Lars Peter Hansen

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

University of Chicago - Department of Economics

1101 E 58th ST

Chicago, IL 60637

United States

SCHOLARLY PAPERS

36

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CITATIONS
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1,016

Scholarly Papers (36)

1.
Downloads 896 ( 20,306)
Citation 1

Misspecified Recovery

Journal of Finance, Forthcoming
Number of pages: 52 Posted: 25 May 2014 Last Revised: 10 Oct 2015
Jaroslav Borovička, Lars Peter Hansen and Jose A. Scheinkman
New York University (NYU) - Department of Economics, University of Chicago - Department of Economics and Columbia University
Downloads 795 (23,789)
Citation 1

Abstract:

Perron-Frobenius theory, recovery theorem, stochastic discount factor, martingale decomposition, stochastic stability

Misspecified Recovery

Number of pages: 52 Posted: 28 Jul 2015
Jaroslav Borovička, Lars Peter Hansen and Jose A. Scheinkman
New York University (NYU) - Department of Economics, University of Chicago - Department of Economics and Columbia University
Downloads 59 (307,800)
Citation 1

Abstract:

Perron-Frobenius theory, recovery theorem, stochastic discount factor, martingale distribution, stochastic stability

Misspecified Recovery

Princeton University William S. Dietrich II Economic Theory Center Research Paper No. 063-2014
Number of pages: 31 Posted: 31 May 2014
Jaroslav Borovička, Lars Peter Hansen and Jose A. Scheinkman
New York University (NYU) - Department of Economics, University of Chicago - Department of Economics and Columbia University
Downloads 41 (363,503)
Citation 1

Abstract:

Misspecified Recovery

NBER Working Paper No. w20209
Number of pages: 31 Posted: 16 Jun 2014
Jaroslav Borovička, Lars Peter Hansen and Jose A. Scheinkman
New York University (NYU) - Department of Economics, University of Chicago - Department of Economics and Columbia University
Downloads 1 (575,415)
Citation 1

Abstract:

2.

Modeling and Measuring Systemic Risk

American Economic Association, Ten Years and Beyond: Economists Answer NSF's Call for Long-Term Research Agendas
Number of pages: 5 Posted: 12 Aug 2011
Princeton University - Department of Economics, University of Chicago - Department of Economics, University of Chicago, Booth School of Business, Northwestern University - Kellogg School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 814 (19,973)
Citation 3

Abstract:

3.
Downloads 558 ( 39,265)
Citation 3

Stochastic Compounding and Uncertain Valuation

Number of pages: 30 Posted: 24 Apr 2013 Last Revised: 11 Feb 2016
Lars Peter Hansen and Jose A. Scheinkman
University of Chicago - Department of Economics and Columbia University
Downloads 492 (45,489)
Citation 2

Abstract:

Perron-Frobenius, martingale component of stochastic discount factor, long-term risk pricing

Stochastic Compounding and Uncertain Valuation

Economic Theory Center Working Paper No. 051-2013
Number of pages: 29 Posted: 10 May 2013 Last Revised: 30 Jan 2014
Lars Peter Hansen and Jose A. Scheinkman
University of Chicago - Department of Economics and Columbia University
Downloads 66 (290,244)
Citation 3

Abstract:

Challenges in Identifying and Measuring Systemic Risk

Becker Friedman Institute for Research in Economics Working Paper No. 2012-012
Number of pages: 22 Posted: 09 Oct 2012 Last Revised: 01 Apr 2015
Lars Peter Hansen
University of Chicago - Department of Economics
Downloads 320 (76,629)

Abstract:

systemic risk, financial markets, macroeconomy

Challenges in Identifying and Measuring Systemic Risk

NBER Working Paper No. w18505
Number of pages: 21 Posted: 03 Nov 2012
Lars Peter Hansen
University of Chicago - Department of Economics
Downloads 16 (484,582)

Abstract:

Examining Macroeconomic Models Through the Lens of Asset Pricing

Becker Friedman Institute for Research in Economics Working Paper No. 2011-012
Number of pages: 65 Posted: 11 Dec 2011 Last Revised: 23 Feb 2012
Jaroslav Borovička and Lars Peter Hansen
New York University (NYU) - Department of Economics and University of Chicago - Department of Economics
Downloads 175 (142,891)
Citation 4

Abstract:

