Sydney C. Ludvigson : Citation Profile


Are you Sydney C. Ludvigson?

New York University (NYU)

25

H index

35

i10 index

4876

Citations

RESEARCH PRODUCTION:

27

Articles

65

Papers

3

Chapters

RESEARCH ACTIVITY:

   24 years (1996 - 2020). See details.
   Cites by year: 203
   Journals where Sydney C. Ludvigson has often published
   Relations with other researchers
   Recent citing documents: 682.    Total self citations: 36 (0.73 %)

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   Permalink: http://citec.repec.org/plu153
   Updated: 2021-10-16    RAS profile: 2016-09-23    
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Relations with other researchers


Works with:

Ma, Sai (3)

Bianchi, Francesco (2)

Cox, Josue (2)

Greenwald, Daniel (2)

Ng, Serena (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Sydney C. Ludvigson.

Is cited by:

GUPTA, RANGAN (121)

Sousa, Ricardo (57)

Wohar, Mark (41)

Hoffmann, Mathias (30)

Marfè, Roberto (29)

Byrne, Joseph (25)

Van Nieuwerburgh, Stijn (25)

Zhang, Lu (23)

Guo, Hui (23)

Pettenuzzo, Davide (22)

Nitschka, Thomas (21)

Cites to:

Campbell, John (86)

Lettau, Martin (38)

French, Kenneth (31)

Hansen, Lars (27)

Fama, Eugene (24)

Cochrane, John (20)

Mankiw, N. Gregory (20)

Abel, Andrew (20)

Van Nieuwerburgh, Stijn (20)

Deaton, Angus (19)

Constantinides, George (18)

Main data


Where Sydney C. Ludvigson has published?


Journals with more than one article published# docs
Economic Policy Review3
American Economic Review3
Review of Financial Studies3
Journal of Monetary Economics2
Journal of Financial Economics2
Journal of Money, Credit and Banking2
The Review of Economics and Statistics2

Working Papers Series with more than one paper published# docs
Research Paper / Federal Reserve Bank of New York7
Staff Reports / Federal Reserve Bank of New York3
2006 Meeting Papers / Society for Economic Dynamics2
2004 Meeting Papers / Society for Economic Dynamics2

Recent works citing Sydney C. Ludvigson (2021 and 2020)


YearTitle of citing document
2020Predicting bond return predictability. (2020). Thyrsgaard, Martin ; Kjar, Mads M ; Eriksen, Jonas N ; Borup, Daniel. In: CREATES Research Papers. RePEc:aah:create:2020-09.

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2021The incremental information in the yield curve about future interest rate risk. (2021). Veliyev, Bezirgen ; Kjar, Mads Markvart ; Christensen, Bent Jesper. In: CREATES Research Papers. RePEc:aah:create:2021-11.

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2020Leverage and Deepening Business-Cycle Skewness. (2020). Ravn, Søren Hove ; Petrella, Ivan ; Santoro, Emiliano ; Jensen, Henrik. In: American Economic Journal: Macroeconomics. RePEc:aea:aejmac:v:12:y:2020:i:1:p:245-81.

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2020Meta-learning approaches for recovery rate prediction. (2020). Vrins, Frédéric ; Roccazzella, Francesco ; Gambetti, Paolo. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2020007.

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2020THE INTER-RELATIONS BETWEEN CHINESE HOUSING MARKET, STOCK MARKET AND CONSUMPTION MARKET. (2020). Liu, Yang. In: Review of Socio - Economic Perspectives. RePEc:aly:journl:202051.

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2020“Measuring and assessing economic uncertainty”. (2020). Claveria, Oscar. In: AQR Working Papers. RePEc:aqr:wpaper:202003.

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2021“Employment uncertainty a year after the irruption of the covid-19 pandemic”. (2021). Sorić, Petar ; Claveria, Oscar ; Soric, Petar. In: AQR Working Papers. RePEc:aqr:wpaper:202104.

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2021How does monetary policy affect income inequality in Japan? Evidence from grouped data. (2018). Feldkircher, Martin ; Kakamu, Kazuhiko. In: Papers. RePEc:arx:papers:1803.08868.

