Lars Peter Hansen

University of Chicago - Department of Economics

1101 E 58th ST

Chicago, IL 60637

United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

51

DOWNLOADS
Rank 6,144

SSRN RANKINGS

Top 6,144

in Total Papers Downloads

12,634

SSRN CITATIONS
Rank 712

SSRN RANKINGS

Top 712

in Total Papers Citations

955

CROSSREF CITATIONS

1,010

Scholarly Papers (51)

1.
Downloads 1,107 (35,704)
Citation 53

Misspecified Recovery

Journal of Finance, Forthcoming
Number of pages: 52 Posted: 25 May 2014 Last Revised: 22 Apr 2019
Jaroslav Borovička, Lars Peter Hansen and José A. Scheinkman
New York University (NYU) - Department of Economics, University of Chicago - Department of Economics and Columbia University
Downloads 899 (47,184)

Abstract:

Loading...

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 José A. Scheinkman
New York University (NYU) - Department of Economics, University of Chicago - Department of Economics and Columbia University
Downloads 124 (403,993)

Abstract:

Loading...

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 José A. Scheinkman
New York University (NYU) - Department of Economics, University of Chicago - Department of Economics and Columbia University
Downloads 62 (632,622)
Citation 41

Abstract:

Loading...

Misspecified Recovery

NBER Working Paper No. w20209
Number of pages: 31 Posted: 16 Jun 2014 Last Revised: 22 Mar 2023
Jaroslav Borovička, Lars Peter Hansen and José A. Scheinkman
New York University (NYU) - Department of Economics, University of Chicago - Department of Economics and Columbia University
Downloads 22 (927,504)

Abstract:

Loading...

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) - Laboratory for Financial Engineering
Downloads 1,070 (37,545)
Citation 4

Abstract:

Loading...

3.

Uncertainty and Decision-Making During a Crisis: How to Make Policy Decisions in the COVID-19 Context?

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2020-95
Number of pages: 32 Posted: 10 Jul 2020
CNRS, London School of Hygiene & Tropical Medicine, Bocconi University, Tel Aviv University - Eitan Berglas School of Economics, University of Chicago - Department of Economics, London School of Hygiene & Tropical Medicine - Department of Infectious Disease and Epidemiology, Bocconi University - Department of Decision Sciences and London School of Hygiene and Tropical Medicine
Downloads 761 (60,159)
Citation 8

Abstract:

Loading...

model uncertainty, ambiguity, robustness, decision rules

4.
Downloads 747 (61,622)
Citation 5

Stochastic Compounding and Uncertain Valuation

Number of pages: 30 Posted: 24 Apr 2013 Last Revised: 11 Feb 2016
Lars Peter Hansen and José A. Scheinkman
University of Chicago - Department of Economics and Columbia University
Downloads 662 (71,050)
Citation 2

Abstract:

Loading...

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: 10 Nov 2022
Lars Peter Hansen and José A. Scheinkman
University of Chicago - Department of Economics and Columbia University
Downloads 85 (527,669)
Citation 9

Abstract:

Loading...

5.

Carbon Prices and Forest Preservation Over Space and Time in the Brazilian Amazon

Number of pages: 48 Posted: 19 Apr 2023 Last Revised: 24 Feb 2024
Climate Policy Initiative, University of Chicago - Department of Economics, Argonne National Laboratory and Columbia University
Downloads 628 (76,936)
Citation 2

Abstract:

Loading...

6.

Wrestling with Uncertainty in Climate Economic Models

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2019-71
Number of pages: 71 Posted: 27 Jul 2017 Last Revised: 22 May 2019
William A. Brock and Lars Peter Hansen
University of Wisconsin, Madison - Department of Economics and University of Chicago - Department of Economics
Downloads 544 (92,195)
Citation 18

Abstract:

Loading...

7.

Pricing Uncertainty Induced by Climate Change

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2019-109
Number of pages: 52 Posted: 22 Aug 2019 Last Revised: 14 Nov 2019
Michael Barnett, William A. Brock and Lars Peter Hansen
Arizona State University (ASU) - Finance Department, University of Wisconsin, Madison - Department of Economics and University of Chicago - Department of Economics
Downloads 489 (105,377)
Citation 90

Abstract:

Loading...

8.
Downloads 480 (107,457)
Citation 23

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 436 (119,094)
Citation 1

Abstract:

Loading...