Examining Macroeconomic Models Through the Lens of Asset Pricing

FRB of Chicago Working Paper No. 2012-01
Number of pages: 70 Posted: 15 Dec 2011
Jaroslav Borovička and Lars Peter Hansen
New York University (NYU) - Department of Economics and University of Chicago - Department of Economics
Downloads 113 (205,151)
Citation 4

Abstract:

shock elasticity, pricing, perturbation methods, Markov process, Model Evaluation and Selection, Asset Pricing, Trading volume, Bond Interest Rates, Financial Markets and the Macroeconomy

Uncertainty Outside and Inside Economic Models

Journal of Political Economy, Forthcoming, Becker Friedman Institute for Research in Economics Working Paper No. 2014-06
Number of pages: 55 Posted: 31 Jul 2014 Last Revised: 01 Apr 2015
Lars Peter Hansen
University of Chicago - Department of Economics
Downloads 218 (115,756)

Abstract:

Uncertainty Outside and Inside Economic Models

NBER Working Paper No. w20394
Number of pages: 56 Posted: 25 Aug 2014
Lars Peter Hansen
University of Chicago - Department of Economics
Downloads 20 (461,391)

Abstract:

7.
Downloads 225 (112,659)
Citation 12

Risk Price Dynamics

Becker Friedman Institute for Research in Economics Working Paper No. 2010-004, Economic Theory Center Working Paper No. 33-2012
Number of pages: 53 Posted: 26 Jan 2010 Last Revised: 03 May 2012
University of Chicago - Department of Economics, New York University (NYU) - Department of Economics, University of Chicago - Department of Economics and Columbia University
Downloads 208 (121,390)
Citation 12

Abstract:

growth-rate risk, pricing, dynamics, elasticities, Markov process

Risk Price Dynamics

NBER Working Paper No. w15506
Number of pages: 52 Posted: 17 Nov 2009
New York University (NYU) - Department of Economics, University of Chicago - Department of Economics, University of Chicago - Department of Economics and Columbia University
Downloads 17 (478,974)
Citation 12

Abstract:

Recursive Utility in a Markov Environment with Stochastic Growth

Becker Friedman Institute for Research in Economics Working Paper No. 2012-002, Economic Theory Center Working Paper No. 32-2012
Number of pages: 26 Posted: 23 Feb 2012
Lars Peter Hansen and Jose A. Scheinkman
University of Chicago - Department of Economics and Columbia University
Downloads 142 (171,465)
Citation 2

Abstract:

recursive utility, Markov process, stochastic growth, large deviations

Recursive Utility in a Markov Environment with Stochastic Growth

Posted: 27 Feb 2012
Jose A. Scheinkman and Lars Peter Hansen
Columbia University and University of Chicago - Department of Economics

Abstract:

recursive utility, Markov process, stochastic growth, large deviations

9.

Robust Analytical and Computational Explorations of Coupled Economic-Climate Models with Carbon-Climate Response

RDCEP Working Paper No. 13-05
Number of pages: 48 Posted: 28 Dec 2013 Last Revised: 14 May 2014
Northern Illinois University, University of Wisconsin, Madison - Department of Economics, University of Chicago - Department of Economics and Lawrence Berkeley National Laboratory
Downloads 140 (133,145)

Abstract:

Environment, Climate-Change, Model Uncertainty, Dynamic General Equilibrium

10.

Nonlinearity and Temporal Dependence

Cowles Foundation Discussion Paper No. 1652, Yale Economics Department Working Paper No. 48
Number of pages: 32 Posted: 21 May 2008
Xiaohong Chen, Lars Peter Hansen and Marine Carrasco
Yale University - Cowles Foundation, University of Chicago - Department of Economics and University of Montreal - Departement de Ciences Economiques
Downloads 135 (169,173)
Citation 13

Abstract:

Mixing, Diffusion, Strong dependence, Long memory, Poisson sampling

Shock Elasticities and Impulse Responses

Number of pages: 30 Posted: 17 Apr 2014 Last Revised: 25 Apr 2014
Jaroslav Borovička, Lars Peter Hansen and Jose A. Scheinkman
New York University (NYU) - Department of Economics, University of Chicago - Department of Economics and Columbia University
Downloads 125 (189,902)

Abstract:

shock elasticities, impulse response functions, risk pricing, Markov dynamics

Shock Elasticities and Impulse Responses

NBER Working Paper No. w20104
Number of pages: 31 Posted: 14 May 2014
Jaroslav Borovička, Lars Peter Hansen and Jose A. Scheinkman
New York University (NYU) - Department of Economics, University of Chicago - Department of Economics and Columbia University
Downloads 4 (550,771)

Abstract:

12.