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2020State-Varying Factor Models of Large Dimensions. (2019). Xiong, Ruoxuan ; Pelger, Markus. In: Papers. RePEc:arx:papers:1807.02248.

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2021On LASSO for Predictive Regression. (2018). Lee, Ji Hyung ; Gao, Zhan ; Shi, Zhentao ; Hyung, JI. In: Papers. RePEc:arx:papers:1810.03140.

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2020Stochastic Revealed Preferences with Measurement Error. (2018). Kashaev, Nail ; Aguiar, Victor. In: Papers. RePEc:arx:papers:1810.05287.

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2020A Sieve-SMM Estimator for Dynamic Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1902.01456.

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2021Deep Learning in Asset Pricing. (2019). Zhu, Jason ; Pelger, Markus ; Chen, Luyang. In: Papers. RePEc:arx:papers:1904.00745.

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2020Trading Strategies and Market Color: The Benefits of Friendship with Quantitative Analysts and Financial Engineers. (2019). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1910.02144.

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2020The Interaction Between Credit Constraints and Uncertainty Shocks. (2020). Kohn, Robert ; Gunawan, David ; Chatterjee, Pratiti . In: Papers. RePEc:arx:papers:2004.14719.

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2020Regret Theory And Asset Pricing Anomalies In Incomplete Markets With Dynamic Un-Aggregated Preferences. (2020). Nwogugu, Michael. In: Papers. RePEc:arx:papers:2005.01709.

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2020Defining an intrinsic stickiness parameter of stock price returns. (2020). Andersen, Jorgen Vitting ; Massad, Naji. In: Papers. RePEc:arx:papers:2005.02351.

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2020Measuring Macroeconomic Uncertainty: A Cross-Country Analysis. (2020). Sarferaz, Samad ; Dibiasi, Andreas. In: Papers. RePEc:arx:papers:2006.09007.

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2020Asset Prices and Capital Share Risks: Theory and Evidence. (2020). Ibrahim, Boulis M ; Byrne, Joseph P ; Zong, Xiaoyu. In: Papers. RePEc:arx:papers:2006.14023.

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2021Inference in Bayesian Additive Vector Autoregressive Tree Models. (2020). Huber, Florian ; Rossini, Luca. In: Papers. RePEc:arx:papers:2006.16333.

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2020The role of global economic policy uncertainty in predicting crude oil futures volatility: Evidence from a two-factor GARCH-MIDAS model. (2020). Zhou, Wei-Xing ; Xiong, Xiong ; Dai, Peng-Fei. In: Papers. RePEc:arx:papers:2007.12838.

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2021Existence and uniqueness of recursive utilities without boundedness. (2020). Christensen, Timothy M. In: Papers. RePEc:arx:papers:2008.00963.

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2020How is Machine Learning Useful for Macroeconomic Forecasting?. (2020). Stevanovic, Dalibor ; Surprenant, St'Ephane ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2008.12477.

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2021Deep Learning, Predictability, and Optimal Portfolio Returns. (2020). Baruník, Jozef ; Babiak, Mykola. In: Papers. RePEc:arx:papers:2009.03394.

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2020Developments on the Bayesian Structural Time Series Model: Trending Growth. (2020). Kohns, David ; Bhattacharjee, Arnab. In: Papers. RePEc:arx:papers:2011.00938.

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2020Business and consumer uncertainty in the face of the pandemic: A sector analysis in European countries. (2020). Claveria, Oscar. In: Papers. RePEc:arx:papers:2012.02091.

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2021Dynamic industry uncertainty networks and the business cycle. (2021). Baruník, Jozef ; Faff, Robert ; Bevilacqua, Mattia. In: Papers. RePEc:arx:papers:2101.06957.

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2021Uncertainty spill-overs: when policy and financial realms overlap. (2021). Dragomirescu-Gaina, Catalin ; Bacchiocchi, Emanuele. In: Papers. RePEc:arx:papers:2102.06404.

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2021Deep Structural Estimation: With an Application to Option Pricing. (2021). Scheidegger, Simon ; Didisheim, Antoine ; Chen, Hui. In: Papers. RePEc:arx:papers:2102.09209.

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2021COVID-19 and Estimation of Macroeconomic Factors. (2021). Ng, Serena. In: Papers. RePEc:arx:papers:2103.02732.