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 Last Revised: 26 Jul 2023
Lars Peter Hansen
University of Chicago - Department of Economics
Downloads 44 (742,937)
Citation 7

Abstract:

Loading...

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 204 (264,699)
Citation 5

Abstract:

Loading...

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 173 (307,165)
Citation 17

Abstract:

Loading...

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

Macroeconomic Uncertainty Prices when Beliefs are Tenuous

Becker Friedman Institute for Research in Economics Working Paper No. 2888511
Number of pages: 51 Posted: 22 Dec 2016 Last Revised: 25 Jan 2019
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 187 (286,562)

Abstract:

Loading...

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

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 155 (337,916)
Citation 3

Abstract:

Loading...

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

Macroeconomic Uncertainty Prices When Beliefs are Tenuous

NBER Working Paper No. w25781
Number of pages: 55 Posted: 30 Apr 2019 Last Revised: 12 Jun 2022
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 23 (917,447)
Citation 3

Abstract:

Loading...

11.
Downloads 360 (149,542)
Citation 20

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: 24 Apr 2019
University of Chicago - Department of Economics, New York University (NYU) - Department of Economics, University of Chicago - Department of Economics and Columbia University
Downloads 263 (206,974)
Citation 7

Abstract:

Loading...

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

Risk Price Dynamics

Journal of Financial Econometrics, Forthcoming
Number of pages: 67 Posted: 23 May 2019
New York University (NYU) - Department of Economics, University of Chicago - Department of Economics, University of Chicago - Department of Economics and Columbia University
Downloads 49 (709,345)

Abstract:

Loading...

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

Risk Price Dynamics

NBER Working Paper No. w15506
Number of pages: 52 Posted: 17 Nov 2009 Last Revised: 15 May 2023
New York University (NYU) - Department of Economics, University of Chicago - Department of Economics, University of Chicago - Department of Economics and Columbia University
Downloads 48 (715,758)
Citation 6

Abstract:

Loading...

12.
Downloads 323 (168,177)
Citation 6

Robust Identification of Investor Beliefs

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2020-69
Number of pages: 41 Posted: 20 May 2020 Last Revised: 02 Nov 2020
Xiaohong Chen, Lars Peter Hansen and Peter Hansen
Yale University - Cowles Foundation, University of Chicago - Department of Economics and Purdue University - Department of Finance
Downloads 258 (210,979)

Abstract:

Loading...

Asset pricing, Subjective beliefs, Long-term uncertainty, Ambiguity aversion, Cressie-Read divergence, Generalized empirical likelihood, Large deviation theory

Robust Identification of Investor Beliefs

Cowles Foundation Discussion Paper No. 2236
Number of pages: 63 Posted: 20 May 2020
Xiaohong Chen, Lars Peter Hansen and Peter Hansen
Yale University - Cowles Foundation, University of Chicago - Department of Economics and Purdue University - Department of Finance
Downloads 43 (749,969)

Abstract:

Loading...

Asset pricing, Subjective beliefs, Long-term uncertainty, Ambiguity aversion, Cressie-Read divergence, Generalized empirical likelihood, Large deviation theory

Robust Identification of Investor Beliefs

NBER Working Paper No. w27257
Number of pages: 63 Posted: 02 Jun 2020 Last Revised: 24 Jun 2023
Xiaohong Chen, Lars Peter Hansen and Peter Hansen
Yale University - Cowles Foundation, University of Chicago - Department of Economics and Purdue University - Department of Finance
Downloads 22 (927,504)
Citation 5

Abstract:

Loading...

13.

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 322 (168,707)
Citation 16

Abstract:

Loading...

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

14.
Downloads 308 (176,841)
Citation 13

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 261 (208,579)
Citation 5

Abstract:

Loading...

Uncertainty Outside and Inside Economic Models

NBER Working Paper No. w20394
Number of pages: 56 Posted: 25 Aug 2014 Last Revised: 24 Mar 2023
Lars Peter Hansen
University of Chicago - Department of Economics
Downloads 47 (722,414)
Citation 3

Abstract:

Loading...

15.

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 231 (236,261)
Citation 18

Abstract:

Loading...

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

16.
Downloads 213 (255,043)
Citation 9

Shock Elasticities and Impulse Responses

Number of pages: 30 Posted: 17 Apr 2014 Last Revised: 25 Apr 2014
Jaroslav Borovička, Lars Peter Hansen and José A. Scheinkman
New York University (NYU) - Department of Economics, University of Chicago - Department of Economics and Columbia University
Downloads 177 (301,014)

Abstract:

Loading...

