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

  • Princeton University - Department of Economics

SCHOLARLY PAPERS

27

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24,308

CITATIONS
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Top 252

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1,457

Scholarly Papers (27)

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1.

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

Downloads 3,747 ( 2,218)
Citation 22

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 3,672 (2,277)
Citation 22

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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 75 (298,620)
Citation 22

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2.

Shadow Insurance

Downloads 3,014 ( 3,264)
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
University of Chicago - Booth School of Business and Princeton University - Department of Economics
Downloads 2,987 (3,251)
Citation 1

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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 27 (463,525)
Citation 1

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3.

A Demand System Approach to Asset Pricing

Downloads 2,701 ( 3,943)

A Demand System Approach to Asset Pricing

Number of pages: 62 Posted: 14 Dec 2014 Last Revised: 10 Aug 2018
Ralph S. J. Koijen and Motohiro Yogo
University of Chicago - Booth School of Business and Princeton University - Department of Economics
Downloads 2,676 (3,915)

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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: 64 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 25 (474,885)

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4.

Testing for Weak Instruments in Linear IV Regression

Downloads 2,411 ( 4,773)
Citation 518

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 2,184 (5,511)
Citation 517

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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 227 (124,533)
Citation 518

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5.

Efficient Tests of Stock Return Predictability

Downloads 1,867 ( 7,362)
Citation 177

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 1,755 (8,023)
Citation 177

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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 112 (229,524)
Citation 177

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6.

The Cost of Financial Frictions for Life Insurers

Downloads 1,277 ( 13,650)
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
University of Chicago - Booth School of Business and Princeton University - Department of Economics
Downloads 1,257 (13,678)
Citation 5

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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 20 (504,888)
Citation 5

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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
Ralph S. J. Koijen, Francois Koulischer, Benoît Nguyen and Motohiro Yogo
University of Chicago - Booth School of Business, Luxembourg School of Finance, Banque de France and Princeton University - Department of Economics
Downloads 1,134 (16,432)

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

8.

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

Downloads 1,026 ( 19,015)
Citation 38

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 990 (19,734)
Citation 38

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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
Motohiro Yogo
Princeton University - Department of Economics
Downloads 36 (421,151)
Citation 38

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9.

A Note on Liquidity Risk Management

Downloads 856 ( 24,862)
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 775 (28,200)
Citation 7

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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 81 (285,101)
Citation 7

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10.

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

Downloads 753 ( 29,749)
Citation 4

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
Ralph S. J. Koijen, Stijn Van Nieuwerburgh and Motohiro Yogo
University of Chicago - Booth School of Business, Columbia University Graduate School of Business and Princeton University - Department of Economics
Downloads 737 (30,171)
Citation 4

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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
Ralph S. J. Koijen, Stijn Van Nieuwerburgh and Motohiro Yogo
University of Chicago - Booth School of Business, Columbia University Graduate School of Business and Princeton University - Department of Economics
Downloads 16 (529,051)
Citation 4

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11.

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 710 (32,257)
Citation 6

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

12.

Durability of Output and Expected Stock Returns

Downloads 701 ( 32,803)
Citation 33

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 645 (36,191)
Citation 33

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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 56 (349,287)
Citation 33

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13.

Luxury Goods and the Equity Premium

Downloads 639 ( 37,157)
Citation 67

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
Yacine Ait-Sahalia, Jonathan A. Parker and Motohiro Yogo
Princeton University - Department of Economics, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Princeton University - Department of Economics
Downloads 558 (43,880)
Citation 67

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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
Yacine Ait-Sahalia, Jonathan A. Parker and Motohiro Yogo
Princeton University - Department of Economics, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Princeton University - Department of Economics
Downloads 81 (285,101)
Citation 67

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14.

The Fragility of Market Risk Insurance

Downloads 623 ( 38,465)

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 603 (39,581)

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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 20 (504,888)
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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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15.

Risk of Life Insurers: Recent Trends and Transmission Mechanisms

Downloads 543 ( 45,982)

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 524 (47,550)

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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 19 (510,952)
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16.

Why Do Household Portfolio Shares Rise in Wealth?

Downloads 507 ( 50,207)
Citation 22

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 481 (53,055)
Citation 22

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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 26 (469,166)
Citation 22

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17.

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

Downloads 477 ( 54,219)
Citation 29

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 420 (62,758)
Citation 29

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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 57 (346,262)
Citation 29

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18.

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

Downloads 297 ( 94,480)
Citation 8

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 218 (129,658)
Citation 8

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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 79 (289,515)
Citation 8

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19.

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 270 (104,583)
Citation 13

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

20.

Leverage Dynamics and Credit Quality

Number of pages: 33 Posted: 08 May 2013 Last Revised: 03 May 2018
Guillermo Ordoñez, David Perez-Reyna and Motohiro Yogo
University of Pennsylvania - The Ronald O. Perelman Center for Political Science and Economics (PCPSE), Universidad de los Andes, Colombia - Department of Economics and Princeton University - Department of Economics
Downloads 193 (145,830)

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Adverse Selection, Collateral, Credit Score, Reputation, Signaling

21.

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 146 (185,963)
Citation 107

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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 138 (194,653)
Citation 17

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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 92 (261,143)
Citation 321

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Instrument relevance, Instrumental variables, Similar tests

24.

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 89 (266,634)
Citation 51

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25.

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 62 (327,542)
Citation 9

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Weak identification, Instrumental variables, Pretest

26.

Worker Betas: Five Facts About Systematic Earnings Risk

Downloads 35 (415,942)

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 24 (480,703)

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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
Fatih Guvenen, Sam Schulhofer-Wohl, Jae Song and Motohiro Yogo
University of Minnesota - Department of Economics, Federal Reserve Bank of Chicago, U.S. Social Security Administration and Princeton University - Department of Economics
Downloads 11 (560,177)
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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
University of Chicago - Booth School of Business and Princeton University - Department of Economics
Downloads 0 (617,234)
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