Details about Sydney C. Ludvigson

Access statistics for papers by Sydney C. Ludvigson.

Last updated 2008-08-26. Update your information in the RePEc Author Service.

Short-id: plu153

Working Papers

2007

1. An Estimation of Economic Models with Recursive
   FMG Discussion Papers, Financial Markets Group
2. Investor Information, Long-Run Risk, and the Duration of Risky Cash-Flows
   NBER Working Papers, National Bureau of Economic Research, Inc View citations

2006

3. Investor Information, Long-Run Risk, and the Duration fo Risky Assets
   2006 Meeting Papers, Society for Economic Dynamics View citations
4. The Declining Equity Premium: What Role Does Macroeconomic Risk Play?
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
   Also in 2004 Meeting Papers, Society for Economic Dynamics (2004) View citations
   NBER Working Papers, National Bureau of Economic Research, Inc (2004) View citations
5. The Empirical Risk-Return Relation: a factor analysis approach
   2006 Meeting Papers, Society for Economic Dynamics View citations
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations
   See also Journal Article in Journal of Financial Economics (2007)

2005

6. Euler Equation Errors
   NBER Working Papers, National Bureau of Economic Research, Inc View citations
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005) View citations
   2005 Meeting Papers, Society for Economic Dynamics (2005) View citations
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005) View citations

2004

7. An Empirical Investigation of Habit-Based Asset Pricing Models
   Econometric Society 2004 North American Winter Meetings, Econometric Society View citations
8. Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Behavior
   NBER Working Papers, National Bureau of Economic Research, Inc View citations
9. Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Models
   2004 Meeting Papers, Society for Economic Dynamics View citations

2003

10. Expected Returns and Expected Dividend Growth
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2002) View citations
    See also Journal Article in Journal of Financial Economics (2005)
11. Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See also Journal Article in American Economic Review (2004)

2001

12. A primer on the economics and time series econometrics of wealth effects: a comment
    Staff Reports, Federal Reserve Bank of New York View citations
13. Measuring and Modelling Variation in the Risk-Return Trade-off
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
14. Time-Varying Risk Premia and the Cost of Capital: An Alternative Implication of the Q Theory of Investment
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
    See also Journal Article in Journal of Monetary Economics (2002)
15. Understanding Trend and Cycle in Asset Values: Bulls, Bears and the Wealth Effect on Consumption
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations

2000

16. Elasticities of Substitution in Real Business Cycle Models with Home Production
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research View citations
    Also in Research Paper, Federal Reserve Bank of New York (1997) View citations
    NBER Working Papers, National Bureau of Economic Research, Inc (1998)
    See also Journal Article in Journal of Money, Credit and Banking (2001)

1999

17. Approximation Bias in Linearized Euler Equations
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations
    Also in Research Paper, Federal Reserve Bank of New York (1997) View citations
    See also Journal Article in The Review of Economics and Statistics (2001)
18. Consumption, Aggregate Wealth and Expected Stock Returns
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
    Also in Staff Reports, Federal Reserve Bank of New York (1999) View citations
19. Resurrecting the (C)CAPM: a cross-sectional test when risk premia are time-varying
    Staff Reports, Federal Reserve Bank of New York View citations
    See also Journal Article in Journal of Political Economy (2001)

1998

20. How important is the stock market effect on consumption?
    Research Paper, Federal Reserve Bank of New York
    See also Journal Article in Economic Policy Review (1999)

1997

21. Does consumer confidence forecast household expenditure?: A sentiment index horse race
    Research Paper, Federal Reserve Bank of New York
    See also Journal Article in Economic Policy Review (1998)

1996

22. Consumer sentiment and household expenditure: reevaluating the forecasting equations
    Research Paper, Federal Reserve Bank of New York View citations
23. Consumption and credit: a model of time-varying liquidity constraints
    Research Paper, Federal Reserve Bank of New York View citations
    See also Journal Article in The Review of Economics and Statistics (1999)
24. The channel of monetary transmission to demand: evidence from the market for automobile credit
    Research Paper, Federal Reserve Bank of New York View citations
    See also Journal Article in Journal of Money, Credit and Banking (1998)

Journal Articles

2008

1. The Research Agenda: Sydney Ludvigson on Empirical Evaluation of Economic Theories of Risk Premia
   EconomicDynamics Newsletter, 2008, 9, (2)

2007

2. Housing, credit and consumer expenditure: commentary
   Proceedings, 2007, 335-350
3. The empirical risk-return relation: A factor analysis approach
   Journal of Financial Economics, 2007, 83, (1), 171-222 View citations
   See also Working Paper (2006)

2005

4. Expected returns and expected dividend growth
   Journal of Financial Economics, 2005, 76, (3), 583-626 View citations
   See also Working Paper (2003)
5. tay's as good as cay: Reply
   Finance Research Letters, 2005, 2, (1), 15-22 View citations

2004

6. Consumer Confidence and Consumer Spending
   Journal of Economic Perspectives, 2004, 18, (2), 29-50 View citations
7. Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption
   American Economic Review, 2004, 94, (1), 276-299 View citations
   See also Working Paper (2003)

2002

8. Monetary policy transmission through the consumption-wealth channel
   Economic Policy Review, 2002, (May), 117-133 View citations
9. Time-varying risk premia and the cost of capital: An alternative implication of the Q theory of investment
   Journal of Monetary Economics, 2002, 49, (1), 31-66 View citations
   See also Working Paper (2001)

2001

10. Approximation Bias In Linearized Euler Equations
    The Review of Economics and Statistics, 2001, 83, (2), 242-256 View citations
    See also Working Paper (1999)
11. Does Buffer-Stock Saving Explain the Smoothness and Excess Sensitivity of Consumption?
    American Economic Review, 2001, 91, (3), 631-647 View citations
12. Elasticities of Substitution in Real Business Cycle Models with Home Protection
    Journal of Money, Credit and Banking, 2001, 33, (4), 847-75 View citations
    See also Working Paper (2000)
13. Resurrecting the (C)CAPM: A Cross-Sectional Test When Risk Premia Are Time-Varying
    Journal of Political Economy, 2001, 109, (6), 1238-1287 View citations
    See also Working Paper (1999)

1999

14. Consumption And Credit: A Model Of Time-Varying Liquidity Constraints
    The Review of Economics and Statistics, 1999, 81, (3), 434-447 View citations
    See also Working Paper (1996)
15. How important is the stock market effect on consumption?
    Economic Policy Review, 1999, (Jul), 29-51 View citations
    See also Working Paper (1998)

1998

16. Does consumer confidence forecast household expenditure? a sentiment index horse race
    Economic Policy Review, 1998, (Jun), 59-78 View citations
    See also Working Paper (1997)
17. The Channel of Monetary Transmission to Demand: Evidence from the Market for Automobile Credit
    Journal of Money, Credit and Banking, 1998, 30, (3), 365-83 View citations
    See also Working Paper (1996)

1996

18. The macroeconomic effects of government debt in a stochastic growth model
    Journal of Monetary Economics, 1996, 38, (1), 25-45 View citations