Lars Peter Hansen is a leading expert in economic dynamics who works at the boundaries of macroeconomics, finance, and econometrics. His current collaborative research develops and applies methods for pricing the exposure to macroeconomic shocks over alternative investment horizons and investigates the implications of the pricing of long-term uncertainty. Moreover, he studies the econometric challenges of identifying investor beliefs from observed asset prices.
In related research, he explores how to incorporate ambiguities about the future, as well as the resulting skepticism into models of consumers and investors help to explain economic and financial data. In addition, he investigates how acknowledging a broader notion of uncertainty generates a more prudent approach to policy making.
Some Recent Papers
"Ambiguity Aversion and Modeling Misspecification: An Economic Perspective," (with Massimo Marinacci). June 2016. Forthcoming in Statistical Science.
"Misspecified Recovery" (with Jaroslav Borovička and José A. Scheinkman), Journal of Finance, March 2016.
"Shock Elasticities and Impulse Responses" (with Jaroslav Borovika and Jose A. Scheinkman), Mathematics and Financial Economics 8 (September 2014): 333-354.
“Uncertainty Inside and Outside Economic Models” (Nobel Prize lecture), Journal of Political Economy 122 (July 2014) 945-987.
June 11-15, 2016
Becker Friedman Institute MFM Summer Session for Young Scholars
Many years ago I participated in a project supported by the National Research Council that was designed to nurture linkages between mathematics and the sciences. Through this experience I was introduced to an exciting cross-disciplinary teaching opportunity called the Geophysical Fluid Dynamics Program at Woods Hole.
This summer program, which was founded in 1959, brought leading faculty from diverse backgrounds together with promising young scholars who shared a common interest in nonlinear dynamics. The goal was to introduce them to a then relatively new topic in mathematical physics, geophysical fluid dynamics. Read more. . .
June 3, 2016
"Uncertainty Prices when Beliefs are Tenuous." Lecture given at Swedish House of Finance, Stockholm.
April 11, 2016
"The Economic Impact of Uncertainty in a Changing Environment." Lecture given at Shanghai Jiao Tong University.
April 8, 2016
Lecture at the NBER Asset Pricing conference in Cambridge, MA.
February 10, 2016
"Confronting Uncertainty in a Changing Environment." Lecture at the Center for Operations Research and Econometrics (CORE) at the Université catholique de Louvain, Belgium.
October 15, 2015
Lecture at the Latin American and Caribbean Economics Association (LACEA ) meeting in Santa Cruz de la Sierra, Bolivia.