M Lettau… - the Journal of Finance, 2001 - Wiley Online Library
This paper studies the role of fluctuations in the aggregate consumption–wealth ratio for
predicting stock returns. Using US quarterly stock market data, we find that these fluctuations
in the consumption–wealth ratio are strong predictors of both real stock returns and ...
M Lettau… - 2000 - papers.ssrn.com
Abstract: This paper explores the ability of theoretically based asset pricing models such as
the CAPM and the consumption CAPM-referred to jointly as the (C) CAPM-to explain the
cross-section of average stock returns. Unlike many previous empirical tests of the (C) ...
M Lettau… - 2003 - nber.org
Both textbook economics and common sense teach us that the value of household wealth
should be related to consumer spending. At the same time, movements in asset values often
seem disassociated with important movements in consumer spending, as episodes such ...
S Ludvigson… - federal reserve Bank of New York …, 1999 - papers.ssrn.com
Sydney Ludvigson and Charles Steindel he second half of the 1990s has seen substantial
changes in the wealth of American households, primarily owing to movements in the stock
market. From mid-1994 to mid-1997, the aggregate value of household sector equity ...
M Lettau… - Journal of Financial Economics, 2005 - Elsevier
M Lettau, SC Ludvigson… - 2004 - nber.org
... NBER mlettau@stern.nyu.edu Sydney C. Ludvigson Department of Economics New
York University 269 Mercer Street, 7th Floor New York, NY 10003 and NBER
sydney.ludvigson@nyu.edu Jessica A. Wachter Department of ...
SC Ludvigson… - Review of Financial Studies, 2009 - Soc Financial Studies
... E-mail: sydney.ludvigson{at}nyu.edu. Next Section. Abstract. Are there important
cyclical fluctuations in bond market premiums and, if so, with what macroeconomic
aggregates do these premiums vary? We use the methodology ...
J Bram… - Economic Policy Review, 1998 - papers.ssrn.com
Abstract: This article is the first formal investigation of consumer attitudes that compares the
forecasting power of the University of Michigan's Index of Consumer Sentiment and the
Conference Board's Consumer Confidence Index. The authors find that measures ...
SC Ludvigson - The Journal of Economic Perspectives, 2004 - JSTOR
Page 1. Journal of Economic Perspectives?Volume 18, Number 2?Spring
2004?Pages 29-50 Consumer Confidence and Consumer Spending Sydney C.
Ludvigson At least since the work of John Maynard Keynes, economists ...
S Ludvigson - Review of Economics and Statistics, 1999 - MIT Press
This paper studies the optimal consumption behavior of individuals who face borrowing
limitations that vary stochastically with their income. This framework is motivated by new
empirical evidence that I document in US aggregate data: predictable growth in consumer ...
SC Ludvigson… - Journal of Financial Economics, 2007 - Elsevier
M Lettau… - Handbook of Financial Econometrics, 2003 - econ.nyu.edu
Abstract This chapter reviews what is known about the time-series evolution of the risk-return
trade-off for stock market investment and presents some new empirical evidence. We
emphasize several aspects of US stock market data.
X Chen… - Journal of Applied Econometrics, 2009 - Wiley Online Library
... Yale, New York University and NBER. Email: Xiaohong Chen (xiaohong.chen@yale.edu) Sydney
C. Ludvigson (sydney.ludvigson@nyu.edu). *Correspondence: Xiaohong Chen, Department
of Economics, Yale University, Box 208 281, New Haven, CT 06 520, USA. ...
M Lettau… - Journal of Monetary Economics, 2002 - Elsevier
Evidence suggests that expected excess stock market returns vary over time, and that this
variation is much larger than that of expected real interest rates. It follows that a large fraction
of the movement in the cost of capital in standard investment models must be attributable ...
S Ludvigson… - Review of Economics and Statistics, 2001 - MIT Press
A wide range of empirical applications rely on linear approximations to dynamic Euler
equations. Among the most notable of these is the large and growing literature on
precautionary saving that examines how consumption growth and saving behavior are ...
S Ludvigson - Journal of Monetary Economics, 1996 - Elsevier
This paper studies how government liabilities affect macroeconomic aggregates in a
standard general equilibrium growth model. There are two principal results:(i) Though it is
often thought that fiscal deficits crowd out investment, this paper shows that deficit- ...
J Favilukis, SC Ludvigson… - 2010 - nber.org
... Kingdom J.Favilukis@lse.ac.uk Sydney C. Ludvigson Department of Economics New
York University 19 W. 4th Street, 6th Floor New York, NY 10002 and NBER
sydney.ludvigson@nyu.edu Stijn Van Nieuwerburgh Stern School of ...
MM Croce, M Lettau… - 2007 - nber.org
... of Finance 44. W. 4th St., Suite 9-190 New York, NY 10012 and NBER mlettau@stern.nyu.edu
Sydney C. Ludvigson Department of Economics New York University 269 Mercer Street, 7th Floor
New York, NY 10003 and NBER sydney.ludvigson@nyu.edu Page 3. 1 Introduction ...
SC Ludvigson… - The American Economic Review, 2001 - JSTOR
Page 1. Does Buffer-Stock Saving Explain the Smoothness and Excess Sensitivity
of Consumption? By SYDNEY C. LUDVIGSON AND ALEXANDER MICHAELIDES*
One of the lasting contributions to modern- day consumer ...
S Ludvigson - Journal of Money, Credit and Banking, 1998 - JSTOR
In response to tight money, both consumer loans and consumption fall. I ask whether there is
any causality running from loans to consumption by focussing on how the composition of
automobile finance between bank and nonbank sources of credit changes in response to ...
M Lettau… - Finance Research Letters, 2005 - Elsevier
This paper constructs a simple model of home production that demonstrates the connection
between the intertemporal elasticity of substitution in market consumption (IES) and the
static elasticity of substitution between home and market consumption (SES), when the ...
X Chen, J Favilukis… - 2011 - nber.org
... Sydney C. Ludvigson Department of Economics New York University 19 W. 4th Street, 6th Floor
New York, NY 10002 and NBER sydney.ludvigson@nyu.edu Page 3. 1 Introduction A large and
growing body of theoretical work in macroeconomics and finance models the ...
SC Ludvigson… - 2009 - nber.org
... This implies that investors are compensated for risks associated with recessions. Sydney
C. Ludvigson Department of Economics New York University 19 W. 4th Street, 6th Floor
New York, NY 10002 and NBER sydney.ludvigson@nyu.edu ...
M Lettau… - Review of Economic Dynamics, 2009 - Elsevier
... Fax: +1 (212) 995 4186. E-mail addresses: lettau@haas.berkeley.edu (M. Lettau),
sydney.ludvigson@nyu.edu (SC Ludvigson). URLs: http://faculty.haas.berkeley.edu/lettau
(M. Lettau), http://www.econ.nyu.edu/user/ludvigsons/ (SC Ludvigson). ...
M Lettau… - 2002 - papers.ssrn.com
Abstract: Are excess stock market returns predictable over time and, if so, at what horizons
and with which economic indicators? Can stock return predictability be explained by
changes in stock market volatility? How does the mean return per unit risk change over ...
M Lettau, SC Ludvigson, N Barczi… - 2001 - papers.ssrn.com
... Martin Lettau, Sydney Ludvigson and Nathan Barczi Federal Reserve Bank of New York ... Address:
Research Department, Federal Reserve Bank of New York, 33 Liberty St., New York, New York
10045; e-mail: martin.lettau@ny.frb.org, sydney.ludvigson@ny.frb.org, and ...
X Chen… - 2004 - nber.org
... xiaohong.chen@nyu.edu Sydney C. Ludvigson Department of Economics New York
University 269 Mercer Street 7th Floor New York, NY 10003 and NBER sydney.ludvigson
@nyu.edu Page 3. 1 Introduction A prominent explanation ...
S Ludvigson… - … RESERVE BANK OF …, 1996 - fednewyork.org
Abstract This note reestimates the simple forecasting regressions in Carroll, Führer, and
Wilcox (1993)(CFW) which investigate the predictive power of consumer sentiment for
consumption growth. Durability in the consumption categories analyzed implies that the ...
JY Campbell… - Harvard Institute of Economic …, 2000 - ideas.repec.org
This paper constructs a simple model of home productions that demonstrates the connection
between the intertemporal elasticity of substitution in market consumption (IES) and the
static elasticity of substitution between home and market consumption (SES). ...
[CITATION] The declining equity premium: What role does macroeconomic risk play?, forthcoming in Review of Financial Studies
M Lettau, S Ludvigson… - 2006
SC Ludvigson - 2011 - nber.org
... Sydney C. Ludvigson Department of Economics New York University 19 W. 4th Street, 6th Floor
New York, NY 10002 and NBER sydney.ludvigson@nyu.edu Page 3. 1 Introduction The last
15 years has brought forth an explosion of research on consumption-based asset ...
[CITATION] oInvestor Information
MM Croce, M Lettau… - Long% Run, 2006
[CITATION] mThe Macroeco% nomic Effects of Housing Wealth
J Favilukis, SC Ludvigson… - Housing Finance and Limited Risk …, 2009
[CITATION] May.“Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Models.”
X Chen… - Unpublished manuscript, Columbia University, 2004
[CITATION] Consumption, Aggregate Wealth, and
M Lettau… - 2001
[CITATION] Jessica Wachter, 2007,“The Declining Equity Premium: What Role Does Macroeconomic Risk Play?,”
M Lettau… - Review of Financial Studies
[CITATION] Handbook of Financial Econometrics, chapter Measuring and Modeling Variation in the Risk-Return Tradeoff
M Lettau… - 2003 - Elsevier Science BV, Amsterdam. …
S Ludvigson… - Research Paper, 1998 - ideas.repec.org
The 1990s have seen astonishing growth in the stock market portfolios of Americans, which
many have argued has been a major force behind the growth of consumer spending. This
paper reviews the relationship between the stock market and the consumer. Using a ...
[CITATION] Understanding Trend and cycle in Asset Values: Bulls
M Lettau… - Bears, and the Wealth Effect on Consumption, …, 2001
S Ludvigson… - 1999 - papers.econ.ucy.ac.cy
Abstract The bufferMstock model of precautionary saving has become a workhorse of
modernMday consumer theory. Despite its growing popularity, virtually no research has set
out to forM mally investigate whether bufferMstock behavior can replicate the wellMknown ...
M Lettau… - 2011 - nber.org
... 1900 Berkeley, CA 94720-1900 and NBER lettau@haas.berkeley.edu Sydney C. Ludvigson
Department of Economics New York University 19 W. 4th Street, 6th Floor New York, NY 10002
and NBER sydney.ludvigson@nyu.edu Page 3. 1 Introduction ...
[CITATION] oMacro factors in bond risk premiums, p manuscript
SC Ludvigson… - 2006 - August
[CITATION] 'Resurrecting the (C) CAPM: A Cross-Sectional Test when Risk
M Lettau… - 2001
S Ludvigson… - … RESERVE BANK OF …, 1996 - data.newyorkfed.org
Abstract In response to tight money, both consumer loans and consumption fall. In this
paper, I ask whether there is any causality running from loans to consumption by focusing on
how the composition of automobile finance between bank and nonbank sources of credit ...
[CITATION] Forthcoming. Consumption and Credit: A Model of Time Varying Liquidity Constraints
L Sydney - The Review of Economics and Statistics
[CITATION] Modelling and measuring the risk-return tradeoff
L Martin… - 2003 - Working paper
[CITATION] Analyzing the Linkage Between Consumption and Wealth
S Ludvigson - Federal Reserve Bank of Philadelphia Policy Forum, 2003
[CITATION] Consumption and Credit: A Model of Time-Varying Credit Constraints
SC Ludvigson - 1996 - … , Federal Reserve Bank of New York
SC Ludvigson - Federal Reserve Bank of Kansas City,(2007), 2007 - kansascityfed.com
Page 1. 335 The subject of this working session is housing and consumer behav- ior.
As emphasized by John Muellbauer, one possible way in which house prices could
influence consumer spending is through a hous- ing collateral ...
[CITATION] A Factor Analysis of Bond Risk Premia
S Ng… - Department of Economics, New York University, 2009
[CITATION] forthcoming, The empirical risk-return relation: A factor analysis approach
S Ludvigson… - Journal of Financial Economics
MM Croce, M Lettau… - 2006 Meeting Papers, 2006 - ideas.repec.org
Value stocks have higher average returns than growth stocks. At the same time, the duration
of value stocks' cash flows is considerably shorter than that of growth stocks. We show that
when investors can fully distinguish short-and long-run consumption risk components of ...
J Favilukis, SV Nieuwerburgh… - 2012 - papers.ssrn.com
Abstract: The last 20 years have been marked by a sharp rise in internationaldemand for US
reserve assets, or safe stores-of-value. This paperanalyzes the welfare consequences of
these fluctuations in internationalcapital flows in a two-sector general equilibrium model ...
M Lettau… - New York Federal Reserve working paper, 1999 - Citeseer
Abstract This paper explores the ability of theoretically-based asset pricing models such as
the CAPM and the consumption CAPM referred to jointly as the (C) CAPM to explain the
cross-section of average stock returns. Unlike many previous empirical tests of the (C) ...
J Favilukis, D Kohn, SC Ludvigson… - 2012 - nber.org
... NY 10012 dk1310@nyu.edu Sydney C. Ludvigson Department of Economics New
York University 19 W. 4th Street, 6th Floor New York, NY 10002 and NBER
sydney.ludvigson@nyu.edu Stijn Van Nieuwerburgh Stern School ...
S Ludvigson… - 1998 - Citeseer
Abstract The buffer-stock model of precautionary saving has become a workhorse of
modernday consumer theory. Despite its growing popularity, virtually no research has set
out to formally investigate whether buffer-stock behavior can replicate the well-known ...
C Steindel… - Economic Policy Review, 1999 - papers.ssrn.com
Abstract: Many argue that the astonishing growth in Americans' stock portfolios in the 1990s
has been a major force behind the growth of consumer spending. This article reviews the
relationship between stock market movements and consumption. Using various ...
M Lettau… - 2001 - cepr.org
Evidence suggests that expected excess stock market returns vary over time, and that this
variation is much larger than that of expected real interest rates. It follows that a large fraction
of the movement in the cost of capital in standard investment models must be attributable ...
SC Ludvigson… - sfsrfs.org
... Sydney C. Ludvigson* New York University and NBER Serena Ng# Columbia University This
draft: September 1, 2009 *Department of Economics, New York University, 19 West 4th Street,
6th Floor, New York, NY 10012; Email: sydney.ludvigson@nyu.edu; Tel: (212) 998#8927 ...
[CITATION] Debt and the Macroeconomy
SC Ludvigson - 1996 - Princeton University
J Favilukis, S Van Nieuwerburgh… - papers.ssrn.com
Abstract: We study a two-sector general equilibrium model of housing andnon-housing
production where heterogenous households face limitedopportunities to insure against
aggregate and idiosyncratic risks. Themodel generates large variability in the national ...
Abstract Recently, there has been considerable interest in modifying the standard real
business cycle model to include home production. In this paper, we construct a simple
model of home production that demonstrates the connection between the intertemporal ...
M Lettau… - 1999 - temporaryaddress.cepr.org
This paper studies the role of detrended wealth in predicting stock returns. We call a
transitory movement in wealth one that produces a deviation from its shared trend with
consumption and labor income. Using quarterly stock market data we find that these trend ...
M Lettau… - 2001 - cepr.org
This Paper uses restrictions implied by cointegration to identify the permanent and transitory
elements (the 'trend'and 'cycle') of household asset wealth. Our empirical analysis yields
answers to the following questions: 1. Is there a large transitory component in household ...
S Ng… - 2005 - papers.ssrn.com
Abstract: A key criticism of the existing empirical literature on the risk-return relation relates
to the relatively small amount of conditioning information used to model the conditional
mean and conditional volatility of excess stock market returns. To the extent that financial ...
SC Ludvigson - 2007 - kc.frb.org
Page 1. 1 Discussion of Housing and Consumer Behavior by Sydney C. Ludvigson Prepared
for the Federal Reserve Bank of Kansas City's symposium on “Housing, Housing Finance, and
Monetary Policy” at Jackson Hole, Wyoming, on August 30- September 1, 2007. ...
Abstract: The buffer-stock model of precautionary saving has become a workhorse of
modern-day consumer theory. Despite its growing popularity, virtually no research has set
out to formally investigate whether buffer-stock behavior can replicate the well-known ...
[CITATION] Finance and the Macroeconomy
J Heaton, SC Ludvigson… - 2003 - Elsevier Science
J Bram… - Economic Policy Review, 1997 - nyfedeconomists.org
Most of the discussion following the first session revolved around identifying the forces
behind the region's early 1990s slump as well as the forces likely to affect the region in the
years ahead. Special emphasis was placed on the desirability of looking at more detailed ...
SC Ludvigson - Proceedings, 2007 - econpapers.repec.org
By Sydney C. Ludvigson; Housing, credit and consumer expenditure: commentary.
[CITATION] The Empirical Risk–Return Relation: A Factor Analysis Approach (Digest Summary)
SC Ludvigson… - CFA Digest, 2007 - CFA Institute
SC Ludvigson… - Econometric Society 2004 North American …, 2004 - ideas.repec.org
A leading explanation of aggregate stock market behavior suggests that assets are priced as
if there were a representative investor whose utility is a power function of the difference between
aggregate consumption and a "habit" level, where the habit is some function of lagged and ...
