Lars P. Hansen

Department of Economics
The University of Chicago
1126 East 59th Street
Chicago, IL 60637
Tel: 773/702-8170
Fax: 773/702-8490

E-Mail: EmailAddress: hidden: you can email any NBER-related person as first underscore last at nber dot org
NBER Program Affiliations: AP , EFG
NBER Affiliation: Research Associate
Institutional Affiliation: University of Chicago

NBER Working Papers and Publications

May 2020Robust Identification of Investor Beliefs
with Xiaohong Chen, Peter G. Hansen: w27257
April 2019Macroeconomic Uncertainty Prices when Beliefs are Tenuous
with Thomas J. Sargent: w25781
July 2017Comment on "Survey Measurement of Probabilistic Economic Expectations: Progress and Promise"
in NBER Macroeconomics Annual 2017, volume 32, Martin Eichenbaum and Jonathan A. Parker, editors
June 2016Term Structure of Uncertainty in the Macroeconomy
with Jaroslav Borovička: w22364
February 2016Sets of Models and Prices of Uncertainty
with Thomas J. Sargent: w22000
August 2014Uncertainty Outside and Inside Economic Models

Published: Nobel Lecture: Uncertainty Outside and Inside Economic Models Lars Peter Hansen Journal of Political Economy 2014 122:5, 945-987

June 2014Misspecified Recovery
with Jaroslav Borovička, José A. Scheinkman: w20209

Published: Jaroslav Borovička & Lars Peter Hansen & José A. Scheinkman, 2016. "Misspecified Recovery," Journal of Finance, American Finance Association, vol. 71(6), pages 2493-2544, December. citation courtesy of

May 2014Shock Elasticities and Impulse Responses
with Jaroslav Borovička, Jose A. Scheinkman: w20104

Published: Jaroslav Borovička & Lars Peter Hansen & José A. Scheinkman, 2014. "Shock elasticities and impulse responses," Mathematics and Financial Economics, vol 8(4), pages 333-354.

May 2013Challenges in Identifying and Measuring Systemic Risk
in Risk Topography: Systemic Risk and Macro Modeling, Markus Brunnermeier and Arvind Krishnamurthy, editors
November 2012Challenges in Identifying and Measuring Systemic Risk
October 2011Comment on "House Price Booms and the Current Account"
in NBER Macroeconomics Annual 2011, Volume 26, Daron Acemoglu and Michael Woodford, editors
November 2009Risk Price Dynamics
with Jaroslav Borovička, Mark Hendricks, José A. Scheinkman: w15506

Published: Jaroslav Borovička & Mark Hendricks & José A. Scheinkman, 2011. "Risk-Price Dynamics," Journal of Financial Econometrics, Oxford University Press, vol. 9(1), pages 3-65, Winter. citation courtesy of

August 2008Modeling the Long Run: Valuation in Dynamic Stochastic Economies

Published: Dynamic Valuation Decomposition Within Stochastic Economies; Fisher–Schultz Lecture, Econometrica 80(3):911-967, May, 2012

March 2007Beliefs, Doubts and Learning: Valuing Economic Risk
October 2006Long Term Risk: An Operator Approach
with Jose Scheinkman: w12650

Published: Lars Peter Hansen & José A. Scheinkman, 2009. "Long-Term Risk: An Operator Approach," Econometrica, Econometric Society, vol. 77(1), pages 177-234, 01. citation courtesy of

August 2005Intangible Risk
with John C. Heaton, Nan Li
in Measuring Capital in the New Economy, Carol Corrado, John Haltiwanger and Daniel Sichel, editors
July 2005Consumption Strikes Back?: Measuring Long-Run Risk
with John Heaton, Nan Li: w11476

Published: Hansen, Lars Peter, John C. Heaton, and Nan Li. "Consumption Strikes Back? Measuring Long-Run Risk." Journal of Political Economy 116, 2 (2008). citation courtesy of

March 1997Efficient Estimation of Linear Asset Pricing Models with Moving-Average Errors
with Kenneth J. Singleton: t0086

Published: Journal of Business & Economic Statistics, vol. 14, no. 1, pp. 53-68, January 1996.

February 1994Assessing Specification Errors in Stochastic Discount Factor Models
with Ravi Jagannathan: t0153

Published: Journal of Finance, Vol. 52, no. 2 (June 1997): 557-590.

October 1993Econometric Evaluation of Asset Pricing Models
with John Heaton, Erzo Luttmer: t0145

Published: Hansen, Lars Peter, John Heaton and Erzo Luttmer. "Econometric Evaluation Of Asset Pricing Models," Review of Financial Studies, 1995, v8(2), 237-274.

September 1993Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
with Jose Alexandre Scheinkman: t0141

Published: Hansen, Lars Peter and Jose Alexandre Scheinkman. "Back To The Future: Generating Moment Implications For Continuous-Time Markov Processes," Econometrica, 1995, v63(4), 767-804.

June 1992Asset Pricing Explorations for Macroeconomics
with John H. Cochrane: w4088

Published: Blanchard, Olivier Jean and Stanley Fischer (eds.) NBER Macroeconomics Annual 1992. Cambridge, MA: MIT Press, 1992.

January 1992Asset Pricing Explorations for Macroeconomics
with John H. Cochrane
in NBER Macroeconomics Annual 1992, Volume 7, Olivier Jean Blanchard and Stanley Fischer, editors
October 1990Recursive Linear Models of Dynamic Economies
with Thomas J. Sargent: w3479


May 1990Implications of Security Market Data for Models of Dynamic Economies
with Ravi Jagannathan: t0089

Published: Hansen, Lars Peter, and Ravi Jagannathan, published as "Implications of Security Market Data for Models of Dynamic Economies," Journal of Political Economy, Vol. 99, no. 2 (1991): p. 225-262.

March 1987Estimating Models with Intertemporal Substitution Using Aggregate Time Series Data
with Martin S. Eichenbaum: w2181

Published: Journal of Business & Economic Statistics, Vol. 8, No. 1, pp. 53-69, (January 1990). citation courtesy of

July 1986A Time Series Analysis of Representative Agent Models of Consumption andLeisure Choice Under Uncertainty
with Martin S. Eichenbaum, Kenneth J. Singleton: w1981

Published: Quarterly Journal of Economics, February 1988. citation courtesy of

1983Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models
with Robert J. Hodrick
in Exchange Rates and International Macroeconomics, Jacob A. Frenkel, editor
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