Author Page for Sydney C. Ludvigson

University of British Columbia (UBC) - Division of Finance, New York University - Department of Economics and Columbia University Graduate School of Business

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Citation 102

Abstract:

The Macroeconomic Effects of Housing Wealth, Housing Finance, and Limited Risk-Sharing in General Equilibrium

NBER Working Paper No. w15988

Number of pages: 96 Posted: 17 May 2010 Last Revised: 10 Mar 2021

Jack Y Favilukis, Sydney C. Ludvigson and Stijn Van Nieuwerburgh

University of British Columbia (UBC) - Division of Finance, New York University - Department of Economics and Columbia University Graduate School of Business

Downloads 65 (411,330)

Citation 6

Abstract:

The Macroeconomic Effects of Housing Wealth, Housing Finance, and Limited Risk-Sharing in General Equilibrium

NYU Working Paper No. 2451/31429

Number of pages: 72 Posted: 13 Jan 2012

Stijn Van Nieuwerburgh, Jack Y Favilukis, Sydney C. Ludvigson and Stijn Van Nieuwerburgh

Columbia University Graduate School of Business, University of British Columbia (UBC) - Division of Finance, New York University - Department of Economics and affiliation not provided to SSRN

Downloads 58 (436,098)

Citation 1

Abstract:

The Macroeconomic Effects of Housing Wealth, Housing Finance, and Limited Risk-Sharing in General Equilibrium

NYU Working Paper No. 2451/31429

Number of pages: 72 Posted: 16 Nov 2010

Jack Y Favilukis, Sydney C. Ludvigson and Stijn Van Nieuwerburgh

University of British Columbia (UBC) - Division of Finance, New York University - Department of Economics and Columbia University Graduate School of Business

Downloads 40 (512,616)

Abstract:

The Macroeconomic Effects of Housing Wealth, Housing Finance, and Limited Risk-Sharing in General Equilibrium

NYU Working Paper No. 2451/31429

Number of pages: 72 Posted: 22 Nov 2010

Jack Y Favilukis, Sydney C. Ludvigson and Stijn Van Nieuwerburgh

University of British Columbia (UBC) - Division of Finance, New York University - Department of Economics and Columbia University Graduate School of Business

Downloads 31 (560,766)

Abstract:

3.

Resurrecting the (C)Capm: A Cross-Sectional Test When Risk Premia Wre Time-Varying

Eleventh Annual Utah Winter Conference; AFA 2001 New Orleans; FRB of New York Staff Reports, No. 93

Number of pages: 59 Posted: 31 Jan 2000

Martin Lettau and Sydney C. Ludvigson

University of California - Haas School of Business and New York University - Department of Economics

Downloads 1,166 (21,520)

Citation 6

Abstract:

4.

The Declining Equity Premium: What Role Does Macroeconomic Risk Play?

Downloads 888 ( 31,916)

Citation 132

5

The Declining Equity Premium: What Role Does Macroeconomic Risk Play?

AFA 2005 Philadelphia Meetings; 14th Annual Utah Winter Finance Conference Paper

Number of pages: 59 Posted: 12 Aug 2004

Martin Lettau, Jessica A. Wachter and Sydney C. Ludvigson

University of California - Haas School of Business, University of Pennsylvania - Finance Department and New York University - Department of Economics

Downloads 718 (42,079)

Citation 4

Abstract:

The Declining Equity Premium: What Role Does Macroeconomic Risk Play?

NBER Working Paper No. w10270

Number of pages: 62 Posted: 25 May 2006 Last Revised: 26 Jul 2010

Martin Lettau, Jessica A. Wachter and Sydney C. Ludvigson

University of California - Haas School of Business, University of Pennsylvania - Finance Department and New York University - Department of Economics

Downloads 87 (347,600)

Citation 10

Abstract:

The Declining Equity Premium: What Role Does Macroeconomic Risk Play?

NYU Working Paper No. S-MF-04-08

Number of pages: 46 Posted: 12 Nov 2008

Martin Lettau, Sydney C. Ludvigson and Jessica A. Wachter

University of California - Haas School of Business, New York University - Department of Economics and University of Pennsylvania - Finance Department

Downloads 58 (436,098)

Abstract:

The Declining Equity Premium: What Role Does Macroeconomic Risk Play?

CEPR Discussion Paper No. 5519

Number of pages: 49 Posted: 09 Jun 2006

Martin Lettau, Jessica A. Wachter and Sydney C. Ludvigson

University of California - Haas School of Business, University of Pennsylvania - Finance Department and New York University - Department of Economics

Downloads 25 (599,672)

Citation 17

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Abstract:

The Declining Equity Premium: What Role Does Macroeconomic Risk Play?

The Review of Financial Studies, Vol. 21, Issue 4, pp. 1653-1687, 2008

Posted: 08 Aug 2008

Martin Lettau, Sydney C. Ludvigson and Jessica A. Wachter

University of California - Haas School of Business, New York University - Department of Economics and University of Pennsylvania - Finance Department

Abstract:

5.

Expected Returns and Expected Dividend Growth

Downloads 856 ( 33,556)

Citation 140

7

Expected Returns and Expected Dividend Growth

AFA 2003 Washington, DC Meetings; New York University Economics Department Working Paper No. FIN-02-024

Number of pages: 64 Posted: 15 Aug 2002

Martin Lettau and Sydney C. Ludvigson

University of California - Haas School of Business and New York University - Department of Economics

Downloads 566 (57,548)

Citation 2

Abstract:

Expected Returns and Expected Dividend Growth

NYU Working Paper No. S-MF-04-06

Number of pages: 49 Posted: 12 Nov 2008

Martin Lettau and Sydney C. Ludvigson

University of California - Haas School of Business and New York University - Department of Economics

Downloads 119 (280,991)

Citation 1

Abstract:

Expected Returns and Expected Dividend Growth

NYU Working Paper No. FIN-02-024

Number of pages: 64 Posted: 03 Nov 2008

Martin Lettau and Sydney C. Ludvigson

University of California - Haas School of Business and New York University - Department of Economics

Downloads 49 (471,586)

Citation 1

Abstract:

Expected Returns and Expected Dividend Growth

NBER Working Paper No. w9605

Number of pages: 48 Posted: 05 Apr 2003 Last Revised: 04 Apr 2015

Martin Lettau and Sydney C. Ludvigson

University of California - Haas School of Business and New York University - Department of Economics

Downloads 46 (484,538)

Citation 16

Abstract:

Expected Returns and Expected Dividend Growth

NYU Working Paper No. SC-AM-02-04

Number of pages: 64 Posted: 13 Nov 2008

Martin Lettau and Sydney C. Ludvigson

University of California - Haas School of Business and New York University - Department of Economics

Downloads 35 (538,250)

Abstract:

Expected Returns and Expected Dividend Growth

NYU Working Paper No. S-MF-02-08

Number of pages: 64 Posted: 12 Nov 2008

Martin Lettau and Sydney C. Ludvigson

University of California - Haas School of Business and New York University - Department of Economics

Downloads 23 (613,884)

Abstract:

Expected Returns and Expected Dividend Growth

Number of pages: 62 Posted: 27 Sep 2002

Martin Lettau and Sydney C. Ludvigson

University of California - Haas School of Business and New York University - Department of Economics

Downloads 18 (650,914)

Citation 14

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Abstract:

6.

Consumption, Aggregate Wealth and Expected Stock Returns

Downloads 693 ( 44,789)

2

Consumption, Aggregate Wealth and Expected Stock Returns

FRB of New York Staff Report No. 77

Number of pages: 57 Posted: 11 Aug 1999

Martin Lettau and Sydney C. Ludvigson

University of California - Haas School of Business and New York University - Department of Economics

Downloads 693 (44,161)

Citation 26

Abstract:

Consumption, Aggregate Wealth and Expected Stock Returns

Journal of Finance

Posted: 01 Feb 2001

Martin Lettau and Sydney C. Ludvigson

University of California - Haas School of Business and New York University - Department of Economics

Abstract:

7.

The Empirical Risk-Return Relation: A Factor Analysis Approach

Downloads 627 ( 51,090)

Citation 165

2

The Empirical Risk-Return Relation: A Factor Analysis Approach

Number of pages: 58 Posted: 14 Jul 2005

Serena Ng and Sydney C. Ludvigson

Columbia Business School - Economics Department and New York University - Department of Economics

Downloads 553 (59,317)

Abstract:

The Empirical Risk-Return Relation: A Factor Analysis Approach

NBER Working Paper No. w11477

Number of pages: 58 Posted: 09 Aug 2005 Last Revised: 13 May 2021

Serena Ng and Sydney C. Ludvigson

Columbia Business School - Economics Department and New York University - Department of Economics

Downloads 74 (382,985)

Citation 30

Abstract:

8.

Forecasting Stock Returns: New Out-of-Sample Evidence

Number of pages: 26 Posted: 26 Apr 2000

Martin Lettau and Sydney C. Ludvigson

University of California - Haas School of Business and New York University - Department of Economics

Downloads 444 (78,455)

Abstract:

9.

How Important is the Stock Market Effect on Consumption?

Economic Policy Review, Vol. 5, No. 2, July 1999

Number of pages: 23 Posted: 01 Aug 2007

Charles Steindel and Sydney C. Ludvigson

Federal Reserve Bank of New York and New York University - Department of Economics

Downloads 357 (101,034)

Citation 3

Abstract:

10.

Euler Equation Errors

AFA 2007 Chicago Meetings Paper

Number of pages: 56 Posted: 05 Feb 2005

Martin Lettau and Sydney C. Ludvigson

University of California - Haas School of Business and New York University - Department of Economics

Downloads 202 (180,547)

Abstract:

Euler Equation Errors

NYU Working Paper No. FIN-06-012

Number of pages: 53 Posted: 03 Nov 2008

Martin Lettau and Sydney C. Ludvigson

University of California - Haas School of Business and New York University - Department of Economics

Downloads 51 (463,236)

Abstract:

Euler Equation Errors

NYU Working Paper No. FIN-05-026

Number of pages: 61 Posted: 03 Nov 2008

Martin Lettau and Sydney C. Ludvigson

University of California - Haas School of Business and New York University - Department of Economics

Downloads 30 (566,743)

Abstract:

Euler Equation Errors

NBER Working Paper No. w11606

Number of pages: 62 Posted: 14 Sep 2006 Last Revised: 20 Mar 2021

Martin Lettau and Sydney C. Ludvigson

University of California - Haas School of Business and New York University - Department of Economics

Downloads 29 (572,936)

Citation 4

Abstract:

Euler Equation Errors

CEPR Discussion Paper No. 5245

Number of pages: 63 Posted: 21 Jun 2005

Martin Lettau and Sydney C. Ludvigson

University of California - Haas School of Business and New York University - Department of Economics

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Abstract:

11.

Investor Information, Long-Run Risk, and the Duration of Risky Cash Flows

Downloads 312 (117,241)

Citation 48

3

Investor Information, Long-Run Risk, and the Duration of Risky Cash Flows

AFA 2008 New Orleans Meetings, AFA 2009 San Francisco Meetings Paper

Number of pages: 59 Posted: 26 Feb 2007

Mariano (Max) Massimiliano Croce, Martin Lettau and Sydney C. Ludvigson

Finance Department, Bocconi University, University of California - Haas School of Business and New York University - Department of Economics

Downloads 164 (217,280)

Abstract:

Investor Information, Long-Run Risk, and the Duration of Risky Cash Flows

Review of Financial Studies, 2015, NYU Working Paper No. FIN-06-011

Number of pages: 58 Posted: 03 Nov 2008 Last Revised: 10 Mar 2017

Mariano (Max) Massimiliano Croce, Martin Lettau and Sydney C. Ludvigson

Finance Department, Bocconi University, University of California - Haas School of Business and New York University - Department of Economics

Downloads 85 (352,579)

Citation 4

Abstract:

Investor Information, Long-Run Risk, and the Term Structure of Equity

NBER Working Paper No. w12912

Number of pages: 57 Posted: 17 Feb 2007 Last Revised: 14 Apr 2021

Mariano (Max) Massimiliano Croce, Martin Lettau and Sydney C. Ludvigson

Finance Department, Bocconi University, University of California - Haas School of Business and New York University - Department of Economics

Downloads 63 (418,252)

Citation 17

Abstract:

12.

Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Models

Downloads 296 (124,002)

Citation 46

2

Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Models

Number of pages: 70 Posted: 20 Nov 2003

Xiaohong Chen and Sydney C. Ludvigson

Yale University - Cowles Foundation and New York University - Department of Economics

Downloads 233 (157,465)

Citation 21

Abstract:

Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Models

NYU Working Paper No. S-MF-04-09

Number of pages: 59 Posted: 12 Nov 2008

Xiaohong Chen and Sydney C. Ludvigson

Yale University - Cowles Foundation and New York University - Department of Economics

Downloads 63 (418,252)

Citation 1

Abstract:

13.

Monetary Policy Transmission Through the Consumption-Wealth Channel

Economic Policy Review, Vol. 8, No. 1, May 2002

Number of pages: 17 Posted: 26 Oct 2005

Charles Steindel, Martin Lettau and Sydney C. Ludvigson

Federal Reserve Bank of New York, University of California - Haas School of Business and New York University - Department of Economics

Downloads 258 (142,974)

Citation 6

Abstract:

14.

Characteristics of Mutual Fund Portfolios: Where Are the Value Funds?

Downloads 246 (149,929)

3

Characteristics of Mutual Fund Portfolios: Where Are the Value Funds?

Number of pages: 49 Posted: 04 Jan 2019

Martin Lettau, Sydney C. Ludvigson and Paulo Manoel

University of California - Haas School of Business, New York University - Department of Economics and University of Kentucky - Department of Finance & Quantitative Methods

Downloads 171 (209,705)

Abstract:

Characteristics of Mutual Fund Portfolios: Where are the Value Funds?

NBER Working Paper No. w25381

Number of pages: 63 Posted: 26 Dec 2018 Last Revised: 09 May 2021

Martin Lettau, Sydney C. Ludvigson and Paulo Manoel

University of California - Haas School of Business, New York University - Department of Economics and University of Kentucky - Department of Finance & Quantitative Methods

Downloads 73 (385,913)

Abstract:

Characteristics of Mutual Fund Portfolios: Where are the Value Funds?

CEPR Discussion Paper No. DP13395

Number of pages: 65 Posted: 17 Dec 2018 Last Revised: 15 Mar 2021

Martin Lettau, Sydney C. Ludvigson and Paulo Manoel

University of California - Haas School of Business, New York University - Department of Economics and University of Kentucky - Department of Finance & Quantitative Methods

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Abstract:

15.

An Estimation of Economic Models with Recursive Preferences

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Citation 26

4

An Estimation of Economic Models with Recursive Preferences

Number of pages: 56 Posted: 14 Mar 2008

Xiaohong Chen, Jack Y Favilukis and Sydney C. Ludvigson

Yale University - Cowles Foundation, University of British Columbia (UBC) - Division of Finance and New York University - Department of Economics

Downloads 119 (280,991)

Citation 3

Abstract:

An Estimation of Economic Models with Recursive Preferences

Cowles Foundation Discussion Paper No. 1883

Number of pages: 59 Posted: 15 Dec 2012

Xiaohong Chen, Jack Y Favilukis and Sydney C. Ludvigson

Yale University - Cowles Foundation, University of British Columbia (UBC) - Division of Finance and New York University - Department of Economics

Downloads 47 (480,233)

Citation 22

Abstract:

An Estimation of Economic Models with Recursive Preferences

Number of pages: 61 Posted: 10 Jun 2011

Xiaohong Chen, Jack Y Favilukis and Sydney C. Ludvigson

Yale University - Cowles Foundation, University of British Columbia (UBC) - Division of Finance and New York University - Department of Economics

Downloads 36 (532,752)

Abstract:

An Estimation of Economic Models with Recursive Preferences

NBER Working Paper No. w17130

Number of pages: 61 Posted: 20 Jun 2011 Last Revised: 23 Apr 2021

Xiaohong Chen, Jack Y Favilukis and Sydney C. Ludvigson

Yale University - Cowles Foundation, University of British Columbia (UBC) - Division of Finance and New York University - Department of Economics

Downloads 18 (650,914)

Abstract:

16.

Resurrecting the (C)Capm: A Cross-Sectional Test When Risk Premia are Time-Varying

Downloads 172 (208,435)

Citation 113

2

Resurrecting the (C)Capm: A Cross-Sectional Test When Risk Premia are Time-Varying

FRB of New York Staff Report No. 93

Number of pages: 59 Posted: 07 Oct 2006

Martin Lettau and Sydney C. Ludvigson

University of California - Haas School of Business and New York University - Department of Economics

Downloads 172 (208,573)

Citation 113

Abstract:

Resurrecting the (C)Capm: A Cross-Sectional Test When Risk Premia are Time-Varying

Journal of Political Economy, Vol. 109, December 2001

Posted: 19 Nov 2001

Martin Lettau and Sydney C. Ludvigson

University of California - Haas School of Business and New York University - Department of Economics

Abstract:

17.

Can Buffer Stock Saving Explain the Smoothness and Excess Sensitivity of Consumption?

Downloads 159 (222,893)

2

Can Buffer Stock Saving Explain the Smoothness and Excess Sensitivity of Consumption?

Number of pages: 32 Posted: 15 Feb 2000

Alexander Michaelides and Sydney C. Ludvigson

Imperial College Business School and New York University - Department of Economics

Downloads 159 (223,236)

Citation 12

Abstract:

Can Buffer Stock Saving Explain the Smoothness and Excess Sensitivity of Consumption?

American Economic Review

Posted: 15 Feb 2000

Alexander Michaelides and Sydney C. Ludvigson

Imperial College Business School and New York University - Department of Economics

Abstract:

18.

Foreign Ownership of U.S. Safe Assets: Good or Bad?

Downloads 152 (231,275)

2

Foreign Ownership of U.S. Safe Assets: Good or Bad?

NYU Working Paper No. 2451/31435

Number of pages: 70 Posted: 13 Jan 2012 Last Revised: 10 Feb 2014

Jack Y Favilukis, Sydney C. Ludvigson and Stijn Van Nieuwerburgh

University of British Columbia (UBC) - Division of Finance, New York University - Department of Economics and Columbia University Graduate School of Business

Downloads 143 (243,854)

Abstract:

Foreign Ownership of U.S. Safe Assets: Good or Bad?

NBER Working Paper No. w19917

Number of pages: 62 Posted: 24 Feb 2014

Jack Y Favilukis, Sydney C. Ludvigson and Stijn Van Nieuwerburgh

University of British Columbia (UBC) - Division of Finance, New York University - Department of Economics and Columbia University Graduate School of Business

Downloads 9 (722,823)

Abstract:

19.

Elasticities of Substitution in Real Business Cycle Models with Home Production

Downloads 144 (241,766)

Citation 6

2

Elasticities of Substitution in Real Business Cycle Models with Home Production

Number of pages: 44 Posted: 04 Feb 1999

John Y. Campbell and Sydney C. Ludvigson

Harvard University - Department of Economics and New York University - Department of Economics

Downloads 121 (277,535)

Citation 7

Abstract:

Elasticities of Substitution in Real Business Cycle Models with Home Production

NBER Working Paper No. w6763

Number of pages: 57 Posted: 26 Aug 2000 Last Revised: 10 Oct 2010

John Y. Campbell and Sydney C. Ludvigson

Harvard University - Department of Economics and New York University - Department of Economics

Downloads 23 (613,884)

Abstract:

20.

Advances in Consumption-Based Asset Pricing: Empirical Tests

Downloads 140 (247,323)

Citation 25

2

Advances in Consumption-Based Asset Pricing: Empirical Tests

THE HANDBOOK OF THE ECONOMICS OF FINANCE, George Constantinides, Vol. 2, Milton Harris, Rene Stulz, eds., Elsevier Science B.V., 2011

Number of pages: 123 Posted: 27 Mar 2011 Last Revised: 14 Apr 2011

Sydney C. Ludvigson

New York University - Department of Economics

Downloads 87 (347,600)

Citation 5

Abstract:

Advances in Consumption-Based Asset Pricing: Empirical Tests

NBER Working Paper No. w16810

Number of pages: 127 Posted: 28 Feb 2011

Sydney C. Ludvigson

New York University - Department of Economics

Downloads 53 (455,316)

Abstract:

21.

Capital Share Risk in U.S. Asset Pricing

Downloads 135 (254,609)

Citation 12

4

Capital Share Risk in U.S. Asset Pricing

Journal of Finance, Forthcoming

Number of pages: 52 Posted: 22 Aug 2018

Martin Lettau, Sydney C. Ludvigson and Sai Ma

University of California - Haas School of Business, New York University - Department of Economics and Board of Governors of the Federal Reserve System

Downloads 106 (305,311)

Citation 9

Abstract:

Capital Share Risk in U.S. Asset Pricing

NBER Working Paper No. w20744

Number of pages: 52 Posted: 15 Dec 2014 Last Revised: 16 Apr 2021

Martin Lettau, Sydney C. Ludvigson and Sai Ma

University of California - Haas School of Business, New York University - Department of Economics and Board of Governors of the Federal Reserve System

Downloads 29 (572,936)

