Details about Sydney C. Ludvigson

Access statistics for papers by Sydney C. Ludvigson.

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Short-id: plu153

Working Papers

2022

1. Monetary-Based Asset Pricing: A Mixed-Frequency Structural Approach
   NBER Working Papers, National Bureau of Economic Research, Inc

2020

2. Belief Distortions and Macroeconomic Fluctuations
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
3. COVID-19 and The Macroeconomic Effects of Costly Disasters
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (61)
4. What Explains the COVID-19 Stock Market?
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (25)

2019

5. How the Wealth Was Won: Factors Shares as Market Fundamentals
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (16)

2018

6. Characteristics of Mutual Fund Portfolios: Where Are the Value Funds?
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)
7. Drivers of the Great Housing Boom-Bust: Credit Conditions, Beliefs, or Both?
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)

2017

8. Shock Restricted Structural Vector-Autoregressions
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (12)

2016

9. Monetary Policy and Asset Valuation
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (13)

2015

10. Capital Share Risk and Shareholder Heterogeneity in U.S. Stock Pricing
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
11. Origins of Stock Market Fluctuations
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (11)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2014) View citations (27)
    2014 Meeting Papers, Society for Economic Dynamics (2014) View citations (30)
12. Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (158)

2014

13. Capital Share Risk in U.S. Asset Pricing
    NBER Working Papers, National Bureau of Economic Research, Inc
14. Foreign Ownership of U.S. Safe Assets: Good or Bad?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)
    Also in 2012 Meeting Papers, Society for Economic Dynamics (2012) View citations (4)

2013

15. An estimation of economic models with recursive preferences
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library View citations (41)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2012)
    NBER Working Papers, National Bureau of Economic Research, Inc (2011) View citations (5)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2007) View citations (8)
    2007 Meeting Papers, Society for Economic Dynamics (2007) View citations (7)
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2012)
    See also Journal Article in Quantitative Economics (2013)
16. Measuring Uncertainty
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (23)
    See also Journal Article in American Economic Review (2015)

2012

17. International Capital Flows and House Prices: Theory and Evidence
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (51)
    See also Chapter (2012)

2011

18. Advances in Consumption-Based Asset Pricing: Empirical Tests
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (13)
    See also Chapter (2013)
19. Shocks and Crashes
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (18)
    See also Chapter (2013)
    Journal Article in NBER Macroeconomics Annual (2014)

2010

20. The Macroeconomic Effects of Housing Wealth, Housing Finance, and Limited Risk-Sharing in General Equilibrium
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (66)
    Also in 2010 Meeting Papers, Society for Economic Dynamics (2010) View citations (54)

2009

21. A Factor Analysis of Bond Risk Premia
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (21)

2007

22. An Estimation of Economic Models with Recursive
    FMG Discussion Papers, Financial Markets Group View citations (11)
23. Investor Information, Long-Run Risk, and the Term Structure of Equity
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (43)
    See also Journal Article in Review of Financial Studies (2015)

2006

24. Investor Information, Long-Run Risk, and the Duration fo Risky Assets
    2006 Meeting Papers, Society for Economic Dynamics View citations (10)
25. The Declining Equity Premium: What Role Does Macroeconomic Risk Play?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (24)
    Also in 2004 Meeting Papers, Society for Economic Dynamics (2004) View citations (24)
    NBER Working Papers, National Bureau of Economic Research, Inc (2004) View citations (44)
    See also Journal Article in Review of Financial Studies (2008)
26. The Empirical Risk-Return Relation: a factor analysis approach
    2006 Meeting Papers, Society for Economic Dynamics View citations (2)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations (12)
    See also Journal Article in Journal of Financial Economics (2007)

2005

27. Euler Equation Errors
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (7)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations (7)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005) View citations (7)
    2005 Meeting Papers, Society for Economic Dynamics (2005) View citations (7)
    See also Journal Article in Review of Economic Dynamics (2009)

2004

28. An Empirical Investigation of Habit-Based Asset Pricing Models
    Econometric Society 2004 North American Winter Meetings, Econometric Society View citations (17)
29. Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Behavior
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (12)
30. Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Models
    2004 Meeting Papers, Society for Economic Dynamics View citations (24)
    See also Journal Article in Journal of Applied Econometrics (2009)

2003

31. Expected Returns and Expected Dividend Growth
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (25)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2002) View citations (6)
    See also Journal Article in Journal of Financial Economics (2005)
32. Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (51)
    See also Journal Article in American Economic Review (2004)

2001

33. A primer on the economics and time series econometrics of wealth effects: a comment
    Staff Reports, Federal Reserve Bank of New York View citations (10)
34. Elasticities of Substitution in Real Business Cycle Models with Home Production
    Scholarly Articles, Harvard University Department of Economics View citations (55)
    Also in Research Paper, Federal Reserve Bank of New York (1997) View citations (2)
    NBER Working Papers, National Bureau of Economic Research, Inc (1998) View citations (2)
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2000) View citations (7)
    See also Journal Article in Journal of Money, Credit and Banking (2001)
35. Measuring and Modelling Variation in the Risk-Return Trade-off
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (4)
36. 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 (3)
    See also Journal Article in Journal of Monetary Economics (2002)
37. 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 (11)

1999

38. Approximation Bias in Linearized Euler Equations
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (7)
    Also in Research Paper, Federal Reserve Bank of New York (1997) View citations (7)
    See also Journal Article in The Review of Economics and Statistics (2001)
39. Consumption, Aggregate Wealth and Expected Stock Returns
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (5)
    Also in Staff Reports, Federal Reserve Bank of New York (1999) View citations (129)
40. Resurrecting the (C)CAPM: a cross-sectional test when risk premia are time-varying
    Staff Reports, Federal Reserve Bank of New York View citations (73)
    See also Journal Article in Journal of Political Economy (2001)

1998

41. How important is the stock market effect on consumption?
    Research Paper, Federal Reserve Bank of New York View citations (1)
    See also Journal Article in Economic Policy Review (1999)

1997

42. Does consumer confidence forecast household expenditure?: A sentiment index horse race
    Research Paper, Federal Reserve Bank of New York View citations (19)
    See also Journal Article in Economic Policy Review (1998)

1996

43. Consumer sentiment and household expenditure: reevaluating the forecasting equations
    Research Paper, Federal Reserve Bank of New York View citations (4)
44. Consumption and credit: a model of time-varying liquidity constraints
    Research Paper, Federal Reserve Bank of New York View citations (4)
    See also Journal Article in The Review of Economics and Statistics (1999)
45. The channel of monetary transmission to demand: evidence from the market for automobile credit
    Research Paper, Federal Reserve Bank of New York View citations (1)
    See also Journal Article in Journal of Money, Credit and Banking (1998)

Journal Articles

2015

1. Investor Information, Long-Run Risk, and the Term Structure of Equity
   Review of Financial Studies, 2015, 28, (3), 706-742 View citations (38)
   See also Working Paper (2007)
2. Measuring Uncertainty
   American Economic Review, 2015, 105, (3), 1177-1216 View citations (1002)
   See also Working Paper (2013)

2014

3. Shocks and Crashes
   NBER Macroeconomics Annual, 2014, 28, (1), 293 - 354 View citations (8)
   See also Chapter (2013)
   Working Paper (2011)

2013

4. An estimation of economic models with recursive preferences
   Quantitative Economics, 2013, 4, (1), 39-83 View citations (40)
   See also Working Paper (2013)

2009

5. Euler Equation Errors
   Review of Economic Dynamics, 2009, 12, (2), 255-283 View citations (26)
   See also Software Item (2008)
   Working Paper (2005)
6. Land of addicts? an empirical investigation of habit-based asset pricing models
   Journal of Applied Econometrics, 2009, 24, (7), 1057-1093 View citations (80)
   See also Working Paper (2004)
7. Macro Factors in Bond Risk Premia
   Review of Financial Studies, 2009, 22, (12), 5027-5067 View citations (491)

