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Details about Sydney C. Ludvigson

E-mail:
Homepage:http://www.sydneyludvigson.com
Workplace:Department of Economics, New York University (NYU), (more information at EDIRC)

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

2019

  1. How the Wealth Was Won: Factors Shares as Market Fundamentals
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads

2018

  1. Characteristics of Mutual Fund Portfolios: Where Are the Value Funds?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
  2. Drivers of the Great Housing Boom-Bust: Credit Conditions, Beliefs, or Both?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads

2017

  1. Shock Restricted Structural Vector-Autoregressions
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (3)

2016

  1. Monetary Policy and Asset Valuation
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (5)

2015

  1. Capital Share Risk and Shareholder Heterogeneity in U.S. Stock Pricing
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (1)
  2. Origins of Stock Market Fluctuations
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (1)
    Also in 2014 Meeting Papers, Society for Economic Dynamics (2014) View citations (9)
    NBER Working Papers, National Bureau of Economic Research, Inc (2014) Downloads View citations (8)
  3. Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (59)

2014

  1. Capital Share Risk in U.S. Asset Pricing
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
  2. Foreign Ownership of U.S. Safe Assets: Good or Bad?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
    Also in 2012 Meeting Papers, Society for Economic Dynamics (2012) Downloads View citations (4)

2013

  1. An estimation of economic models with recursive preferences
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library Downloads View citations (22)
    Also in Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University (2012) Downloads
    2007 Meeting Papers, Society for Economic Dynamics (2007) View citations (2)
    NBER Working Papers, National Bureau of Economic Research, Inc (2011) Downloads View citations (3)
    LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2007) Downloads View citations (2)
    CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies (2012) Downloads

    See also Journal Article in Quantitative Economics (2013)
  2. Measuring Uncertainty
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (21)
    See also Journal Article in American Economic Review (2015)

2012

  1. International Capital Flows and House Prices: Theory and Evidence
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (19)
    See also Chapter (2012)

2011

  1. Advances in Consumption-Based Asset Pricing: Empirical Tests
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (7)
    See also Chapter (2013)
  2. Shocks and Crashes
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (11)
    See also Journal Article in NBER Macroeconomics Annual (2014)
    Chapter (2013)

2010

  1. The Macroeconomic Effects of Housing Wealth, Housing Finance, and Limited Risk-Sharing in General Equilibrium
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (32)
    Also in 2010 Meeting Papers, Society for Economic Dynamics (2010) View citations (3)

2009

  1. A Factor Analysis of Bond Risk Premia
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (11)

2007

  1. An Estimation of Economic Models with Recursive
    FMG Discussion Papers, Financial Markets Group Downloads View citations (2)
  2. Investor Information, Long-Run Risk, and the Term Structure of Equity
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (43)
    See also Journal Article in Review of Financial Studies (2015)

2006

  1. Investor Information, Long-Run Risk, and the Duration fo Risky Assets
    2006 Meeting Papers, Society for Economic Dynamics Downloads View citations (8)
  2. The Declining Equity Premium: What Role Does Macroeconomic Risk Play?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (21)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2004) Downloads View citations (37)
    2004 Meeting Papers, Society for Economic Dynamics (2004) Downloads View citations (15)

    See also Journal Article in Review of Financial Studies (2008)
  3. The Empirical Risk-Return Relation: a factor analysis approach
    2006 Meeting Papers, Society for Economic Dynamics Downloads
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) Downloads

    See also Journal Article in Journal of Financial Economics (2007)

2005

  1. Euler Equation Errors
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (5)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005) Downloads View citations (5)
    2005 Meeting Papers, Society for Economic Dynamics (2005) Downloads View citations (5)
    NBER Working Papers, National Bureau of Economic Research, Inc (2005) Downloads View citations (5)

    See also Journal Article in Review of Economic Dynamics (2009)

