Motohiro Yogo

Biographic Data

ID5849034
NAMEMotohiro Yogo
GIVEN NAMESMotohiro
FAMILY NAMEYogo
SIGNATUREYOGO M
AFFILIATIONSNational Bureau of Economic Research
ORCID0000-0001-8778-778X
VERIFIEDYes
TOTAL WORKS8
TOTAL CITATIONS12
AUTHOR COUNT8
EDITOR COUNT0
FIRST PUBLICATION YEAR2002
LATEST PUBLICATION YEAR2018
H-INDEX2

  • A Demand System Approach to Asset Pricing

    Ralph S J Koijen, Motohiro YogoARTICLEJournal of Political Economy2018Cited by: 10References: 11

    We develop an asset pricing model with flexible heterogeneity in asset demand across investors, designed to match institutional and household holdings. A portfolio choice model implies characteristics-based demand when returns have a factor structure and expected returns and factor loadings depend on the assets’ own characteristics. We propose an instrumental variables estimator for the characteristics-based demand system to address the endogenei…

  • Durability of Output and Expected Stock Returns

    João F Gomes, Leonid Kogan et al.ARTICLEJournal of Political Economy2009Cited by: 2References: 14

    The demand for durable goods is more cyclical than that for nondurable goods and services. Consequently, the cash flows and stock returns of durable‐good producers are exposed to higher systematic risk. Using the benchmark input‐output accounts of the National Income and Product Accounts, we construct portfolios of durable‐good, nondurable‐good, and service producers. In the cross section, an investment strategy that is long on the durable‐good p…

  • Asset Prices Under Habit Formation and Reference-Dependent Preferences

    Motohiro YogoARTICLEJournal of Business and Economic…2008

    This article explains the high level and the countercyclical variation of the equity premium in a consumption-based asset pricing model with low large-scale risk aversion. Investors have gain-loss utility over consumption relative to slowly time-varying habit. Stocks deliver low returns in recessions when consumption falls below habit; investors therefore require a high premium for holding stocks. The model's conditional moment restrictions are t…

  • Asymptotic Distributions of Instrumental Variables Statistics with Many Instruments

    Open AccessJames H Stock, Motohiro YogoCHAPTERIdentification and Inference for…2005

    This paper extends Staiger and Stock's (1997) weak instrument asymptotic approximations to the case of many weak instruments by modeling the number of instruments as increasing slowly with the number of observations. It is shown that the resulting “many weak instrument” approximations can be calculated sequentially by letting first the sample size, and then the number of instruments, tend to infinity. The resulting distributions are given for k-c…

  • Testing for Weak Instruments in Linear IV Regression

    Open AccessJames H Stock, Motohiro YogoCHAPTERIdentification and Inference for…2005

    Weak instruments can produce biased IV estimators and hypothesis tests with large size distortions. But what, precisely, are weak instruments, and how does one detect them in practice? This paper proposes quantitative definitions of weak instruments based on the maximum IV estimator bias, or the maximum Wald test size distortion, when there are multiple endogenous regressors. We tabulate critical values that enable using the first-stage F-statist…

  • Estimating the Elasticity of Intertemporal Substitution When Instruments Are Weak

    Motohiro YogoARTICLEThe Review of Economics and…2004

    In the instrumental variables (IV) regression model, weak instruments can lead to bias in estimators and size distortion in hypothesis tests. This paper examines how weak instruments affect the identification of the elasticity of intertemporal substitution (EIS) through the linearized Euler equation. Conventional IV methods result in an empirical puzzle that the EIS is significantly less than one while its inverse is not different from one. This …

  • Testing for Weak Instruments in Linear IV Regression

    James H Stock, James Stock et al.REPORTNational Bureau of Economic…2002

    Weak instruments can produce biased IV estimators and hypothesis tests with large size distortions. But what, precisely, are weak instruments, and how does one detect them in practice? This paper proposes quantitative definitions of weak instruments based on the maximum IV estimator bias, or the maximum Wald test size distortion, when there are multiple endogenous regressors. We tabulate critical values that enable using the first-stage F-statist…

  • A Survey of Weak Instruments and Weak Identification in Generalized Method of Moments

    James H Stock, Jonathan H Wright et al.ARTICLEJournal of Business and Economic…2002

    Weak instruments arise when the instruments in linear instrumental variables (IV) regression are weakly correlated with the included endogenous variables. In generalized method of moments (GMM), more generally, weak instruments correspond to weak identification of some or all of the unknown parameters. Weak identification leads to GMM statistics with nonnormal distributions, even in large samples, so that conventional IV or GMM inferences are mis…