Finance, Economics, and Asset Pricing Research by Hanno Lustig
Hanno Lustig is Professor of Finance at Stanford Graduate School of Business and an affiliated researcher with the National Bureau of Economic Research. His academic work centers on international asset pricing, risk premia, and currency valuation under incomplete markets. More than 11,000 citations reflect Lustig’s influence across both academic finance and institutional capital markets. Notable models include his currency convenience yield framework and a stochastic discount factor approach to sovereign spreads, both widely used in global asset allocation and crypto portfolio risk modeling.
Lustig’s 2024 research explores digital currencies in international capital flows, evaluating how Bitcoin and stablecoins influence cross-border arbitrage. Recent collaborations involve empirical testing of DeFi yield volatility against short-term treasury equivalents. He has advised IMF panels on foreign exchange risk and participated in BIS-hosted roundtables on decentralized financial supervision. His teaching spans quantitative asset pricing and macro-financial policy design, with multiple awards for teaching excellence at Stanford and Yale. Lustig's theoretical work on tail risk and liquidity spirals has gained renewed attention among digital asset custodians seeking to hedge against systemic volatility.
Hanno Lustig: Public Fed chair candidates expected to support buying U.S. state bonds
Hanno Lustig stated that if candidates for the role of Federal Reserve chair were required to publicly declare their willingness to bail out individual U.S. states by buying their bonds, it would ...
Skepticism surrounds $33 billion rail and pension plans, Hanno Lustig notes
Hanno Lustig questioned whether billionaires are reluctant to fund a $33 billion high speed rail link between Merced and Bakersfield or to address shortfalls in underfunded pension funds. In the ...
Hanno Lustig: French core state spending shares examined excluding pension contributions
Hanno Lustig compared spending on core state functions in France to its peers, adjusting the figures by removing the state’s imputed pension contributions for teachers, soldiers, and other civil ...
Preserving French welfare state requires GDP growth, Hanno Lustig argues
Hanno Lustig criticized a set of economic claims he described as clownish and stated that France needs GDP growth to maintain its welfare state. He also expressed hope that the French electorate ...
Hanno Lustig: Eurozone austerity in 2010s called self-defeating at zero rates
Hanno Lustig recalls the debates around Eurozone fiscal policy in the 2010s, noting that Paul was strongly critical of what he described as "austerity craziness." Lustig highlights that Paul ...
ECB action under scrutiny over unclear criteria for unwarranted market moves, Hanno Lustig argues
Hanno Lustig raises questions about the European Central Bank's (ECB) readiness to use its tools to counter what its president, Christine Lagarde, described as "unwarranted market moves." Lustig ...
Hanno Lustig: Central banks may be tempted to absorb government debt
Hanno Lustig argues that the current environment of risky debt, where government debt in advanced economies is marked to market daily, could tempt central banks to use their balance sheets to ...
Bond investors react to French Treasury priorities, Hanno Lustig notes
Hanno Lustig highlights recent shifts in the French bond market, attributing increased tension to signals from the French political class. Over the last couple of years, policymakers have ...
Hanno Lustig: U.S. government shortens Treasury portfolio maturity further
Hanno Lustig observes that the U.S. currently maintains a significantly shorter maturity profile on its entire portfolio of Treasuries compared to other advanced economies. He highlights that this ...
Central banks must better explain balance sheet trade-offs, Hanno Lustig warns
Hanno Lustig notes that governments in advanced economies are increasingly reaching the limits of their fiscal space. Lustig adds that, as a result, central banks will need to improve how they ...
Hanno Lustig: Mélenchon-style debt restructuring would target French sovereign bonds only
Hanno Lustig comments on the idea of Mélenchon-style debt restructuring, emphasizing that such a move would involve only French sovereign bonds. According to Lustig, Eurobonds issued by France ...
Japan faces no exit from financial repression after decades of low rates, Hanno Lustig notes
Hanno Lustig argues that rather than being preoccupied with intervention in the Yen, the European Central Bank should instead focus on the key lesson from Japan’s experience: exiting a long ...
Hanno Lustig: Blackstone introduces new private-market funds with Vanguard partnership
Hanno Lustig highlights that Blackstone is launching new private-market funds in collaboration with Vanguard. Lustig describes the move as a head-scratcher, suggesting some surprise or ...
Central bankers impact on demand may be weaker than expected, Hanno Lustig notes
Hanno Lustig raises concerns about the effectiveness of central bankers' actions in influencing aggregate demand. He suggests that real interest rates may have a much weaker impact on aggregate ...
Hanno Lustig: Central banks have repeatedly supported government debt since 2011
Hanno Lustig highlights that since 2011, central banks in mature economies have repeatedly demonstrated their willingness to support governments by absorbing a significant share of debt issuance. ...
Promises made by advanced economies are fiscally unsustainable during zero growth, Hanno Lustig notes
Hanno Lustig highlights that governments in advanced economies have made numerous risk-free commitments, such as Social Security, Medicare, and Medicaid in the U.S., which do not diminish even ...
Hanno Lustig: Hidden fee for passive investors during index inclusion in 1999 was 15 to 30 basis points
Hanno Lustig draws attention to the hidden fees encountered by passive investors when a large company with a small float is added to stock indexes. He cites data from Yahoo’s inclusion in the ...
FTSE Russell fast-tracks SpaceX index entry, Hanno Lustig notes
Hanno Lustig reports that FTSE Russell is fast-tracking SpaceX for index inclusion, which is expected to generate increased passive fund flows. According to Lustig, the expedited process, first ...
Hanno Lustig: ECB questioned on potential policy steps for fertility concerns
Hanno Lustig raises the question of whether the European Central Bank (ECB) should alter its monetary policy approach if it becomes concerned about declining fertility rates in the Eurozone. He ...
Price of global privilege could be much higher with higher defense outlays, Hanno Lustig argues
Hanno Lustig examines the potential cost associated with the so-called "exorbitant privilege," suggesting that if such privilege requires outspending adversaries on defense, the price may be ...
Hanno Lustig: BoE selling gilts to avoid BoJ-style balance sheet risks
Hanno Lustig questions the Bank of England's decision to sell gilts, arguing that the move appears driven primarily by a desire to avoid accumulating a balance sheet similar to that of the Bank of ...