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2021Double robust inference for continuous updating GMM. (2021). Zhan, Zhaoguo ; Kleibergen, Frank. In: Papers. RePEc:arx:papers:2105.08345.

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2021Empirical evidence on the Euler equation for investment in the US. (2021). Haque, Qazi ; Mavroeidis, Sophocles ; Magnusson, Leandro M ; Ascari, Guido. In: Papers. RePEc:arx:papers:2107.08713.

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2021Heterogeneous Responses to the U.S. Narrative Tax Changes: Evidence from the U.S. States. (2021). Alam, Masud. In: Papers. RePEc:arx:papers:2107.13678.

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2021Uncertainty, volatility and the persistence norms of financial time series. (2021). Rudkin, Simon ; Qiu, Wanling ; Dlotko, Pawel. In: Papers. RePEc:arx:papers:2110.00098.

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2021A New Multivariate Predictive Model for Stock Returns. (2021). Xie, Jianying. In: Papers. RePEc:arx:papers:2110.01873.

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2020The return on everything and the business cycle in production economies. (2020). Fehrle, Daniel ; Heiberger, Christopher. In: Discussion Paper Series. RePEc:aug:augsbe:0338.

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2020Distilling Large Information Sets to Forecast Commodity Returns: Automatic Variable Selection or HiddenMarkov Models?. (2020). Pedio, Manuela ; Guidolin, Massimo. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp20140.

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2020The return on everything and the business cycle in production economies. (2020). Fehrle, Daniel ; Heiberger, Christopher. In: Working Papers. RePEc:bav:wpaper:193_fehrleheiberger.

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2021Uncertainty shocks and employment fluctuations in Germany: the role of establishment size. (2021). Kovalenko, Tim. In: Working Papers. RePEc:bav:wpaper:212_kovalenko.

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2020Learning, Equilibrium Trend, Cycle, and Spread in Bond Yields. (2020). Zhao, Guihai. In: Staff Working Papers. RePEc:bca:bocawp:20-14.

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2021Time variation in lifecycle consumption and income.. (2021). st Aubyn, Carolyn ; Basso, Henrique S ; Aksoy, Yunus. In: Working Papers. RePEc:bde:wpaper:2111.

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2020The economic drivers of volatility and uncertainty. (2020). Marcellino, Massimiliano ; Corsello, Francesco ; Carriero, Andrea. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1285_20.

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2020Forecasting US recessions: the role of economic uncertainty. (2020). Natoli, Filippo ; Ercolani, Valerio. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1299_20.

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2020Trade Policy Uncertainty and its Effect on Foreign Direct Investment: Evidence from Mexico. (2020). Salcedo, Alejandrina ; Cebreros, Alfonso ; Heffner-Rodriguez, Aldo ; Chiquiar, Daniel. In: Working Papers. RePEc:bdm:wpaper:2020-14.

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2020Wealth effect on consumption during the sovereign debt crisis: Households heterogeneity in the Euro area. (2020). Savignac, Frédérique ; Garbinti, Bertrand ; Lecanu, Charlelie ; Lamarche, Pierre. In: Working papers. RePEc:bfr:banfra:751.

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2020Cross-border Investments and Uncertainty: Firm-level Evidence. (2020). Gigout, Timothee ; CEZAR, Rafael ; Tripier, Fabien. In: Working papers. RePEc:bfr:banfra:766.

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2020Credit Demand versus Supply Channels: Experimental- and Administrative-Based Evidence. (2020). Sette, Enrico ; Peydro, Jose-Luis ; Michelangeli, Valentina. In: Working Papers. RePEc:bge:wpaper:1192.

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2021Testing external habits in an asset pricing model. (2021). Goenka, Aditya ; D'Addona, Stefano ; Boschi, Melisso . In: Discussion Papers. RePEc:bir:birmec:21-11.

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2020Forecasting Russian Macroeconomic Indicators Based on Information from News and Search Queries. (2020). Ulyankin, Filipp. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:79:y:2020:i:4:p:75-97.

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2020Asset pricing and energy consumption risk. (2020). Lan, Yihui ; Lim, Ashley ; Treepongkaruna, Sirimon. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:4:p:3813-3850.

