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Sydney C. Ludvigson

Personal Details

First Name:Sydney
Middle Name:C.
Last Name:Ludvigson
Suffix:
RePEc Short-ID:plu153
[This author has chosen not to make the email address public]
http://www.sydneyludvigson.com
Terminal Degree:1996 Department of Economics; Princeton University (from RePEc Genealogy)

Affiliation

Department of Economics
New York University (NYU)

New York City, New York (United States)
http://econ.as.nyu.edu
RePEc:edi:denyuus (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Software Chapters

Working papers

  1. Francesco Bianchi & Sydney C. Ludvigson & Sai Ma, 2024. "What Hundreds of Economic News Events Say About Belief Overreaction in the Stock Market," NBER Working Papers 32301, National Bureau of Economic Research, Inc.
  2. Francesco Bianchi & Sydney C. Ludvigson & Sai Ma, 2022. "Monetary-Based Asset Pricing: A Mixed-Frequency Structural Approach," NBER Working Papers 30072, National Bureau of Economic Research, Inc.
  3. Josue Cox & Daniel L. Greenwald & Sydney C. Ludvigson, 2020. "What Explains the COVID-19 Stock Market?," NBER Working Papers 27784, National Bureau of Economic Research, Inc.
  4. Francesco Bianchi & Sydney C. Ludvigson & Sai Ma, 2020. "Belief Distortions and Macroeconomic Fluctuations," NBER Working Papers 27406, National Bureau of Economic Research, Inc.
  5. Sydney C. Ludvigson & Sai Ma & Serena Ng, 2020. "COVID-19 and The Macroeconomic Effects of Costly Disasters," NBER Working Papers 26987, National Bureau of Economic Research, Inc.
  6. Daniel L. Greenwald & Martin Lettau & Sydney C. Ludvigson, 2019. "How the Wealth Was Won: Factor Shares as Market Fundamentals," NBER Working Papers 25769, National Bureau of Economic Research, Inc.
  7. Josue Cox & Sydney C. Ludvigson, 2018. "Drivers of the Great Housing Boom-Bust: Credit Conditions, Beliefs, or Both?," NBER Working Papers 25285, National Bureau of Economic Research, Inc.
  8. Martin Lettau & Sydney C. Ludvigson & Paulo Manoel, 2018. "Characteristics of Mutual Fund Portfolios: Where Are the Value Funds?," NBER Working Papers 25381, National Bureau of Economic Research, Inc.
  9. Sydney C. Ludvigson & Sai Ma & Serena Ng, 2017. "Shock Restricted Structural Vector-Autoregressions," NBER Working Papers 23225, National Bureau of Economic Research, Inc.
  10. Francesco Bianchi & Martin Lettau & Sydney C. Ludvigson, 2016. "Monetary Policy and Asset Valuation," NBER Working Papers 22572, National Bureau of Economic Research, Inc.
  11. Sydney C. Ludvigson & Sai Ma & Serena Ng, 2015. "Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?," NBER Working Papers 21803, National Bureau of Economic Research, Inc.
  12. Lettau, Martin & Ludvigson, Sydney & Greenwald, Dan, 2015. "Origins of Stock Market Fluctuations," CEPR Discussion Papers 10336, C.E.P.R. Discussion Papers.
  13. Lettau, Martin & Ludvigson, Sydney & Ma, Sai, 2015. "Capital Share Risk and Shareholder Heterogeneity in U.S. Stock Pricing," CEPR Discussion Papers 10335, C.E.P.R. Discussion Papers.
  14. Martin Lettau & Sydney C. Ludvigson & Sai Ma, 2014. "Capital Share Risk in U.S. Asset Pricing," NBER Working Papers 20744, National Bureau of Economic Research, Inc.
  15. Jack Favilukis & Sydney C. Ludvigson & Stijn Van Nieuwerburgh, 2014. "Foreign Ownership of U.S. Safe Assets: Good or Bad?," NBER Working Papers 19917, National Bureau of Economic Research, Inc.
  16. Kyle Jurado & Sydney C. Ludvigson & Serena Ng, 2013. "Measuring Uncertainty," NBER Working Papers 19456, National Bureau of Economic Research, Inc.
  17. Jack Favilukis & David Kohn & Sydney C. Ludvigson & Stijn Van Nieuwerburgh, 2012. "International Capital Flows and House Prices: Theory and Evidence," NBER Working Papers 17751, National Bureau of Economic Research, Inc.
  18. Xiaohong Chen & Jack Fuvilukis & Sydney Ludvigson, 2012. "An Estimation of Economic Models with Recursive Preferences," Cowles Foundation Discussion Papers 1883, Cowles Foundation for Research in Economics, Yale University.
  19. Martin Lettau & Sydney C. Ludvigson, 2011. "Shocks and Crashes," NBER Working Papers 16996, National Bureau of Economic Research, Inc.
  20. Sydney C. Ludvigson, 2011. "Advances in Consumption-Based Asset Pricing: Empirical Tests," NBER Working Papers 16810, National Bureau of Economic Research, Inc.
  21. Jack Favilukis & Sydney C. Ludvigson & Stijn Van Nieuwerburgh, 2010. "The Macroeconomic Effects of Housing Wealth, Housing Finance, and Limited Risk-Sharing in General Equilibrium," NBER Working Papers 15988, National Bureau of Economic Research, Inc.