2008

8. The Declining Equity Premium: What Role Does Macroeconomic Risk Play?
   Review of Financial Studies, 2008, 21, (4), 1653-1687 View citations (167)
   Also in Proceedings, 2005 (2005) View citations (14)
   See also Working Paper (2006)
9. The Research Agenda: Sydney Ludvigson on Empirical Evaluation of Economic Theories of Risk Premia
   EconomicDynamics Newsletter, 2008, 9, (2)

2007

10. Housing, credit and consumer expenditure: commentary
    Proceedings - Economic Policy Symposium - Jackson Hole, 2007, 335-350
11. The empirical risk-return relation: A factor analysis approach
    Journal of Financial Economics, 2007, 83, (1), 171-222 View citations (264)
    See also Working Paper (2006)

2005

12. Expected returns and expected dividend growth
    Journal of Financial Economics, 2005, 76, (3), 583-626 View citations (158)
    See also Working Paper (2003)
13. tay's as good as cay: Reply
    Finance Research Letters, 2005, 2, (1), 15-22 View citations (15)

2004

14. Consumer Confidence and Consumer Spending
    Journal of Economic Perspectives, 2004, 18, (2), 29-50 View citations (282)
15. Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption
    American Economic Review, 2004, 94, (1), 276-299 View citations (380)
    See also Working Paper (2003)

2002

16. Monetary policy transmission through the consumption-wealth channel
    Economic Policy Review, 2002, 8, (May), 117-133 View citations (64)
17. 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 (67)
    See also Working Paper (2001)

2001

18. Approximation Bias In Linearized Euler Equations
    The Review of Economics and Statistics, 2001, 83, (2), 242-256 View citations (58)
    See also Working Paper (1999)
19. Does Buffer-Stock Saving Explain the Smoothness and Excess Sensitivity of Consumption?
    American Economic Review, 2001, 91, (3), 631-647 View citations (58)
20. Elasticities of Substitution in Real Business Cycle Models with Home Protection
    Journal of Money, Credit and Banking, 2001, 33, (4), 847-75 View citations (54)
    See also Working Paper (2001)
21. 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 (498)
    See also Working Paper (1999)

1999

22. Consumption And Credit: A Model Of Time-Varying Liquidity Constraints
    The Review of Economics and Statistics, 1999, 81, (3), 434-447 View citations (130)
    See also Working Paper (1996)
23. How important is the stock market effect on consumption?
    Economic Policy Review, 1999, 5, (Jul), 29-51 View citations (164)
    See also Working Paper (1998)

1998

24. Does consumer confidence forecast household expenditure? a sentiment index horse race
    Economic Policy Review, 1998, 4, (Jun), 59-78 View citations (156)
    See also Working Paper (1997)
25. 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 (53)
    See also Working Paper (1996)

1996

26. The macroeconomic effects of government debt in a stochastic growth model
    Journal of Monetary Economics, 1996, 38, (1), 25-45 View citations (72)

Chapters

2013

1. Advances in Consumption-Based Asset Pricing: Empirical Tests
   Elsevier View citations (33)
   See also Working Paper (2011)
2. Shocks and Crashes
   A chapter in NBER Macroeconomics Annual 2013, Volume 28, 2013, pp 293-354 View citations (23)
   See also Journal Article in NBER Macroeconomics Annual (2014)
   Working Paper (2011)

2012

3. International Capital Flows and House Prices: Theory and Evidence
   A chapter in Housing and the Financial Crisis, 2012, pp 235-299 View citations (67)
   See also Working Paper (2012)

Software Items

2008

1. Code and data files for "Euler Equation Errors"
   Computer Codes, Review of Economic Dynamics
   See also Journal Article in Review of Economic Dynamics (2009)