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 Last Revised: 08 Jun 2023
Jaroslav Borovička, Lars Peter Hansen and José A. Scheinkman
New York University (NYU) - Department of Economics, University of Chicago - Department of Economics and Columbia University
Downloads 36 (802,796)
Citation 3

Abstract:

Loading...

17.

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 Advanced Institute of Finance, Shanghai Jiao Tong University
Downloads 192 (280,390)
Citation 3

Abstract:

Loading...

Intangible Risk, Value Premium, Adjustment Costs

18.

Risk, Ambiguity, and Misspecification: Decision Theory, Robust Control, and Statistics

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2022-157
Number of pages: 34 Posted: 29 Nov 2022 Last Revised: 22 Jun 2023
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 188 (285,680)
Citation 16

Abstract:

Loading...

Variational preferences, statistical divergence, relative entropy, prior, likelihood, ambiguity, misspecification

19.

Structured Ambiguity and Model Misspecification

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2018-77
Number of pages: 46 Posted: 10 Nov 2018 Last Revised: 09 Nov 2020
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 188 (285,680)
Citation 14

Abstract:

Loading...

Ambiguity, misspecification, relative entropy, robustness, variational preferences, structured and unstructured models

20.

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 187 (287,055)

Abstract:

Loading...

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

21.

Implications of Security Market Data for Models of Dynamic Economies

NBER Working Paper No. t0089
Number of pages: 56 Posted: 26 Jan 2007 Last Revised: 01 Apr 2023
Lars Peter Hansen and Ravi Jagannathan
University of Chicago - Department of Economics and Northwestern University - Kellogg School of Management
Downloads 175 (304,353)
Citation 63

Abstract:

Loading...

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 José A. Scheinkman
University of Chicago - Department of Economics and Columbia University
Downloads 174 (305,612)
Citation 10

Abstract:

Loading...

recursive utility, Markov process, stochastic growth, large deviations

Recursive Utility in a Markov Environment with Stochastic Growth

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

Abstract:

Loading...

recursive utility, Markov process, stochastic growth, large deviations

23.

Making Decisions under Model Misspecification

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2020-103
Number of pages: 69 Posted: 03 Aug 2020 Last Revised: 24 May 2022
affiliation not provided to SSRN, University of Chicago - Department of Economics, Bocconi University - Department of Decision Sciences and Bocconi University - Department of Decision Sciences
Downloads 172 (308,982)

Abstract:

Loading...

caution, misspecification, statistical divergence, uncertainty

24.
Downloads 171 (310,557)
Citation 49

Consumption Strikes Back?: Measuring Long-Run Risk

NBER Working Paper No. w11476
Number of pages: 56 Posted: 09 Aug 2005 Last Revised: 11 Nov 2022
Lars Peter Hansen, John Heaton and Nan Li
University of Chicago - Department of Economics, University of Chicago - Finance and Shanghai Advanced Institute of Finance, Shanghai Jiao Tong University
Downloads 171 (310,338)
Citation 49

Abstract:

Loading...

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 Advanced Institute of Finance, Shanghai Jiao Tong University

Abstract:

Loading...

25.

Central Banking Challenges Posed by Uncertain Climate Change and Natural Disasters

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2021-64
Number of pages: 31 Posted: 01 Jun 2021 Last Revised: 03 Sep 2021
Lars Peter Hansen
University of Chicago - Department of Economics
Downloads 166 (320,303)
Citation 12

Abstract:

Loading...

26.
Downloads 164 (321,966)
Citation 17

Econometric Evaluation of Asset Pricing Models

NBER Working Paper No. t0145
Number of pages: 65 Posted: 24 Jul 2000 Last Revised: 27 May 2023
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 164 (321,885)

Abstract:

Loading...

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:

Loading...

27.

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 157 (334,095)
Citation 2

Abstract:

Loading...

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 119 (416,739)
Citation 1

Abstract:

Loading...

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 Last Revised: 04 Dec 2022
Lars Peter Hansen
University of Chicago - Department of Economics
Downloads 38 (787,138)

Abstract:

Loading...

29.

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 155 (337,721)
Citation 13

Abstract:

Loading...

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

30.