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2021Oil price shocks, real economic activity and uncertainty. (2021). Suardi, Sandy ; Darne, Olivier ; Chua, Chew Lian ; Charles, Amelie. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:73:y:2021:i:3:p:364-392.

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2021Nonlinear relationships between inflation, output growth and uncertainty in India: New evidence from a bivariate threshold model. (2021). Kundu, Srikanta ; Sarkar, Kaustav Kanti ; Chowdhury, Kushal Banik. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:73:y:2021:i:3:p:469-493.

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2020MARTIN Has Its Place: A Macroeconometric Model of the Australian Economy. (2020). Rees, Daniel ; Guttmann, Rochelle ; Cusbert, Tom ; Nodari, Gabriela ; McCririck, Rachael ; Kendall, Elizabeth ; Hamilton, Adam ; Hambur, Jonathan ; Evans, Richard ; Ballantyne, Alexander. In: The Economic Record. RePEc:bla:ecorec:v:96:y:2020:i:314:p:225-251.

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2020Uncertainty and the Great Slump. (2020). Lennard, Jason. In: Economic History Review. RePEc:bla:ehsrev:v:73:y:2020:i:3:p:844-867.

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2020Consumption, asset wealth, equity premium, term spread, and flight to quality. (2020). Sousa, Ricardo ; Costantini, Mauro. In: European Financial Management. RePEc:bla:eufman:v:26:y:2020:i:3:p:778-807.

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2020Measuring the Economic Risk of COVID‐19. (2020). Noy, Ilan ; Park, Donghyun ; Ferrarini, Benno ; Doan, Nguyen. In: Global Policy. RePEc:bla:glopol:v:11:y:2020:i:4:p:413-423.

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2020Market Excess Returns, Variance and the Third Cumulant. (2020). Zhao, Huimin ; Chang, Eric C ; Zhang, Jin E. In: International Review of Finance. RePEc:bla:irvfin:v:20:y:2020:i:3:p:605-637.

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2020ECONOMETRICS MEETS SENTIMENT: AN OVERVIEW OF METHODOLOGY AND APPLICATIONS. (2020). Boudt, Kris ; Algaba, Andres ; Borms, Samuel ; Bluteau, Keven ; Ardia, David. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:34:y:2020:i:3:p:512-547.

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2020MORE THAN A FEELING: CONFIDENCE, UNCERTAINTY, AND MACROECONOMIC FLUCTUATIONS. (2020). Stracca, Livio ; Nowzohour, Laura . In: Journal of Economic Surveys. RePEc:bla:jecsur:v:34:y:2020:i:4:p:691-726.

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2020Taming the Factor Zoo: A Test of New Factors. (2020). Xiu, Dacheng ; Giglio, Stefano ; Feng, Guanhao. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:3:p:1327-1370.

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2020Consumption Fluctuations and Expected Returns. (2020). Priestley, Richard ; Moller, Stig V ; Atanasov, Victoria. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:3:p:1677-1713.

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2020Cash Flow News and Stock Price Dynamics. (2020). Pettenuzzo, Davide ; Sabbatucci, Riccardo ; Timmermann, Allan. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:4:p:2221-2270.

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2020Declining Labor and Capital Shares. (2020). Barkai, Simcha. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:5:p:2421-2463.

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2020The Banking View of Bond Risk Premia. (2020). Sraer, David ; Haddad, Valentin. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:5:p:2465-2502.

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2020Hysteresis in the normal rate of capacity utilization: A behavioral explanation. (2020). Setterfield, Mark ; Avritzer, Joana David. In: Metroeconomica. RePEc:bla:metroe:v:71:y:2020:i:4:p:898-919.

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2020On the Time‐Varying Effects of Economic Policy Uncertainty on the US Economy. (2020). Schlosser, Alexander ; Pruser, Jan. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:82:y:2020:i:5:p:1217-1237.

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2020Housing, Wealth, Income and Consumption: China and Homeownership Heterogeneity. (2020). Hu, Mingzhi ; Hardin, William ; Chen, Jie. In: Real Estate Economics. RePEc:bla:reesec:v:48:y:2020:i:2:p:373-405.

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2020Interest rate volatility and macroeconomic dynamics: Heterogeneity matters. (2020). Velic, Adnan ; Curran, Michael. In: Review of International Economics. RePEc:bla:reviec:v:28:y:2020:i:4:p:957-975.