Risk Pricing over Alternative Investment Horizons

Becker Friedman Institute for Research in Economics Working Paper No. 2012-008
Number of pages: 51 Posted: 11 Jul 2012
Lars Peter Hansen
University of Chicago - Department of Economics
Downloads 117 (181,337)

Abstract:

risk pricing, dynamic value decomposition

Modeling the Long Run: Valuation in Dynamic Stochastic Economies

Number of pages: 84 Posted: 08 Aug 2008
Lars Peter Hansen
University of Chicago - Department of Economics
Downloads 94 (233,927)
Citation 6

Abstract:

asset pricing, stochastic growth, risk-return tradeoff, long run

Modeling the Long Run: Valuation in Dynamic Stochastic Economies

NBER Working Paper No. w14243
Number of pages: 85 Posted: 18 Aug 2008
Lars Peter Hansen
University of Chicago - Department of Economics
Downloads 21 (455,673)
Citation 6

Abstract:

Term Structure of Uncertainty in the Macroeconomy

Number of pages: 58 Posted: 09 Jun 2016
Jaroslav Borovička and Lars Peter Hansen
New York University (NYU) - Department of Economics and University of Chicago - Department of Economics
Downloads 92 (237,282)

Abstract:

asset pricing, impulse response functions, shock elasticities, financing frictions, martingales

Term Structure of Uncertainty in the Macroeconomy

NBER Working Paper No. w22364
Number of pages: 59 Posted: 27 Jun 2016
Jaroslav Borovička and Lars Peter Hansen
New York University (NYU) - Department of Economics and University of Chicago - Department of Economics
Downloads 11 (513,781)
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Abstract:

15.
Downloads 94 (232,297)
Citation 135

Consumption Strikes Back?: Measuring Long-Run Risk

NBER Working Paper No. w11476
Number of pages: 56 Posted: 09 Aug 2005
Lars Peter Hansen, John Heaton and Nan Li
University of Chicago - Department of Economics, University of Chicago - Finance and Shanghai Jiao Tong University, Antai College of Economics and Management
Downloads 94 (233,927)
Citation 135

Abstract:

Consumption Strikes Back? Measuring Long-Run Risk

Journal of Political Economy, Vol. 116, No. 2, 2008
Posted: 16 Feb 2017
Lars Peter Hansen, John Heaton and Nan Li
University of Chicago - Department of Economics, University of Chicago - Finance and Shanghai Jiao Tong University, Antai College of Economics and Management

Abstract:

16.

Asset Pricing Explorations for Macroeconomics

NBER Working Paper No. w4088
Number of pages: 76 Posted: 27 Apr 2000
John H. Cochrane and Lars Peter Hansen
Hoover Institution and University of Chicago - Department of Economics
Downloads 91 (224,393)
Citation 74

Abstract:

17.

Three Types of Ambiguity

Journal of Monetary Economics, Forthcoming, BFI Working Paper Series No. 2012-006
Number of pages: 109 Posted: 09 Jun 2012 Last Revised: 11 Jul 2012
Lars Peter Hansen and Thomas J. Sargent
University of Chicago - Department of Economics and New York University (NYU) - Department of Economics, Leonard N. Stern School of Business
Downloads 89 (196,609)

Abstract:

Robustness, ambiguity, martingales, Ramsey plan, commitment, local predictability, heterogeneous beliefs

18.

Principal Components and Long Run Implications of Multivariate Diffusions

Cowles Foundation Discussion Paper No. 1694
Number of pages: 52 Posted: 23 Apr 2009
Xiaohong Chen, Lars Peter Hansen and Jose A. Scheinkman
Yale University - Cowles Foundation, University of Chicago - Department of Economics and Columbia University
Downloads 86 (218,357)
Citation 3

Abstract:

Nonlinear principal components, Discrete spectrum, Eigenvalue decay rates, Multivariate diffusion, Quadratic form, Conditional expectations operator

Econometric Evaluation of Asset Pricing Models

NBER Working Paper No. t0145
Number of pages: 65 Posted: 24 Jul 2000
Lars Peter Hansen, Erzo G. J. Luttmer and John Heaton
University of Chicago - Department of Economics, University of Minnesota - Twin Cities - Department of Economics and University of Chicago - Finance
Downloads 85 (249,820)
Citation 32

Abstract:

Econometric Evaluation of Asset Pricing Models

REVIEW OF FINANCIAL STUDIES, Vol 8 No 2
Posted: 29 Aug 1998
Lars Peter Hansen, Erzo G. J. Luttmer and John Heaton
University of Chicago - Department of Economics, University of Minnesota - Twin Cities - Department of Economics and University of Chicago - Finance

Abstract:

20.

Managing Expectations and Fiscal Policy

Number of pages: 39 Posted: 03 Nov 2009 Last Revised: 29 Aug 2013
Federal Reserve Banks - Federal Reserve Bank of Atlanta, University of Chicago - Department of Economics and New York University (NYU) - Department of Economics, Leonard N. Stern School of Business
Downloads 81 (235,570)
Citation 7

Abstract:

Ramsey plan, misspecification, robustness, taxes, debt, martingale, expansion

21.

Robustness and U.S. Monetary Policy Experimentation

Journal of Money, Credit, and Banking, Forthcoming
Number of pages: 29 Posted: 18 Sep 2008
Leonard N. Stern School of Business - Department of Economics, University of North Carolina Kenan-Flagler Business School, University of Chicago - Department of Economics and New York University (NYU) - Department of Economics, Leonard N. Stern School of Business
Downloads 81 (230,692)
Citation 8

Abstract:

Learning, model uncertainty, Bayes' law, Phillips curve, experimentation, robustness, pessimism, entropy

Prices of Macroeconomic Uncertainties with Tenuous Beliefs

Becker Friedman Institute for Research in Economics Working Paper No. 2973331
Number of pages: 60 Posted: 24 May 2017
Lars Peter Hansen and Thomas J. Sargent
University of Chicago - Department of Economics and New York University (NYU) - Department of Economics, Leonard N. Stern School of Business
Downloads 45 (349,877)

Abstract:

risk,uncertainty, ambiguity, asset prices, relative entropy, Chernoff entropy, robustness, variational preferences; baseline, structured, and unstructured models

Prices of Macroeconomic Uncertainties with Tenuous Beliefs

Number of pages: 58 Posted: 22 Dec 2016
Lars Peter Hansen and Thomas J. Sargent
University of Chicago - Department of Economics and New York University (NYU) - Department of Economics, Leonard N. Stern School of Business
Downloads 25 (432,960)

Abstract:

risk, uncertainty, asset prices, relative entropy, Chernoff entropy, robustness, variational preferences; baseline, structured, and unstructured models

23.

A Time Series Analysis of Representative Agent Models of Consumption Andleisure Choice Under Uncertainty

NBER Working Paper No. w1981
Number of pages: 43 Posted: 09 Mar 2004
Martin Eichenbaum, Lars Peter Hansen and Kenneth J. Singleton
Northwestern University, University of Chicago - Department of Economics and Stanford University - Graduate School of Business
Downloads 44 (331,635)
Citation 76

Abstract:

24.

Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes

NBER Working Paper No. t0141
Number of pages: 56 Posted: 12 Jul 2000
Lars Peter Hansen and Jose A. Scheinkman
University of Chicago - Department of Economics and Columbia University
Downloads 41 (325,681)
Citation 43

Abstract:

25.

Implications of Security Market Data for Models of Dynamic Economies

NBER Working Paper No. t0089
Number of pages: 56 Posted: 26 Jan 2007
Lars Peter Hansen and Ravi Jagannathan
University of Chicago - Department of Economics and Northwestern University - Kellogg School of Management
Downloads 40 (325,681)
Citation 264

Abstract:

26.

Long Term Risk: An Operator Approach

NBER Working Paper No. w12650
Number of pages: 55 Posted: 20 Nov 2006 Last Revised: 27 Jul 2010
Lars Peter Hansen and Jose A. Scheinkman
University of Chicago - Department of Economics and Columbia University
Downloads 40 (359,890)
Citation 33

Abstract:

27.