Asset Pricing Explorations for Macroeconomics

NBER Working Paper No. w4088
Number of pages: 76 Posted: 27 Apr 2000 Last Revised: 04 Sep 2022
John H. Cochrane and Lars Peter Hansen
Hoover Institution and University of Chicago - Department of Economics
Downloads 154 (341,335)
Citation 5

Abstract:

Loading...

31.
Downloads 151 (345,063)
Citation 9

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 119 (416,739)

Abstract:

Loading...

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 Last Revised: 09 Feb 2023
Jaroslav Borovička and Lars Peter Hansen
New York University (NYU) - Department of Economics and University of Chicago - Department of Economics
Downloads 32 (835,796)

Abstract:

Loading...

32.

Managing Expectations and Fiscal Policy

Number of pages: 39 Posted: 03 Nov 2009 Last Revised: 29 Aug 2013
University of Surrey - School of Economics, University of Chicago - Department of Economics and New York University (NYU) - Department of Economics, Leonard N. Stern School of Business
Downloads 145 (356,602)
Citation 9

Abstract:

Loading...

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

33.

Twisted Probabilities, Uncertainty, and Prices

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2019-02
Number of pages: 55 Posted: 15 Jan 2019
Lars Peter Hansen, Balint Szoke, Lloyd S. Han and Thomas J. Sargent
University of Chicago - Department of Economics, Board of Governors of the Federal Reserve System, Pacific Investment Management Company (PIMCO) and New York University (NYU) - Department of Economics, Leonard N. Stern School of Business
Downloads 144 (358,593)
Citation 8

Abstract:

Loading...

Risk, uncertainty, relative entropy, robustness, asset prices, exponential quadratic stochastic discount factor

34.

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 José A. Scheinkman
Yale University - Cowles Foundation, University of Chicago - Department of Economics and Columbia University
Downloads 143 (360,598)
Citation 3

Abstract:

Loading...

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

Uncertainty Spillovers for Markets and Policy

Annual Review of Economics, Vol. 13, pp. 371-396, 2021
Posted: 12 Aug 2021
Lars Peter Hansen
University of Chicago - Department of Economics

Abstract:

Loading...

Uncertainty Spillovers for Markets and Policy

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2020-121
Number of pages: 34 Posted: 04 Sep 2020 Last Revised: 03 Mar 2021
Lars Peter Hansen
University of Chicago - Department of Economics
Downloads 131 (386,837)

Abstract:

Loading...

uncertainty, valuation, financial markets, policy, climate change, ambiguity, misspecification

36.

Asset Pricing under Smooth Ambiguity in Continuous Time

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2022-39
Number of pages: 41 Posted: 18 Mar 2022
Lars Peter Hansen and Jianjun Miao
University of Chicago - Department of Economics and Boston University - Department of Economics
Downloads 125 (400,139)

Abstract:

Loading...

Risk, ambiguity, robustness, asset pricing, portfolio allocation, continuous time

37.

Robust Inference for Moment Condition Models without Rational Expectations

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2021-122
Number of pages: 56 Posted: 20 Oct 2021 Last Revised: 02 Feb 2022
Xiaohong Chen, Lars Peter Hansen and Peter Hansen
Yale University - Cowles Foundation, University of Chicago - Department of Economics and Purdue University - Department of Finance
Downloads 114 (428,506)
Citation 2

Abstract:

Loading...

Subjective beliefs, bounded rationality, misspecification sets, nonlinear expectation, divergence, Lagrange multipliers, stochastic dual programming, confidence sets

38.

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 Last Revised: 22 May 2023
Lars Peter Hansen and José A. Scheinkman
University of Chicago - Department of Economics and Columbia University
Downloads 101 (467,708)
Citation 2

Abstract:

Loading...

Climate Change Uncertainty Spillover in the Macroeconomy

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2021-90
Number of pages: 67 Posted: 30 Jul 2021 Last Revised: 03 Sep 2021
Michael Barnett, William A. Brock and Lars Peter Hansen
Arizona State University (ASU) - Finance Department, University of Wisconsin, Madison - Department of Economics and University of Chicago - Department of Economics
Downloads 83 (535,659)
Citation 12

Abstract:

Loading...