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2020Low Mortgage Rates and Securitization: A Distinct Perspective on the US Housing Boom. (2020). Xu, Fang ; Herwartz, Helmut. In: Scandinavian Journal of Economics. RePEc:bla:scandj:v:122:y:2020:i:1:p:164-190.

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2020Unconventional economic policies and sentiment: An international assessment. (2020). Gimet, Celine ; Gagnon, Mariehelene. In: The World Economy. RePEc:bla:worlde:v:43:y:2020:i:6:p:1544-1591.

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2021General Doubly Robust Identification and Estimation. (2019). Lewbel, Arthur ; Choi, Jin-Young ; Zhou, Zhuzhu. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:1003.

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2020Informed trading in government bond markets. (2020). Czech, Robert ; Wang, Tianyu ; Lou, Dong ; Huang, Shiyang. In: Bank of England working papers. RePEc:boe:boeewp:0871.

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2020Uncertainty and voting on the Bank of England’s Monetary Policy Committee. (2020). Reinold, Kate ; Firrell, Alastair. In: Bank of England working papers. RePEc:boe:boeewp:0898.

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2021The consumption response to borrowing constraints in the mortgage market. (2021). Van Horen, Neeltje ; Tracey, Belinda. In: Bank of England working papers. RePEc:boe:boeewp:0919.

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2020Frequency-domain information for active portfolio management. (2020). Verona, Fabio ; Faria, Gonalo. In: Research Discussion Papers. RePEc:bof:bofrdp:2020_002.

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2020Inflationary household uncertainty shocks. (2020). Ambrocio, Gene. In: Research Discussion Papers. RePEc:bof:bofrdp:2020_005.

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2020Time-frequency forecast of the equity premium. (2020). Verona, Fabio ; Faria, Gonalo. In: Research Discussion Papers. RePEc:bof:bofrdp:2020_006.

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2021Euro Area Business Confidence and Covid-19. (2021). Ambrocio, Gene. In: Research Discussion Papers. RePEc:bof:bofrdp:2021_004.

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2021Revisiting intertemporal elasticity of substitution in a sticky price model. (2021). Vahamaa, Oskari ; Vilmunen, Jouko ; Kilponen, Juha. In: Research Discussion Papers. RePEc:bof:bofrdp:2021_009.

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2021Cyclicality of Uncertainty and Disagreement. (2021). Zohar, Osnat. In: Bank of Israel Working Papers. RePEc:boi:wpaper:2021.09.

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2020Characteristics of Uncertainty Indices in the Macroeconomy. (2020). Nakajima, Jouchi ; Okuda, Tatsushi ; Shinohara, Takeshi. In: Bank of Japan Working Paper Series. RePEc:boj:bojwps:wp20e06.

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2021Supplementary Paper Series for the Assessment (1): The Effects of the Bank of Japans ETF Purchases on Risk Premia in the Stock Markets. (2021). Adachi, KO ; Kitamura, Tomiyuki ; Hiraki, Kazuhiro. In: Bank of Japan Working Paper Series. RePEc:boj:bojwps:wp21e03.

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2020Foreign official holdings of US treasuries, stock effect and the economy: a DSGE approach. (2020). Francois, John ; Nana, Francois John. In: The B.E. Journal of Macroeconomics. RePEc:bpj:bejmac:v:20:y:2020:i:1:p:28:n:6.

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2021The Real Effects of Uncertainty Shocks: New Evidence from Linear and Nonlinear SVAR Models. (2021). Tsasa, Jean-Paul K ; Diwambuena, Josue. In: BEMPS - Bozen Economics & Management Paper Series. RePEc:bzn:wpaper:bemps87.

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2020Volatile Hiring: Uncertainty in Search and Matching Models. (2020). Freund, L B ; den Haan, W ; Rendahl, P. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:20125.

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2020Unexpected Effects: Uncertainty, Unemployment, and Inflation. (2020). Freund, Lukas ; Rendahl, P. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2035.

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2020Consumer Confidence and Household Investment. (2019). Rouillard, Jean-François ; Khan, Hashmat ; Upadhayaya, Santosh. In: Carleton Economic Papers. RePEc:car:carecp:19-06.