Recursive Linear Models of Dynamic Economies

NBER Working Paper No. w3479
Number of pages: 41 Posted: 27 Jun 2007
Lars Peter Hansen and Thomas J. Sargent
University of Chicago - Department of Economics and New York University (NYU) - Department of Economics, Leonard N. Stern School of Business
Downloads 37 (328,628)
Citation 36

Abstract:

Assessing Specification Errors in Stochastic Discount Factor Models

NBER Working Paper No. t0153
Number of pages: 42 Posted: 16 Jul 2000
Lars Peter Hansen and Ravi Jagannathan
University of Chicago - Department of Economics and Northwestern University - Kellogg School of Management
Downloads 36 (382,307)
Citation 154

Abstract:

Assessing Specification Errors in Stochastic Discount Factor Models

JOURNAL OF FINANCE, Vol 52 No 2, June 1997
Posted: 10 Mar 1997
Lars Peter Hansen and Ravi Jagannathan
University of Chicago - Department of Economics and Northwestern University - Kellogg School of Management

Abstract:

Assessing Specification Errors in Stochastic Discount Factor Models

Posted: 14 Mar 1996
Lars Peter Hansen and Ravi Jagannathan
University of Chicago - Department of Economics and Northwestern University - Kellogg School of Management

Abstract:

29.

Beliefs, Doubts and Learning: Valuing Economic Risk

NBER Working Paper No. w12948
Number of pages: 52 Posted: 09 Mar 2007
Lars Peter Hansen
University of Chicago - Department of Economics
Downloads 34 (366,799)
Citation 23

Abstract:

30.

Estimating Models with Intertemporal Substitution Using Aggregate Time Series Data

NBER Working Paper No. w2181
Number of pages: 52 Posted: 04 Jan 2007
Martin Eichenbaum and Lars Peter Hansen
Northwestern University and University of Chicago - Department of Economics
Downloads 34 (359,890)
Citation 42

Abstract:

31.

Intangible Risk?

Measuring Capital in the New Economy, Carol Corrado, John Haltiwanger and Dan Sichel, editors, University of Chicago Press, 2005
Number of pages: 43 Posted: 19 Dec 2013
Lars Peter Hansen, John Heaton and Nan Li
University of Chicago - Department of Economics, University of Chicago - Finance and Shanghai Jiao Tong University, Antai College of Economics and Management
Downloads 31 (271,381)
Citation 4

Abstract:

Intangible Risk, Value Premium, Adjustment Costs

32.

Efficient Estimation of Linear Asset Pricing Models with Moving-Average Errors

NBER Working Paper No. t0086
Number of pages: 55 Posted: 27 Jun 2007
Lars Peter Hansen and Kenneth J. Singleton
University of Chicago - Department of Economics and Stanford University - Graduate School of Business
Downloads 28 (385,405)
Citation 12

Abstract:

33.

Wrestling with Uncertainty in Climate Economic Models

Number of pages: 68 Posted: 27 Jul 2017
William A. Brock and Lars Peter Hansen
University of Wisconsin, Madison - Department of Economics and University of Chicago - Department of Economics
Downloads 0 (497,958)

Abstract:

34.

Recursive Robust Estimation and Control Without Commitment

Bundesbank Series 1 Discussion Paper No. 2005,28
Number of pages: 56 Posted: 08 Jun 2016
Lars Peter Hansen and Thomas J. Sargent
University of Chicago - Department of Economics and New York University (NYU) - Department of Economics, Leonard N. Stern School of Business
Downloads 0 (530,676)
Citation 24

Abstract:

35.

Sets of Models and Prices of Uncertainty

NBER Working Paper No. w22000
Number of pages: 64 Posted: 22 Feb 2016
Lars Peter Hansen and Thomas J. Sargent
University of Chicago - Department of Economics and New York University (NYU) - Department of Economics, Leonard N. Stern School of Business
Downloads 0 (525,834)
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Abstract:

36.

Robust Permanent Income and Pricing with Filtering

Macroeconomic Dynamics, Vol. 6, pp. 40-84, 2002
Posted: 07 May 2005
Lars Peter Hansen, Thomas J. Sargent and Neng Wang
University of Chicago - Department of Economics, New York University (NYU) - Department of Economics, Leonard N. Stern School of Business and Columbia Business School - Finance and Economics

Abstract:

Kalman filter, approximating model, Knightian uncertainty, robustness, equity premium, market price of uncertainty, permanent income