084)
Citation 7

Abstract:

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
Markus K. Brunnermeier and Motohiro Yogo
Princeton University - Department of Economics and Princeton University - Department of Economics
Downloads 75 (266,574)
Citation 7

Abstract:

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
New York University (NYU) - Department of Finance, New York University Stern School of Business, Department of Finance and Princeton University - Department of Economics
Downloads 670 (29,878)
Citation 2

Abstract:

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
New York University (NYU) - Department of Finance, New York University Stern School of Business, Department of Finance and Princeton University - Department of Economics
Downloads 10 (513,855)
Citation 2

Abstract:

10.
Downloads 677 ( 29,898)
Citation 32

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 627 (32,662)
Citation 32

Abstract:

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
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 50 (330,049)
Citation 32

Abstract:

11.
Downloads 617 ( 33,905)
Citation 68

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 541 (39,776)
Citation 68

Abstract:

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
Princeton University - Department of Economics, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Princeton University - Department of Economics
Downloads 76 (264,444)
Citation 68

Abstract:

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 585 (30,912)
Citation 6

Abstract:

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

13.
Downloads 487 ( 46,066)
Citation 21

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 466 (48,128)
Citation 21

Abstract:

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
Jessica A. Wachter and Motohiro Yogo
University of Pennsylvania - Finance Department and Princeton University - Department of Economics
Downloads 21 (450,572)
Citation 21

Abstract:

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 404 (57,459)
Citation 29

Abstract:

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
Borja Larrain and Motohiro Yogo
Pontificia Universidad Catolica de Chile and Princeton University - Department of Economics
Downloads 51 (326,962)
Citation 29

Abstract:

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
New York University (NYU) - Department of Finance and Princeton University - Department of Economics
Downloads 417 (55,273)

Abstract:

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
New York University (NYU) - Department of Finance and Princeton University - Department of Economics
Downloads 18 (467,932)

Abstract:

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 208 (119,839)
Citation 8

Abstract:

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
Anne Case and Motohiro Yogo
Princeton University - Research Program in Development Studies and Princeton University - Department of Economics
Downloads 73 (270,870)
Citation 8

Abstract:

17.

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 235 (99,451)
Citation 13

Abstract:

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

18.

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 110 (182,475)
Citation 107

Abstract:

19.

Debt: Deleveraging or Default

Number of pages: 33 Posted: 08 May 2013 Last Revised: 04 Jun 2013
University of Pennsylvania - Department of Economics, Universidad de los Andes, Colombia - Department of Economics and Princeton University - Department of Economics
Downloads 107 (164,244)

Abstract:

Adverse selection, Collateral, Leverage, Reputation, Signaling, Unsecured debt

20.

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 59 (212,768)
Citation 17

Abstract:

21.

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 48 (261,954)
Citation 51

Abstract:

22.

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 41 (316,112)
Citation 9

Abstract:

Weak identification, Instrumental variables, Pretest

23.

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 30 (318,965)
Citation 320

Abstract:

Instrument relevance, Instrumental variables, Similar tests

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 Minneapolis and Princeton University - Department of Economics
Downloads 16 (479,422)

Abstract:

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 Minneapolis, U.S. Social Security Administration and Princeton University - Department of Economics
Downloads 10 (513,855)

Abstract:

25.

The Fragility of Market Risk Insurance

Number of pages: 36 Posted: 24 May 2017
Ralph S. J. Koijen and Motohiro Yogo
New York University (NYU) - Department of Finance and Princeton University - Department of Economics
Downloads 0 (252,172)

Abstract:

Financial crisis, Guaranteed return products, Life insurance industry, Risk-based capital regulation, Variable annuities

26.

Quantitative Easing in the Euro Area: The Dynamics of Risk Exposures and the Impact on Asset Prices.

Number of pages: 50 Posted: 09 Sep 2016
New York University (NYU) - Department of Finance, Banque centrale du Luxembourg, Banque de France and Princeton University - Department of Economics
Downloads 0 (38,102)

Abstract:

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

27.

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
New York University (NYU) - Department of Finance and Princeton University - Department of Economics
Downloads 0 (553,475)

Abstract: