Details about Sydney C. Ludvigson

Access statistics for papers by Sydney C. Ludvigson.

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Short-id: plu153

Working Papers

2024

1. What Hundreds of Economic News Events Say About Belief Overreaction in the Stock Market
   NBER Working Papers, National Bureau of Economic Research, Inc

2022

2. Monetary-Based Asset Pricing: A Mixed-Frequency Structural Approach
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)

2020

3. Belief Distortions and Macroeconomic Fluctuations
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (11)
4. COVID-19 and The Macroeconomic Effects of Costly Disasters
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (72)
5. What Explains the COVID-19 Stock Market?
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (35)

2019

6. How the Wealth Was Won: Factor Shares as Market Fundamentals
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (20)

2018

7. Characteristics of Mutual Fund Portfolios: Where Are the Value Funds?
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
8. 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

9. Shock Restricted Structural Vector-Autoregressions
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (17)

2016

10. Monetary Policy and Asset Valuation
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (16)

2015

11. Capital Share Risk and Shareholder Heterogeneity in U.S. Stock Pricing
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
12. 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 (30)
    2014 Meeting Papers, Society for Economic Dynamics (2014) View citations (33)
13. Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (165)

2014

14. Capital Share Risk in U.S. Asset Pricing
    NBER Working Papers, National Bureau of Economic Research, Inc
15. Foreign Ownership of U.S. Safe Assets: Good or Bad?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)
    Also in 2012 Meeting Papers, Society for Economic Dynamics (2012) View citations (4)

2013

16. 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 (46)
    Also in 2007 Meeting Papers, Society for Economic Dynamics (2007) View citations (7)
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2012)
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2012)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2007) View citations (8)
    NBER Working Papers, National Bureau of Economic Research, Inc (2011) View citations (5)
    See also Journal Article An estimation of economic models with recursive preferences, Quantitative Economics, Econometric Society (2013) View citations (53) (2013)
17. Measuring Uncertainty
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (24)
    See also Journal Article Measuring Uncertainty, American Economic Review, American Economic Association (2015) View citations (1293) (2015)

2012

18. International Capital Flows and House Prices: Theory and Evidence
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (53)
    See also Chapter International Capital Flows and House Prices: Theory and Evidence, NBER Chapters, National Bureau of Economic Research, Inc (2012) View citations (69) (2012)

2011

19. Advances in Consumption-Based Asset Pricing: Empirical Tests
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (13)
    See also Chapter Advances in Consumption-Based Asset Pricing: Empirical Tests, Handbook of the Economics of Finance, Elsevier (2013) View citations (35) (2013)
20. Shocks and Crashes
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (18)
    See also Chapter Shocks and Crashes, NBER Chapters, National Bureau of Economic Research, Inc (2013) View citations (23) (2013)
    Journal Article Shocks and Crashes, NBER Macroeconomics Annual, University of Chicago Press (2014) View citations (8) (2014)

2010

21. 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

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

2007

23. An Estimation of Economic Models with Recursive
    FMG Discussion Papers, Financial Markets Group View citations (11)
24. Investor Information, Long-Run Risk, and the Term Structure of Equity
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (44)
    See also Journal Article Investor Information, Long-Run Risk, and the Term Structure of Equity, The Review of Financial Studies, Society for Financial Studies (2015) View citations (45) (2015)

2006

25. Investor Information, Long-Run Risk, and the Duration fo Risky Assets
    2006 Meeting Papers, Society for Economic Dynamics View citations (10)
26. The Declining Equity Premium: What Role Does Macroeconomic Risk Play?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (24)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2004) View citations (44)
    2004 Meeting Papers, Society for Economic Dynamics (2004) View citations (24)
    See also Journal Article The Declining Equity Premium: What Role Does Macroeconomic Risk Play?, The Review of Financial Studies, Society for Financial Studies (2008) View citations (180) (2008)
27. 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 (13)
    See also Journal Article The empirical risk-return relation: A factor analysis approach, Journal of Financial Economics, Elsevier (2007) View citations (283) (2007)

2005

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

2004

29. An Empirical Investigation of Habit-Based Asset Pricing Models
    Econometric Society 2004 North American Winter Meetings, Econometric Society View citations (17)
30. Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Behavior
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (12)
31. 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 Land of addicts? an empirical investigation of habit-based asset pricing models, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2009) View citations (101) (2009)