  22. Sydney C. Ludvigson & Serena Ng, 2009. "A Factor Analysis of Bond Risk Premia," NBER Working Papers 15188, National Bureau of Economic Research, Inc.
  23. Mariano M. Croce & Martin Lettau & Sydney C. Ludvigson, 2007. "Investor Information, Long-Run Risk, and the Term Structure of Equity," NBER Working Papers 12912, National Bureau of Economic Research, Inc.
  24. Sydney C. Ludvigson & Xiaohong Chen & Jack Favilukis, 2007. "An Estimation of Economic Models with Recursive," FMG Discussion Papers dp603, Financial Markets Group.
  25. Lettau, Martin & Ludvigson, Sydney & Wachter, Jessica, 2006. "The Declining Equity Premium: What Role Does Macroeconomic Risk Play?," CEPR Discussion Papers 5519, C.E.P.R. Discussion Papers.
  26. Mariano M. Croce & Martin Lettau & Sydney Ludvigson, 2006. "Investor Information, Long-Run Risk, and the Duration fo Risky Assets," 2006 Meeting Papers 628, Society for Economic Dynamics.
  27. Lettau, Martin & Ludvigson, Sydney, 2005. "Euler Equation Errors," CEPR Discussion Papers 4922, C.E.P.R. Discussion Papers.
  28. Sydney C. Ludvigson & Serena Ng, 2005. "The Empirical Risk-Return Relation: A Factor Analysis Approach," NBER Working Papers 11477, National Bureau of Economic Research, Inc.
  29. Sydney Ludvigson & Xiaohong Chen, 2004. "Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Models," 2004 Meeting Papers 692, Society for Economic Dynamics.
  30. Xiaohong Chen & Sydney C. Ludvigson, 2004. "Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Behavior," NBER Working Papers 10503, National Bureau of Economic Research, Inc.
  31. Sydney C. Ludvigson & Xiaohong Chen, 2004. "An Empirical Investigation of Habit-Based Asset Pricing Models," Econometric Society 2004 North American Winter Meetings 332, Econometric Society.
  32. Martin Lettau & Sydney Ludvigson, 2003. "Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption," NBER Working Papers 9848, National Bureau of Economic Research, Inc.
  33. Lettau, Martin & Ludvigson, Sydney, 2002. "Expected Returns and Expected Dividend Growth," CEPR Discussion Papers 3507, C.E.P.R. Discussion Papers.
  34. Lettau, Martin & Ludvigson, Sydney, 2001. "Understanding Trend and Cycle in Asset Values: Bulls, Bears and the Wealth Effect on Consumption," CEPR Discussion Papers 3104, C.E.P.R. Discussion Papers.
  35. Lettau, Martin & Ludvigson, Sydney, 2001. "Measuring and Modelling Variation in the Risk-Return Trade-off," CEPR Discussion Papers 3105, C.E.P.R. Discussion Papers.
  36. Lettau, Martin & Ludvigson, Sydney, 2001. "Time-Varying Risk Premia and the Cost of Capital: An Alternative Implication of the Q Theory of Investment," CEPR Discussion Papers 3103, C.E.P.R. Discussion Papers.
  37. Nathan Barczi & Martin Lettau & Sydney C. Ludvigson, 2001. "A primer on the economics and time series econometrics of wealth effects: a comment," Staff Reports 131, Federal Reserve Bank of New York.
  38. Lettau, Martin & Ludvigson, Sydney, 1999. "Consumption, Aggregate Wealth and Expected Stock Returns," CEPR Discussion Papers 2223, C.E.P.R. Discussion Papers.
  39. Martin Lettau & Sydney C. Ludvigson, 1999. "Resurrecting the (C)CAPM: a cross-sectional test when risk premia are time-varying," Staff Reports 93, Federal Reserve Bank of New York.
  40. Sydney C. Ludvigson & Charles Steindel, 1998. "How important is the stock market effect on consumption?," Research Paper 9821, Federal Reserve Bank of New York.
  41. Jason Bram & Sydney C. Ludvigson, 1997. "Does consumer confidence forecast household expenditure?: A sentiment index horse race," Research Paper 9708, Federal Reserve Bank of New York.
  42. Sydney C. Ludvigson & Christina H. Paxson, 1997. "Approximation bias in linearized Euler equations," Research Paper 9712, Federal Reserve Bank of New York.
  43. John Y. Campbell & Sydney C. Ludvigson, 1997. "Elasticities of substitution in real business cycle models with home production," Research Paper 9733, Federal Reserve Bank of New York.
  44. Sydney C. Ludvigson, 1996. "The channel of monetary transmission to demand: evidence from the market for automobile credit," Research Paper 9625, Federal Reserve Bank of New York.
  45. Sydney C. Ludvigson, 1996. "Consumption and credit: a model of time-varying liquidity constraints," Research Paper 9624, Federal Reserve Bank of New York.
  46. Sydney C. Ludvigson, 1996. "Consumer sentiment and household expenditure: reevaluating the forecasting equations," Research Paper 9636, Federal Reserve Bank of New York.

Articles

  1. Kyle Jurado & Sydney C. Ludvigson & Serena Ng, 2015. "Measuring Uncertainty," American Economic Review, American Economic Association, vol. 105(3), pages 1177-1216, March.
  2. Mariano M. Croce & Martin Lettau & Sydney C. Ludvigson, 2015. "Investor Information, Long-Run Risk, and the Term Structure of Equity," The Review of Financial Studies, Society for Financial Studies, vol. 28(3), pages 706-742.
  3. Martin Lettau & Sydney C. Ludvigson, 2014. "Shocks and Crashes," NBER Macroeconomics Annual, University of Chicago Press, vol. 28(1), pages 293-354.
  4. Xiaohong Chen & Jack Favilukis & Sydney C. Ludvigson, 2013. "An estimation of economic models with recursive preferences," Quantitative Economics, Econometric Society, vol. 4(1), pages 39-83, March.
  5. Xiaohong Chen & Sydney C. Ludvigson, 2009. "Land of addicts? an empirical investigation of habit-based asset pricing models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(7), pages 1057-1093.
  6. Martin Lettau & Sydney Ludvigson, 2009. "Euler Equation Errors," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 12(2), pages 255-283, April.
  7. Sydney C. Ludvigson & Serena Ng, 2009. "Macro Factors in Bond Risk Premia," The Review of Financial Studies, Society for Financial Studies, vol. 22(12), pages 5027-5067, December.
  8. Sydney Ludvigson, 2008. "The Research Agenda: Sydney Ludvigson on Empirical Evaluation of Economic Theories of Risk Premia," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 9(2), April.
  9. Sydney C. Ludvigson, 2007. "Housing, credit and consumer expenditure: commentary," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 335-350.
  10. Ludvigson, Sydney C. & Ng, Serena, 2007. "The empirical risk-return relation: A factor analysis approach," Journal of Financial Economics, Elsevier, vol. 83(1), pages 171-222, January.
  11. Lettau, Martin & Ludvigson, Sydney C., 2005. "tay's as good as cay: Reply," Finance Research Letters, Elsevier, vol. 2(1), pages 15-22, March.
  12. Martin Lettau & Sydney C. Ludvigson & Jessica A. Wachter, 2005. "The declining equity premium: what role does macroeconomic risk play?," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
  13. Lettau, Martin & Ludvigson, Sydney C., 2005. "Expected returns and expected dividend growth," Journal of Financial Economics, Elsevier, vol. 76(3), pages 583-626, June.
  14. Sydney C. Ludvigson, 2004. "Consumer Confidence and Consumer Spending," Journal of Economic Perspectives, American Economic Association, vol. 18(2), pages 29-50, Spring.
  15. Martin Lettau & Sydney C. Ludvigson, 2004. "Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption," American Economic Review, American Economic Association, vol. 94(1), pages 276-299, March.
  16. Lettau, Martin & Ludvigson, Sydney, 2002. "Time-varying risk premia and the cost of capital: An alternative implication of the Q theory of investment," Journal of Monetary Economics, Elsevier, vol. 49(1), pages 31-66, January.
  17. Martin Lettau & Sydney C. Ludvigson & Charles Steindel, 2002. "Monetary policy transmission through the consumption-wealth channel," Economic Policy Review, Federal Reserve Bank of New York, vol. 8(May), pages 117-133.
  18. Martin Lettau & Sydney Ludvigson, 2001. "Resurrecting the (C)CAPM: A Cross-Sectional Test When Risk Premia Are Time-Varying," Journal of Political Economy, University of Chicago Press, vol. 109(6), pages 1238-1287, December.
  19. Sydney C. Ludvigson & Alexander Michaelides, 2001. "Does Buffer-Stock Saving Explain the Smoothness and Excess Sensitivity of Consumption?," American Economic Review, American Economic Association, vol. 91(3), pages 631-647, June.
  20. Sydney Ludvigson & Christina H. Paxson, 2001. "Approximation Bias In Linearized Euler Equations," The Review of Economics and Statistics, MIT Press, vol. 83(2), pages 242-256, May.
  21. Campbell, John Y & Ludvigson, Sydney, 2001. "Elasticities of Substitution in Real Business Cycle Models with Home Protection," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 33(4), pages 847-875, November.
  22. Sydney Ludvigson, 1999. "Consumption And Credit: A Model Of Time-Varying Liquidity Constraints," The Review of Economics and Statistics, MIT Press, vol. 81(3), pages 434-447, August.
  23. Sydney C. Ludvigson & Charles Steindel, 1999. "How important is the stock market effect on consumption?," Economic Policy Review, Federal Reserve Bank of New York, vol. 5(Jul), pages 29-51.
  24. Ludvigson, Sydney, 1998. "The Channel of Monetary Transmission to Demand: Evidence from the Market for Automobile Credit," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 30(3), pages 365-383, August.
  25. Jason Bram & Sydney C. Ludvigson, 1998. "Does consumer confidence forecast household expenditure? a sentiment index horse race," Economic Policy Review, Federal Reserve Bank of New York, vol. 4(Jun), pages 59-78.
  26. Ludvigson, Sydney, 1996. "The macroeconomic effects of government debt in a stochastic growth model," Journal of Monetary Economics, Elsevier, vol. 38(1), pages 25-45, August.

Software components

  1. Martin Lettau & Sydney Ludvigson, 2008. "Code and data files for "Euler Equation Errors"," Computer Codes 08-106, Review of Economic Dynamics.

Chapters

  1. Ludvigson, Sydney C., 2013. "Advances in Consumption-Based Asset Pricing: Empirical Tests," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 799-906, Elsevier.
  2. Martin Lettau & Sydney C. Ludvigson, 2013. "Shocks and Crashes," NBER Chapters, in: NBER Macroeconomics Annual 2013, Volume 28, pages 293-354, National Bureau of Economic Research, Inc.
  3. Jack Favilukis & David Kohn & Sydney C. Ludvigson & Stijn Van Nieuwerburgh, 2012. "International Capital Flows and House Prices: Theory and Evidence," NBER Chapters, in: Housing and the Financial Crisis, pages 235-299, National Bureau of Economic Research, Inc.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Rankings