Abstract:

Capital Share Risk and Shareholder Heterogeneity in U.S. Stock Pricing

CEPR Discussion Paper No. DP10335

Number of pages: 80 Posted: 23 Jan 2015

Martin Lettau, Sydney C. Ludvigson and Sai Ma

University of California - Haas School of Business, New York University - Department of Economics and Board of Governors of the Federal Reserve System

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Abstract:

Capital Share Risk in U.S. Asset Pricing

CEPR Discussion Paper No. DP12628

Number of pages: 77 Posted: 22 Jan 2018 Last Revised: 29 Jan 2018

Martin Lettau, Sydney C. Ludvigson and Sai Ma

University of California - Haas School of Business, New York University - Department of Economics and Board of Governors of the Federal Reserve System

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Abstract:

22.

Measuring Uncertainty

NBER Working Paper No. w19456

Number of pages: 49 Posted: 20 Sep 2013

Kyle Jurado, Sydney C. Ludvigson and Serena Ng

Duke University - Department of Economics, New York University - Department of Economics and Columbia Business School - Economics Department

Downloads 132 (259,006)

Citation 180

Abstract:

23.

How the Wealth Was Won: Factors Shares as Market Fundamentals

NBER Working Paper No. w25769

Number of pages: 66 Posted: 22 Apr 2019 Last Revised: 12 Apr 2021

Daniel Greenwald, Martin Lettau and Sydney C. Ludvigson

Massachusetts Institute of Technology (MIT) - Sloan School of Management, University of California - Haas School of Business and New York University - Department of Economics

Downloads 120 (278,037)

Citation 5

Abstract:

24.

What Explains the Covid-19 Stock Market?

NBER Working Paper No. w27784

Number of pages: 36 Posted: 14 Sep 2020 Last Revised: 15 Sep 2020

Josue Cox, Daniel Greenwald and Sydney C. Ludvigson

New York University (NYU) - Department of Economics, Massachusetts Institute of Technology (MIT) - Sloan School of Management and New York University - Department of Economics

Downloads 118 (281,442)

Abstract:

25.

Macro Factors in Bond Risk Premia

Downloads 114 (288,373)

Citation 58

2

Macro Factors in Bond Risk Premia

NBER Working Paper No. w11703

Number of pages: 66 Posted: 14 Sep 2006 Last Revised: 25 Jun 2010

Serena Ng and Sydney C. Ludvigson

Columbia Business School - Economics Department and New York University - Department of Economics

Downloads 114 (289,833)

Citation 58

Abstract:

Macro Factors in Bond Risk Premia

The Review of Financial Studies, Vol. 22, Issue 12, pp. 5027-5067, 2009

Posted: 24 Nov 2009

Sydney C. Ludvigson and Serena Ng

New York University - Department of Economics and Columbia Business School - Economics Department

Abstract:

26.

Shocks and Crashes

Number of pages: 72 Posted: 24 Apr 2011

Martin Lettau and Sydney C. Ludvigson

University of California - Haas School of Business and New York University - Department of Economics

Downloads 67 (404,767)

Citation 8

Abstract:

NBER Working Paper No. w16996

Number of pages: 78 Posted: 02 May 2011 Last Revised: 15 Jun 2020

Martin Lettau and Sydney C. Ludvigson

University of California - Haas School of Business and New York University - Department of Economics

Downloads 40 (512,616)

Abstract:

27.

Origins of Stock Market Fluctuations

NBER Working Paper No. w19818

Number of pages: 64 Posted: 17 Jan 2014 Last Revised: 25 Feb 2021

Daniel Greenwald, Martin Lettau and Sydney C. Ludvigson

Massachusetts Institute of Technology (MIT) - Sloan School of Management, University of California - Haas School of Business and New York University - Department of Economics

Downloads 98 (319,629)

Citation 4

Abstract:

28.

A Primer on the Economics and Time Series Econometrics of Wealth Effects: A Comment

FRB of New York Staff Report No. 131

Number of pages: 33 Posted: 03 Oct 2006

Martin Lettau, Sydney C. Ludvigson and Nathan A Barczi

University of California - Haas School of Business, New York University - Department of Economics and Massachusetts Institute of Technology (MIT)

Downloads 91 (335,035)

Citation 6

Abstract:

29.