2003

32. Expected Returns and Expected Dividend Growth
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (26)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2002) View citations (6)
    See also Journal Article Expected returns and expected dividend growth, Journal of Financial Economics, Elsevier (2005) View citations (169) (2005)
33. 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 Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption, American Economic Review, American Economic Association (2004) View citations (392) (2004)

2001

34. 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)
35. Elasticities of Substitution in Real Business Cycle Models with Home Production
    Scholarly Articles, Harvard University Department of Economics View citations (56)
    Also in 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)
    Research Paper, Federal Reserve Bank of New York (1997) View citations (2)
    See also Journal Article Elasticities of Substitution in Real Business Cycle Models with Home Protection, Journal of Money, Credit and Banking, Blackwell Publishing (2001) View citations (56) (2001)
36. Measuring and Modelling Variation in the Risk-Return Trade-off
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (4)
37. 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 Time-varying risk premia and the cost of capital: An alternative implication of the Q theory of investment, Journal of Monetary Economics, Elsevier (2002) View citations (68) (2002)
38. 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 (13)

1999

39. 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 (8)
    See also Journal Article Approximation Bias In Linearized Euler Equations, The Review of Economics and Statistics, MIT Press (2001) View citations (61) (2001)
40. 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)
41. 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 Resurrecting the (C)CAPM: A Cross-Sectional Test When Risk Premia Are Time-Varying, Journal of Political Economy, University of Chicago Press (2001) View citations (528) (2001)

1998

42. How important is the stock market effect on consumption?
    Research Paper, Federal Reserve Bank of New York View citations (1)
    See also Journal Article How important is the stock market effect on consumption?, Economic Policy Review, Federal Reserve Bank of New York (1999) View citations (210) (1999)

1997

43. Does consumer confidence forecast household expenditure?: A sentiment index horse race
    Research Paper, Federal Reserve Bank of New York View citations (25)
    See also Journal Article Does consumer confidence forecast household expenditure? a sentiment index horse race, Economic Policy Review, Federal Reserve Bank of New York (1998) View citations (171) (1998)

1996

44. Consumer sentiment and household expenditure: reevaluating the forecasting equations
    Research Paper, Federal Reserve Bank of New York View citations (4)
45. 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 Consumption And Credit: A Model Of Time-Varying Liquidity Constraints, The Review of Economics and Statistics, MIT Press (1999) View citations (139) (1999)
46. 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 The Channel of Monetary Transmission to Demand: Evidence from the Market for Automobile Credit, Journal of Money, Credit and Banking, Blackwell Publishing (1998) View citations (55) (1998)

Journal Articles

2015

1. Investor Information, Long-Run Risk, and the Term Structure of Equity
   The Review of Financial Studies, 2015, 28, (3), 706-742 View citations (45)
   See also Working Paper Investor Information, Long-Run Risk, and the Term Structure of Equity, NBER Working Papers (2007) View citations (44) (2007)
2. Measuring Uncertainty
   American Economic Review, 2015, 105, (3), 1177-1216 View citations (1293)
   See also Working Paper Measuring Uncertainty, NBER Working Papers (2013) View citations (24) (2013)

2014

3. Shocks and Crashes
   NBER Macroeconomics Annual, 2014, 28, (1), 293 - 354 View citations (8)
   See also Chapter Shocks and Crashes, NBER Chapters, 2013, 293-354 (2013) View citations (23) (2013)
   Working Paper Shocks and Crashes, NBER Working Papers (2011) View citations (18) (2011)

2013

4. An estimation of economic models with recursive preferences
   Quantitative Economics, 2013, 4, (1), 39-83 View citations (53)
   See also Working Paper An estimation of economic models with recursive preferences, LSE Research Online Documents on Economics (2013) View citations (46) (2013)

2009

5. Euler Equation Errors
   Review of Economic Dynamics, 2009, 12, (2), 255-283 View citations (27)
   See also Software Item Code and data files for "Euler Equation Errors", Computer Codes (2008) (2008)
   Working Paper Euler Equation Errors, CEPR Discussion Papers (2005) View citations (7) (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 (101)
   See also Working Paper Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Models, 2004 Meeting Papers (2004) View citations (24) (2004)
7. Macro Factors in Bond Risk Premia
   The Review of Financial Studies, 2009, 22, (12), 5027-5067 View citations (550)