[CITATION] Interpreting the Value Effect Through the Q-Theory: An Empirical Investigation Yuhang Xing Learning and Asset Prices Under Ambiguous Information
M Leippold, F Trojani, P Vanini, T Dangl, Y Wu… - JSTOR
S Van Nieuwerburgh, J Favilukis… - 2010 - archive.nyu.edu
... 7jfaviluk. Ludvigson: Depart& ment of Economics, New York University, 19 W. 4th
Street, 6th Floor, New York, NY 10012; Email: sydney.ludvigson@nyu.edu; Tel: (212)
998&8927; http://www.econ.nyu.edu/user/ludvigsons/. Van ...
M Lettau… - 2002 - cepr.org
We develop a consumption-based present value relation that is a function of future dividend
growth. Using data on aggregate consumption and measures of the dividend payments from
aggregate wealth, we show that changing forecasts of dividend growth make an important ...
[CITATION] Consumption, Aggregate Wealth, and Expected Stock Returns (Digest Summary)
M Lettau… - CFA Digest, 2002 - CFA Institute
[CITATION] Finance and the Macroeconomy (2002, Vol. 29, No. 21.)
J Heaton…
M Lettau… - 2001 - temporaryaddress.cepr.org
Are excess stock market returns predictable over time and, if so, at what horizons and with
which economic indicators? Can stock return predictability be explained by changes in stock
market volatility? How does the mean return per unit risk change over time? This chapter ...
SV Nieuwerburgh, SC Ludvigson… - 2012 - archive.nyu.edu
... 7jfaviluk. Ludvigson: Depart% ment of Economics, New York University, 19 W. 4th
Street, 6th Floor, New York, NY 10012; Email: sydney.ludvigson@nyu.edu; Tel: (212)
998%8927; http://www.econ.nyu.edu/user/ludvigsons/. Van ...
M Lettau, S Ludvigson… - 2006 - cepr.org
Aggregate stock prices, relative to virtually any indicator of fundamental value, soared to
unprecedented levels in the 1990s. Even today, after the market declines since 2000, they
remain well above historical norms. Why? We consider one particular explanation: a fall in ...
SC Ludvigson, X Chen… - FMG Discussion Papers, 2007 - ideas.repec.org
Downloadable (with restrictions)! This paper presents estimates of key preference parameters
of the Epstein and Zin (1989, 1991) and Weil (1989) (EZW) recursive utility model, evaluates
the model's ability to fit asset return data relative to other asset pricing models, and investigates ...
[CITATION] SHORTER PAPERS
M Lettau, S Ludvigson… - The Journal of Finance, 2001 - JSTOR
S Ludvigson, S Van Nieuwerburgh, J Favilukis… - 2011 - papers.ssrn.com
If you have any problems with this purchase, please contact us for assistance by email:
Support@SSRN.com or by phone: 877-SSRNHelp (877 777 6435) in the United States, or +1
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SC Ludvigson - EconomicDynamics Newsletter, 2008 - econpapers.repec.org
Abstract: Sydney Ludvigson is the William R. Berkley Term Associate Professor at the Department
of Economics, New York University. She is interested in asset valuation, equity premia and consumption
smoothness. ... Related works: This item may be available elsewhere in EconPapers: ...
S Ludvigson… - 2004 Meeting Papers, 2004 - ideas.repec.org
A leading explanation of aggregate stock market behavior suggests that assets are priced as
if there were a representative investor whose utility is a power function of the difference
between aggregate consumption and a" habit" level, where the habit is some function of ...
C Steindel, M Lettau… - Economic Policy Review, Vol. 8, No. … - papers.ssrn.com
The wealth channel has deep roots in the literature on monetary policy and economic
stabilization, reaching back at least to the earliest literature stimulated by Keynes' General
Theory. Early on, Gottfried Haberler and AC Pigou noted that changes in consumer ...
SC Ludvigson - 2008 - homepages.nyu.edu
Page 1. Lecture Notes for Macroeconometrics: Nonstationary Time Series (1) Sydney C.
Ludvigson February 21, 2008 Page 2. 1 Unit Roots First, some definitions: Definition 1 Unit
root. Consider an ARMA(p,q) model for a time-series Yt: φ(L)Yt = θ (L)ϵt, ...
[CITATION] The Journal of THE AMERICAN FINANCE ASSOCIATION
M LETTAU, S LUDVIGSON, AM POTESHMAN… - 2001 - JSTOR
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