This author is among the top 5% authors according to these criteria:
  1. Average Rank Score
  2. Number of Distinct Works, Weighted by Simple Impact Factor
  3. Number of Distinct Works, Weighted by Recursive Impact Factor
  4. Number of Distinct Works, Weighted by Number of Authors and Simple Impact Factors
  5. Number of Distinct Works, Weighted by Number of Authors and Recursive Impact Factors
  6. Number of Citations
  7. Number of Citations, Discounted by Citation Age
  8. Number of Citations, Weighted by Simple Impact Factor
  9. Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
  10. Number of Citations, Weighted by Recursive Impact Factor
  11. Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
  12. Number of Citations, Weighted by Number of Authors
  13. Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
  14. Number of Citations, Weighted by Number of Authors and Simple Impact Factors
  15. Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
  16. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
  17. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
  18. h-index
  19. Number of Registered Citing Authors
  20. Number of Registered Citing Authors, Weighted by Rank (Max. 1 per Author)
  21. Number of Journal Pages, Weighted by Simple Impact Factor
  22. Number of Journal Pages, Weighted by Recursive Impact Factor
  23. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
  24. Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors
  25. Number of Abstract Views in RePEc Services over the past 12 months
  26. Number of Downloads through RePEc Services over the past 12 months
  27. Number of Abstract Views in RePEc Services over the past 12 months, Weighted by Number of Authors
  28. Number of Downloads through RePEc Services over the past 12 months, Weighted by Number of Authors
  29. Euclidian citation score
  30. Breadth of citations across fields
  31. Wu-Index
  32. Record of graduates

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 41 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-MAC: Macroeconomics (17) 2003-07-21 2004-02-01 2004-08-02 2006-04-08 2007-02-24 2011-05-07 2011-06-25 2013-09-24 2014-12-24 2015-02-05 2015-02-11 2015-12-28 2016-09-04 2017-04-09 2020-04-27 2020-07-20 2022-06-27. Author is listed
  2. NEP-FIN: Finance (9) 1999-08-04 2003-04-09 2004-02-01 2004-06-07 2005-06-14 2005-07-18 2005-09-29 2005-09-29 2006-04-08. Author is listed
  3. NEP-FMK: Financial Markets (9) 1998-10-15 2005-07-18 2006-04-08 2009-07-28 2014-01-24 2015-02-10 2015-02-11 2015-02-11 2024-05-06. Author is listed
  4. NEP-DGE: Dynamic General Equilibrium (8) 1998-11-20 2000-11-29 2004-02-01 2004-08-02 2005-06-14 2005-09-29 2011-06-25 2012-11-24. Author is listed
  5. NEP-UPT: Utility Models and Prospect Theory (6) 2011-06-25 2012-11-24 2013-01-07 2015-02-05 2020-07-20 2020-09-28. Author is listed
  6. NEP-CFN: Corporate Finance (5) 2003-03-14 2003-04-09 2005-07-18 2007-02-24 2014-01-24. Author is listed
  7. NEP-BEC: Business Economics (3) 2006-04-08 2011-05-07 2012-01-25
  8. NEP-CBA: Central Banking (3) 2012-01-25 2016-09-04 2022-06-27
  9. NEP-ECM: Econometrics (3) 2000-03-06 2009-07-28 2017-04-09
  10. NEP-FDG: Financial Development and Growth (3) 2019-04-29 2022-06-27 2024-05-06
  11. NEP-HIS: Business, Economic and Financial History (3) 2014-01-24 2015-02-11 2019-04-29
  12. NEP-BIG: Big Data (2) 2020-07-20 2024-05-06
  13. NEP-FOR: Forecasting (2) 2005-07-18 2007-01-13
  14. NEP-MON: Monetary Economics (2) 2016-09-04 2022-06-27
  15. NEP-ORE: Operations Research (2) 2016-09-04 2020-09-28
  16. NEP-RMG: Risk Management (2) 2004-02-01 2007-01-13
  17. NEP-URE: Urban and Real Estate Economics (2) 2012-01-25 2018-12-10
  18. NEP-BAN: Banking (1) 2022-06-27
  19. NEP-ETS: Econometric Time Series (1) 2017-04-09
  20. NEP-IFN: International Finance (1) 2014-03-01
  21. NEP-MST: Market Microstructure (1) 2024-05-06

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