2008

8. The Declining Equity Premium: What Role Does Macroeconomic Risk Play?
   The Review of Financial Studies, 2008, 21, (4), 1653-1687 View citations (180)
   Also in Proceedings, 2005 (2005) View citations (14)
   See also Working Paper The Declining Equity Premium: What Role Does Macroeconomic Risk Play?, CEPR Discussion Papers (2006) View citations (24) (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 (283)
    See also Working Paper The Empirical Risk-Return Relation: a factor analysis approach, 2006 Meeting Papers (2006) View citations (2) (2006)

2005

12. Expected returns and expected dividend growth
    Journal of Financial Economics, 2005, 76, (3), 583-626 View citations (169)
    See also Working Paper Expected Returns and Expected Dividend Growth, NBER Working Papers (2003) View citations (26) (2003)
13. tay's as good as cay: Reply
    Finance Research Letters, 2005, 2, (1), 15-22 View citations (16)

2004

14. Consumer Confidence and Consumer Spending
    Journal of Economic Perspectives, 2004, 18, (2), 29-50 View citations (315)
15. Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption
    American Economic Review, 2004, 94, (1), 276-299 View citations (392)
    See also Working Paper Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption, NBER Working Papers (2003) View citations (51) (2003)

2002

16. Monetary policy transmission through the consumption-wealth channel
    Economic Policy Review, 2002, 8, (May), 117-133 View citations (67)
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 (68)
    See also Working Paper Time-Varying Risk Premia and the Cost of Capital: An Alternative Implication of the Q Theory of Investment, CEPR Discussion Papers (2001) View citations (3) (2001)

2001

18. Approximation Bias In Linearized Euler Equations
    The Review of Economics and Statistics, 2001, 83, (2), 242-256 View citations (61)
    See also Working Paper Approximation Bias in Linearized Euler Equations, NBER Technical Working Papers (1999) View citations (7) (1999)
19. Does Buffer-Stock Saving Explain the Smoothness and Excess Sensitivity of Consumption?
    American Economic Review, 2001, 91, (3), 631-647 View citations (59)
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 (56)
    See also Working Paper Elasticities of Substitution in Real Business Cycle Models with Home Production, Scholarly Articles (2001) View citations (56) (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 (528)
    See also Working Paper Resurrecting the (C)CAPM: a cross-sectional test when risk premia are time-varying, Staff Reports (1999) View citations (73) (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 (139)
    See also Working Paper Consumption and credit: a model of time-varying liquidity constraints, Research Paper (1996) View citations (4) (1996)
23. How important is the stock market effect on consumption?
    Economic Policy Review, 1999, 5, (Jul), 29-51 View citations (210)
    See also Working Paper How important is the stock market effect on consumption?, Research Paper (1998) View citations (1) (1998)

1998

24. Does consumer confidence forecast household expenditure? a sentiment index horse race
    Economic Policy Review, 1998, 4, (Jun), 59-78 View citations (171)
    See also Working Paper Does consumer confidence forecast household expenditure?: A sentiment index horse race, Research Paper (1997) View citations (25) (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 (55)
    See also Working Paper The channel of monetary transmission to demand: evidence from the market for automobile credit, Research Paper (1996) View citations (1) (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 (35)
   See also Working Paper Advances in Consumption-Based Asset Pricing: Empirical Tests, National Bureau of Economic Research, Inc (2011) View citations (13) (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 Shocks and Crashes, University of Chicago Press (2014) View citations (8) (2014)
   Working Paper Shocks and Crashes, National Bureau of Economic Research, Inc (2011) View citations (18) (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 (69)
   See also Working Paper International Capital Flows and House Prices: Theory and Evidence, National Bureau of Economic Research, Inc (2012) View citations (53) (2012)

Software Items

2008

1. Code and data files for "Euler Equation Errors"
   Computer Codes, Review of Economic Dynamics
   See also Journal Article Euler Equation Errors, Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics (2009) View citations (27) (2009)