Monetary Policy and Asset Valuation

Downloads 82 (356,964)

Citation 2

3

Monetary Policy and Asset Valuation

Journal of Finance, Forthcoming

Number of pages: 79 Posted: 12 Apr 2021

Francesco Bianchi, Martin Lettau and Sydney C. Ludvigson

Duke University, University of California - Haas School of Business and New York University - Department of Economics

Downloads 81 (363,103)

Abstract:

Monetary Policy and Asset Valuation

CEPR Discussion Paper No. DP12671

Number of pages: 85 Posted: 05 Feb 2018

Francesco Bianchi, Martin Lettau and Sydney C. Ludvigson

Duke University, University of California - Haas School of Business and New York University - Department of Economics

Downloads 1 (799,569)

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Abstract:

Monetary Policy and Asset Valuation

CEPR Discussion Paper No. DP12275

Number of pages: 133 Posted: 11 Sep 2017 Last Revised: 14 May 2021

Francesco Bianchi, Martin Lettau and Sydney C. Ludvigson

Duke University, University of California - Haas School of Business and New York University - Department of Economics

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Citation 1

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Abstract:

30.

Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption

NBER Working Paper No. w9848

Number of pages: 44 Posted: 22 Jul 2003 Last Revised: 04 Apr 2015

Martin Lettau and Sydney C. Ludvigson

University of California - Haas School of Business and New York University - Department of Economics

Downloads 64 (409,302)

Citation 17

Abstract:

31.

A Factor Analysis of Bond Risk Premia

NBER Working Paper No. w15188

Number of pages: 60 Posted: 28 Jul 2009 Last Revised: 04 Jul 2010

Sydney C. Ludvigson and Serena Ng

New York University - Department of Economics and Columbia Business School - Economics Department

Downloads 63 (412,757)

Citation 2

Abstract:

32.

Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?

NBER Working Paper No. w21803

Number of pages: 52 Posted: 14 Dec 2015 Last Revised: 28 Jan 2021

Sydney C. Ludvigson, Sai Ma and Serena Ng

New York University - Department of Economics, Board of Governors of the Federal Reserve System and Columbia Business School - Economics Department

Downloads 50 (459,453)

Citation 60

Abstract:

33.

Monetary Policy and Asset Valuation

NBER Working Paper No. w22572

Number of pages: 131 Posted: 31 Aug 2016 Last Revised: 29 Mar 2021

Francesco Bianchi, Martin Lettau and Sydney C. Ludvigson

Duke University, University of California - Haas School of Business and New York University - Department of Economics

Downloads 47 (471,620)

Abstract:

34.

Understanding Trend and Cycle in Asset Values: Bulls, Bears and the Wealth Effect on Consumption

Number of pages: 65 Posted: 07 Jan 2002

Martin Lettau and Sydney C. Ludvigson

University of California - Haas School of Business and New York University - Department of Economics

Downloads 41 (497,488)

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Abstract:

35.

Covid-19 and the Macroeconomic Effects of Costly Disasters

NBER Working Paper No. w26987

Number of pages: 24 Posted: 13 Apr 2020

Sydney C. Ludvigson, Sai Ma and Serena Ng

New York University - Department of Economics, Board of Governors of the Federal Reserve System and Columbia Business School - Economics Department

Downloads 38 (511,245)

Citation 10

Abstract:

36.

Measuring and Modelling Variation in the Risk-Return Trade-Off

Number of pages: 74 Posted: 07 Jan 2002

Martin Lettau and Sydney C. Ludvigson

University of California - Haas School of Business and New York University - Department of Economics

Downloads 36 (520,728)

Citation 9

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Abstract:

37.

Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Behavior

NBER Working Paper No. w10503

Number of pages: 59 Posted: 31 May 2004 Last Revised: 14 Sep 2010

Xiaohong Chen and Sydney C. Ludvigson

Yale University - Cowles Foundation and New York University - Department of Economics

Downloads 32 (541,394)

Abstract:

38.

Time-Varying Risk Premia and the Cost of Capital: An Alternative Implication of the Q Theory of Investment

Number of pages: 63 Posted: 19 Dec 2001

Martin Lettau and Sydney C. Ludvigson

University of California - Haas School of Business and New York University - Department of Economics

Downloads 30 (552,163)

Citation 6

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Abstract:

39.