2004

  1. An Empirical Investigation of Habit-Based Asset Pricing Models
    Econometric Society 2004 North American Winter Meetings, Econometric Society View citations (3)
  2. Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Behavior
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (9)
  3. Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Models
    2004 Meeting Papers, Society for Economic Dynamics Downloads View citations (9)
    See also Journal Article in Journal of Applied Econometrics (2009)

2003

  1. Expected Returns and Expected Dividend Growth
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (23)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2002) Downloads View citations (6)

    See also Journal Article in Journal of Financial Economics (2005)
  2. Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (49)
    See also Journal Article in American Economic Review (2004)

2001

  1. A primer on the economics and time series econometrics of wealth effects: a comment
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (9)
  2. Elasticities of Substitution in Real Business Cycle Models with Home Production
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (38)
    Also in Research Paper, Federal Reserve Bank of New York (1997) Downloads View citations (2)
    Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research (2000) Downloads View citations (7)
    NBER Working Papers, National Bureau of Economic Research, Inc (1998) Downloads View citations (1)

    See also Journal Article in Journal of Money, Credit and Banking (2001)
  3. Measuring and Modelling Variation in the Risk-Return Trade-off
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (2)
  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 Downloads View citations (2)
    See also Journal Article in Journal of Monetary Economics (2002)
  5. Understanding Trend and Cycle in Asset Values: Bulls, Bears and the Wealth Effect on Consumption
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (8)

1999

  1. Approximation Bias in Linearized Euler Equations
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (7)
    Also in Research Paper, Federal Reserve Bank of New York (1997) Downloads View citations (6)

    See also Journal Article in The Review of Economics and Statistics (2001)
  2. Consumption, Aggregate Wealth and Expected Stock Returns
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (2)
    Also in Staff Reports, Federal Reserve Bank of New York (1999) Downloads View citations (130)
  3. Resurrecting the (C)CAPM: a cross-sectional test when risk premia are time-varying
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (73)
    See also Journal Article in Journal of Political Economy (2001)

1998

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

1997

  1. Does consumer confidence forecast household expenditure?: A sentiment index horse race
    Research Paper, Federal Reserve Bank of New York Downloads View citations (2)
    See also Journal Article in Economic Policy Review (1998)

1996

  1. Consumer sentiment and household expenditure: reevaluating the forecasting equations
    Research Paper, Federal Reserve Bank of New York Downloads View citations (4)
  2. Consumption and credit: a model of time-varying liquidity constraints
    Research Paper, Federal Reserve Bank of New York Downloads View citations (4)
    See also Journal Article in The Review of Economics and Statistics (1999)
  3. The channel of monetary transmission to demand: evidence from the market for automobile credit
    Research Paper, Federal Reserve Bank of New York Downloads 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 Downloads View citations (18)
    See also Working Paper (2007)
  2. Measuring Uncertainty
    American Economic Review, 2015, 105, (3), 1177-1216 Downloads View citations (318)
    See also Working Paper (2013)

2014

  1. Shocks and Crashes
    NBER Macroeconomics Annual, 2014, 28, (1), 293 - 354 Downloads View citations (4)
    See also Chapter (2013)
    Working Paper (2011)

2013

  1. An estimation of economic models with recursive preferences
    Quantitative Economics, 2013, 4, (1), 39-83 Downloads View citations (25)
    See also Working Paper (2013)

2009

  1. Euler Equation Errors
    Review of Economic Dynamics, 2009, 12, (2), 255-283 Downloads View citations (10)
    See also Software Item (2008)
    Working Paper (2005)
  2. Land of addicts? an empirical investigation of habit-based asset pricing models
    Journal of Applied Econometrics, 2009, 24, (7), 1057-1093 Downloads View citations (53)
    See also Working Paper (2004)
  3. Macro Factors in Bond Risk Premia
    Review of Financial Studies, 2009, 22, (12), 5027-5067 Downloads View citations (271)

2008

  1. The Declining Equity Premium: What Role Does Macroeconomic Risk Play?
    Review of Financial Studies, 2008, 21, (4), 1653-1687 Downloads View citations (107)
    Also in Proceedings, 2005 (2005) Downloads View citations (14)