Climate Change Uncertainty Spillover in the Macroeconomy

NBER Working Paper No. w29064
Number of pages: 61 Posted: 26 Jul 2021 Last Revised: 01 Jun 2023
Michael Barnett, William A. Brock and Lars Peter Hansen
Arizona State University (ASU) - Finance Department, University of Wisconsin, Madison - Department of Economics and University of Chicago - Department of Economics
Downloads 17 (979,440)

Abstract:

Loading...

40.

Recursive Linear Models of Dynamic Economies

NBER Working Paper No. w3479
Number of pages: 41 Posted: 27 Jun 2007 Last Revised: 06 Jul 2022
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 87 (515,039)

Abstract:

Loading...

41.

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 Last Revised: 02 Dec 2022
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 85 (522,418)
Citation 25

Abstract:

Loading...

Assessing Specification Errors in Stochastic Discount Factor Models

NBER Working Paper No. t0153
Number of pages: 42 Posted: 16 Jul 2000 Last Revised: 04 Jun 2023
Lars Peter Hansen and Ravi Jagannathan
University of Chicago - Department of Economics and Northwestern University - Kellogg School of Management
Downloads 84 (531,670)
Citation 15

Abstract:

Loading...

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:

Loading...

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:

Loading...

How Should Climate Change Uncertainty Impact Social Valuation and Policy?

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2023-140
Number of pages: 60 Posted: 03 Nov 2023
Michael Barnett, William A. Brock, Lars Peter Hansen and Hong Zhang
Arizona State University (ASU) - Finance Department, University of Wisconsin, Madison - Department of Economics, University of Chicago - Department of Economics and Argonne National Laboratory
Downloads 59 (649,110)

Abstract:

Loading...

How Should Climate Change Uncertainty Impact Social Valuation and Policy?

Number of pages: 59 Posted: 21 Nov 2023
Michael Barnett, William A. Brock, Lars Peter Hansen and Hong Zhang
Arizona State University (ASU) - Finance Department, University of Wisconsin, Madison - Department of Economics, University of Chicago - Department of Economics and Argonne National Laboratory
Downloads 17 (979,440)

Abstract:

Loading...

Climate Change, Innovation, Social Valuation, Model Uncertainty, General Equilibrium

44.

A Deep Learning Analysis of Climate Change, Innovation, and Uncertainty

Number of pages: 55 Posted: 17 Nov 2023
Arizona State University (ASU) - Finance Department, University of Wisconsin, Madison - Department of Economics, University of Chicago - Department of Economics, University of California, Santa Barbara (UCSB) and University of Pennsylvania - Department of Economics
Downloads 74 (566,623)

Abstract:

Loading...

Climate Change, Innovation, Model Uncertainty, General Equilibrium, Neural Networks

45.

Long Term Risk: An Operator Approach

NBER Working Paper No. w12650
Number of pages: 55 Posted: 20 Nov 2006 Last Revised: 27 Jul 2022
Lars Peter Hansen and José A. Scheinkman
University of Chicago - Department of Economics and Columbia University
Downloads 72 (575,274)
Citation 54

Abstract:

Loading...

46.

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

NBER Working Paper No. t0086
Number of pages: 55 Posted: 27 Jun 2007 Last Revised: 29 Mar 2023
Lars Peter Hansen and Kenneth J. Singleton
University of Chicago - Department of Economics and Stanford University - Graduate School of Business
Downloads 64 (611,943)
Citation 5

Abstract:

Loading...

47.

Beliefs, Doubts and Learning: Valuing Economic Risk

NBER Working Paper No. w12948
Number of pages: 52 Posted: 09 Mar 2007 Last Revised: 19 Nov 2022
Lars Peter Hansen
University of Chicago - Department of Economics
Downloads 64 (611,943)
Citation 24

Abstract:

Loading...

48.

Estimating Models with Intertemporal Substitution Using Aggregate Time Series Data

NBER Working Paper No. w2181
Number of pages: 52 Posted: 04 Jan 2007 Last Revised: 19 Jun 2022
Martin Eichenbaum and Lars Peter Hansen
Northwestern University and University of Chicago - Department of Economics
Downloads 60 (632,036)
Citation 2

Abstract:

Loading...

49.

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 55 (658,988)
Citation 18

Abstract:

Loading...

50.

Sets of Models and Prices of Uncertainty

NBER Working Paper No. w22000
Number of pages: 64 Posted: 22 Feb 2016 Last Revised: 11 Feb 2023
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 34 (796,382)

Abstract:

Loading...

51.

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 University - Columbia Business School, Finance

Abstract:

Loading...

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