International Capital Flows and House Prices: Theory and Evidence

NBER Working Paper No. w17751

Number of pages: 64 Posted: 14 Jan 2012

Jack Y Favilukis, David Kohn, Sydney C. Ludvigson and Stijn Van Nieuwerburgh

University of British Columbia (UBC) - Division of Finance, Instituto de Economia, Pontificia Universidad Catolica de Chile, New York University - Department of Economics and Columbia University Graduate School of Business

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Citation 3

Abstract:

40.

Approximation Bias in Linearized Euler Equations

NBER Working Paper No. t0236

Number of pages: 49 Posted: 10 Jul 2000 Last Revised: 24 Feb 2021

Christina H. Paxson and Sydney C. Ludvigson

Princeton University and New York University - Department of Economics

Downloads 26 (575,961)

Citation 1

Abstract:

41.

Shock Restricted Structural Vector-Autoregressions

NBER Working Paper No. w23225

Number of pages: 49 Posted: 19 Mar 2017

Sydney C. Ludvigson, Sai Ma and Serena Ng

New York University - Department of Economics, Board of Governors of the Federal Reserve System and Columbia Business School - Economics Department

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Citation 5

Abstract:

42.

Summary of Floor Discussion

Economic Policy Review, Vol. 3, No. 1, February 1997

Number of pages: 2 Posted: 12 Nov 2007

Jason Bram and Sydney C. Ludvigson

Federal Reserve Bank of New York and New York University - Department of Economics

Downloads 16 (642,923)

Abstract:

43.

Drivers of the Great Housing Boom-Bust: Credit Conditions, Beliefs, or Both?

NBER Working Paper No. w25285

Number of pages: 52 Posted: 26 Nov 2018 Last Revised: 01 Feb 2021

Josue Cox and Sydney C. Ludvigson

New York University (NYU) - Department of Economics and New York University - Department of Economics

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Citation 3

Abstract:

44.

Belief Distortions and Macroeconomic Fluctuations

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2

Belief Distortions and Macroeconomic Fluctuations

NBER Working Paper No. w27406

Number of pages: 81 Posted: 22 Jun 2020 Last Revised: 10 May 2021

Francesco Bianchi, Sydney C. Ludvigson and Sai Ma

Duke University, New York University - Department of Economics and Board of Governors of the Federal Reserve System

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Abstract:

Belief Distortions and Macroeconomic Fluctuations

CEPR Discussion Paper No. DP15003

Number of pages: 82 Posted: 28 Jul 2020 Last Revised: 01 Mar 2021

Francesco Bianchi, Sydney C. Ludvigson and Sai Ma

Duke University, New York University - Department of Economics and Board of Governors of the Federal Reserve System

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Abstract:

45.

How the Wealth Was Won: Factor Shares as Market Fundamentals

CEPR Discussion Paper No. DP14200

Number of pages: 58 Posted: 17 Dec 2019

Daniel Greenwald, Martin Lettau and Sydney C. Ludvigson

Massachusetts Institute of Technology (MIT) - Sloan School of Management, University of California - Haas School of Business and New York University - Department of Economics

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Abstract:

46.

Origins of Stock Market Fluctuations

CEPR Discussion Paper No. DP10336

Number of pages: 65 Posted: 23 Jan 2015

Daniel Greenwald, Martin Lettau and Sydney C. Ludvigson

Massachusetts Institute of Technology (MIT) - Sloan School of Management, University of California - Haas School of Business and New York University - Department of Economics

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Citation 1

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Abstract:

47.

Consumption and Credit: A Model of Time-Varying Liquidity Constraints

Posted: 06 Jun 2000

Sydney C. Ludvigson

New York University - Department of Economics

Abstract:

48.

The Channel of Monetary Transmission to Demand: Evidence from the Market for Automobile Credit

Journal of Money, Credit and Banking, Vol. 30, No. 3, Part 1 (August 1998)

Posted: 11 Apr 1998

Sydney C. Ludvigson

New York University - Department of Economics

Sydney C. Ludvigson

New York University - Department of Economics

Professor

National Bureau of Economic Research (NBER)

48

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Scholarly Papers (48)

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The Declining Equity Premium: What Role Does Macroeconomic Risk Play?

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Expected Returns and Expected Dividend Growth

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Euler Equation Errors

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Characteristics of Mutual Fund Portfolios: Where are the Value Funds?

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Capital Share Risk and Shareholder Heterogeneity in U.S. Stock Pricing

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Capital Share Risk in U.S. Asset Pricing

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