    See also Working Paper (2006)
  2. The Research Agenda: Sydney Ludvigson on Empirical Evaluation of Economic Theories of Risk Premia
    EconomicDynamics Newsletter, 2008, 9, (2) Downloads

2007

  1. Housing, credit and consumer expenditure: commentary
    Proceedings - Economic Policy Symposium - Jackson Hole, 2007, 335-350 Downloads
  2. The empirical risk-return relation: A factor analysis approach
    Journal of Financial Economics, 2007, 83, (1), 171-222 Downloads View citations (193)
    See also Working Paper (2006)

2005

  1. Expected returns and expected dividend growth
    Journal of Financial Economics, 2005, 76, (3), 583-626 Downloads View citations (112)
    See also Working Paper (2003)
  2. tay's as good as cay: Reply
    Finance Research Letters, 2005, 2, (1), 15-22 Downloads View citations (14)

2004

  1. Consumer Confidence and Consumer Spending
    Journal of Economic Perspectives, 2004, 18, (2), 29-50 Downloads View citations (188)
  2. Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption
    American Economic Review, 2004, 94, (1), 276-299 Downloads View citations (222)
    See also Working Paper (2003)

2002

  1. Monetary policy transmission through the consumption-wealth channel
    Economic Policy Review, 2002, (May), 117-133 Downloads View citations (52)
  2. 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 Downloads View citations (52)
    See also Working Paper (2001)

2001

  1. Approximation Bias In Linearized Euler Equations
    The Review of Economics and Statistics, 2001, 83, (2), 242-256 Downloads View citations (43)
    See also Working Paper (1999)
  2. Does Buffer-Stock Saving Explain the Smoothness and Excess Sensitivity of Consumption?
    American Economic Review, 2001, 91, (3), 631-647 Downloads View citations (39)
  3. Elasticities of Substitution in Real Business Cycle Models with Home Protection
    Journal of Money, Credit and Banking, 2001, 33, (4), 847-75 View citations (24)
    See also Working Paper (2001)
  4. Resurrecting the (C)CAPM: A Cross-Sectional Test When Risk Premia Are Time-Varying
    Journal of Political Economy, 2001, 109, (6), 1238-1287 Downloads View citations (329)
    See also Working Paper (1999)

1999

  1. Consumption And Credit: A Model Of Time-Varying Liquidity Constraints
    The Review of Economics and Statistics, 1999, 81, (3), 434-447 Downloads View citations (97)
    See also Working Paper (1996)
  2. How important is the stock market effect on consumption?
    Economic Policy Review, 1999, (Jul), 29-51 Downloads View citations (153)
    See also Working Paper (1998)

1998

  1. Does consumer confidence forecast household expenditure? a sentiment index horse race
    Economic Policy Review, 1998, (Jun), 59-78 Downloads View citations (139)
    See also Working Paper (1997)
  2. 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 (40)
    See also Working Paper (1996)

1996

  1. The macroeconomic effects of government debt in a stochastic growth model
    Journal of Monetary Economics, 1996, 38, (1), 25-45 Downloads View citations (53)

Chapters

2013

  1. Advances in Consumption-Based Asset Pricing: Empirical Tests
    Elsevier Downloads View citations (7)
    See also Working Paper (2011)
  2. Shocks and Crashes
    A chapter in NBER Macroeconomics Annual 2013, Volume 28, 2013, pp 293-354 Downloads View citations (4)
    See also Working Paper (2011)
    Journal Article in NBER Macroeconomics Annual (2014)

2012

  1. International Capital Flows and House Prices: Theory and Evidence
    A chapter in Housing and the Financial Crisis, 2012, pp 235-299 Downloads View citations (53)
    See also Working Paper (2012)

Software Items

2008

  1. Code and data files for "Euler Equation Errors"
    Computer Codes, Review of Economic Dynamics Downloads
    See also Journal Article in Review of Economic Dynamics (2009)
 
Page updated 2019-10-17