Details about Sydney C. Ludvigson
Access statistics for papers by Sydney C. Ludvigson.
Last updated 2016-09-23. Update your information in the RePEc Author Service.
Short-id: plu153
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Working Papers
2022
- Monetary-Based Asset Pricing: A Mixed-Frequency Structural Approach
NBER Working Papers, National Bureau of Economic Research, Inc
2020
- Belief Distortions and Macroeconomic Fluctuations
NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
- COVID-19 and The Macroeconomic Effects of Costly Disasters
NBER Working Papers, National Bureau of Economic Research, Inc View citations (61)
- What Explains the COVID-19 Stock Market?
NBER Working Papers, National Bureau of Economic Research, Inc View citations (25)
2019
- How the Wealth Was Won: Factors Shares as Market Fundamentals
NBER Working Papers, National Bureau of Economic Research, Inc View citations (16)
2018
- Characteristics of Mutual Fund Portfolios: Where Are the Value Funds?
NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)
- 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
- Shock Restricted Structural Vector-Autoregressions
NBER Working Papers, National Bureau of Economic Research, Inc View citations (12)
2016
- Monetary Policy and Asset Valuation
NBER Working Papers, National Bureau of Economic Research, Inc View citations (13)
2015
- Capital Share Risk and Shareholder Heterogeneity in U.S. Stock Pricing
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
- 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)
- Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?
NBER Working Papers, National Bureau of Economic Research, Inc View citations (158)
2014
- Capital Share Risk in U.S. Asset Pricing
NBER Working Papers, National Bureau of Economic Research, Inc
- 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
- 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)
- Measuring Uncertainty
NBER Working Papers, National Bureau of Economic Research, Inc View citations (23)
See also Journal Article in American Economic Review (2015)
2012
- 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
- Advances in Consumption-Based Asset Pricing: Empirical Tests
NBER Working Papers, National Bureau of Economic Research, Inc View citations (13)
See also Chapter (2013)
- 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
- 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
- A Factor Analysis of Bond Risk Premia
NBER Working Papers, National Bureau of Economic Research, Inc View citations (21)
2007
- An Estimation of Economic Models with Recursive
FMG Discussion Papers, Financial Markets Group View citations (11)
- 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
- Investor Information, Long-Run Risk, and the Duration fo Risky Assets
2006 Meeting Papers, Society for Economic Dynamics View citations (10)
- 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)
- 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
- 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
- An Empirical Investigation of Habit-Based Asset Pricing Models
Econometric Society 2004 North American Winter Meetings, Econometric Society View citations (17)
- Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Behavior
NBER Working Papers, National Bureau of Economic Research, Inc View citations (12)
- 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
- 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)
- 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
- 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)
- 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)
- Measuring and Modelling Variation in the Risk-Return Trade-off
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (4)
- 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)
- 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
- 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)
- 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)
- 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
- 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
- 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
- Consumer sentiment and household expenditure: reevaluating the forecasting equations
Research Paper, Federal Reserve Bank of New York View citations (4)
- 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)
- 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
- 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)
- Measuring Uncertainty
American Economic Review, 2015, 105, (3), 1177-1216 View citations (1002)
See also Working Paper (2013)
2014
- Shocks and Crashes
NBER Macroeconomics Annual, 2014, 28, (1), 293 - 354 View citations (8)
See also Chapter (2013) Working Paper (2011)
2013
- An estimation of economic models with recursive preferences
Quantitative Economics, 2013, 4, (1), 39-83 View citations (40)
See also Working Paper (2013)
2009
- Euler Equation Errors
Review of Economic Dynamics, 2009, 12, (2), 255-283 View citations (26)
See also Software Item (2008) Working Paper (2005)
- 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)
- Macro Factors in Bond Risk Premia
Review of Financial Studies, 2009, 22, (12), 5027-5067 View citations (491)
2008
- 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)
- The Research Agenda: Sydney Ludvigson on Empirical Evaluation of Economic Theories of Risk Premia
EconomicDynamics Newsletter, 2008, 9, (2)
2007
- Housing, credit and consumer expenditure: commentary
Proceedings - Economic Policy Symposium - Jackson Hole, 2007, 335-350
- 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
- Expected returns and expected dividend growth
Journal of Financial Economics, 2005, 76, (3), 583-626 View citations (158)
See also Working Paper (2003)
- tay's as good as cay: Reply
Finance Research Letters, 2005, 2, (1), 15-22 View citations (15)
2004
- Consumer Confidence and Consumer Spending
Journal of Economic Perspectives, 2004, 18, (2), 29-50 View citations (282)
- 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
- Monetary policy transmission through the consumption-wealth channel
Economic Policy Review, 2002, 8, (May), 117-133 View citations (64)
- 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
- 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)
- Does Buffer-Stock Saving Explain the Smoothness and Excess Sensitivity of Consumption?
American Economic Review, 2001, 91, (3), 631-647 View citations (58)
- 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)
- 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
- 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)
- 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
- 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)
- 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
- 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
- Advances in Consumption-Based Asset Pricing: Empirical Tests
Elsevier View citations (33)
See also Working Paper (2011)
- 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
- 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
- Code and data files for "Euler Equation Errors"
Computer Codes, Review of Economic Dynamics 
See also Journal Article in Review of Economic Dynamics (2009)
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