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2020Rational Learning and the Term Structures of Value and Growth Risk Premia. (2020). Marfè, Roberto ; Khapko, Mariana ; Hasler, Michael. In: Carlo Alberto Notebooks. RePEc:cca:wpaper:622.

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2020Dynamic Equity Slope. (2020). Marfè, Roberto ; Zucchi, Francesca ; Colonnello, Stefano ; Breugem, Matthijs. In: Carlo Alberto Notebooks. RePEc:cca:wpaper:626.

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2021Why have house prices risen so much more than rents in superstar cities?. (2021). Mense, Andreas ; Christian, . In: CEP Discussion Papers. RePEc:cep:cepdps:dp1743.

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2020Deep Learning, Predictability, and Optimal Portfolio Returns. (2020). Baruník, Jozef ; Babiak, Mykola. In: CERGE-EI Working Papers. RePEc:cer:papers:wp677.

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2020Time Variation in Lifecycle Consumption and Income. (2020). Aksoy, Yunus ; Basso, Henrique S ; st Aubyn, Carolyn. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8162.

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2020Indebted Demand. (2020). Sufi, Amir ; Straub, Ludwig ; Mian, Atif. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8210.

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2020The Cost of the COVID-19 Crisis: Lockdowns, Macroeconomic Expectations, and Consumer Spending. (2020). Weber, Michael ; Gorodnichenko, Yuriy ; Coibion, Olivier. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8292.

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2020Measuring the Economic Risk of COVID-19. (2020). PARK, DONGHYUN ; Noy, Ilan ; Ferrarini, Benno ; Doan, Nguyen. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8373.

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2020Measuring Uncertainty of a Combined Forecast and Some Tests for Forecaster Heterogeneity. (2020). Sheng, Xuguang ; Peng, Huaming ; Lahiri, Kajal. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8810.

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2021Predictability of Bull and Bear Markets: A New Look at Forecasting Stock Market Regimes (and Returns) in the US. (2021). Neuenkirch, Matthias ; Haase, Felix. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8828.

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2021The Impact of Aggregate Uncertainty on Firm-Level Uncertainty. (2021). Grimme, Christian ; Easaw, Joshy. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8934.

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2021Interest Rate Skewness and Biased Beliefs. (2021). Chernov, Mikhail ; Bauer, Michael D. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9150.

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2021Pricing Climate Risk. (2021). Jensen, Svenn ; Trager, Christian ; Traeger, Christian P. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9196.

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2021The Covid-19 Pandemic, Policy Responses and Stock Markets in the G20. (2021). Spagnolo, Nicola ; Kang, Woo-Young ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9299.

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More than 100 citations found, this list is not complete...

Works by Sydney C. Ludvigson:


YearTitleTypeCited
2015Measuring Uncertainty In: American Economic Review.
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article688
2013Measuring Uncertainty.(2013) In: NBER Working Papers.
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2001Does Buffer-Stock Saving Explain the Smoothness and Excess Sensitivity of Consumption? In: American Economic Review.
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article44
2004Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption In: American Economic Review.
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article288
2003Understanding Trend and Cycle in Asset Values: Reevaluating the Wealth Effect on Consumption.(2003) In: NBER Working Papers.
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This paper has another version. Agregated cites: 288
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2004Consumer Confidence and Consumer Spending In: Journal of Economic Perspectives.
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article241
2015Capital Share Risk and Shareholder Heterogeneity in U.S. Stock Pricing In: CEPR Discussion Papers.
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paper1
2015Origins of Stock Market Fluctuations In: CEPR Discussion Papers.
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paper18
2014Origins of Stock Market Fluctuations.(2014) In: NBER Working Papers.
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This paper has another version. Agregated cites: 18
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2014The Origins of Stock Market Fluctuations.(2014) In: 2014 Meeting Papers.
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This paper has another version. Agregated cites: 18
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1999Consumption, Aggregate Wealth and Expected Stock Returns In: CEPR Discussion Papers.
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paper786
1999Consumption, aggregate wealth and expected stock returns.(1999) In: Staff Reports.
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This paper has another version. Agregated cites: 786
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2001Time-Varying Risk Premia and the Cost of Capital: An Alternative Implication of the Q Theory of Investment In: CEPR Discussion Papers.
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paper54
2002Time-varying risk premia and the cost of capital: An alternative implication of the Q theory of investment.(2002) In: Journal of Monetary Economics.
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This paper has another version. Agregated cites: 54
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2001Understanding Trend and Cycle in Asset Values: Bulls, Bears and the Wealth Effect on Consumption In: CEPR Discussion Papers.
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paper7
2001Measuring and Modelling Variation in the Risk-Return Trade-off In: CEPR Discussion Papers.
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paper3
2002Expected Returns and Expected Dividend Growth In: CEPR Discussion Papers.
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paper157
2005Expected returns and expected dividend growth.(2005) In: Journal of Financial Economics.
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This paper has another version. Agregated cites: 157
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2003Expected Returns and Expected Dividend Growth.(2003) In: NBER Working Papers.
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This paper has another version. Agregated cites: 157
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2005Euler Equation Errors In: CEPR Discussion Papers.
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paper16
2005Euler Equation Errors.(2005) In: CEPR Discussion Papers.
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2005Euler Equation Errors.(2005) In: NBER Working Papers.
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2009Euler Equation Errors.(2009) In: Review of Economic Dynamics.
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2005Euler Equation Errors.(2005) In: 2005 Meeting Papers.
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This paper has another version. Agregated cites: 16
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2006The Declining Equity Premium: What Role Does Macroeconomic Risk Play? In: CEPR Discussion Papers.
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paper176
2005The declining equity premium: what role does macroeconomic risk play?.(2005) In: Proceedings.
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This paper has another version. Agregated cites: 176
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2004The Declining Equity Premium: What Role Does Macroeconomic Risk Play?.(2004) In: NBER Working Papers.
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This paper has another version. Agregated cites: 176
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2008The Declining Equity Premium: What Role Does Macroeconomic Risk Play?.(2008) In: Review of Financial Studies.
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This paper has another version. Agregated cites: 176
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2004The Declining Equity Premium: What Role Does Macroeconomic Risk Play?.(2004) In: 2004 Meeting Papers.
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2012An Estimation of Economic Models with Recursive Preferences In: Cowles Foundation Discussion Papers.
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paper38
2013An estimation of economic models with recursive preferences.(2013) In: Quantitative Economics.
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This paper has another version. Agregated cites: 38
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2007An estimation of economic models with recursive preferences.(2007) In: LSE Research Online Documents on Economics.
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2013An estimation of economic models with recursive preferences.(2013) In: LSE Research Online Documents on Economics.
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2012An estimation of economic models with recursive preferences.(2012) In: CeMMAP working papers.
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2011An Estimation of Economic Models with Recursive Preferences.(2011) In: NBER Working Papers.
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2007An Estimation of Economic Models with Recursive Preferences.(2007) In: 2007 Meeting Papers.
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2004An Empirical Investigation of Habit-Based Asset Pricing Models In: Econometric Society 2004 North American Winter Meetings.
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paper3
2013Advances in Consumption-Based Asset Pricing: Empirical Tests In: Handbook of the Economics of Finance.
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chapter21
2011Advances in Consumption-Based Asset Pricing: Empirical Tests.(2011) In: NBER Working Papers.
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This paper has another version. Agregated cites: 21
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2005tays as good as cay: Reply In: Finance Research Letters.
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article14
2007The empirical risk-return relation: A factor analysis approach In: Journal of Financial Economics.
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article232
2005The Empirical Risk-Return Relation: A Factor Analysis Approach.(2005) In: NBER Working Papers.
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2006The Empirical Risk-Return Relation: a factor analysis approach.(2006) In: 2006 Meeting Papers.
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This paper has another version. Agregated cites: 232
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1996The macroeconomic effects of government debt in a stochastic growth model In: Journal of Monetary Economics.
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article55
2007Housing, credit and consumer expenditure: commentary In: Proceedings - Economic Policy Symposium - Jackson Hole.
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article0
1998Does consumer confidence forecast household expenditure? a sentiment index horse race In: Economic Policy Review.
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article160
1997Does consumer confidence forecast household expenditure?: A sentiment index horse race.(1997) In: Research Paper.
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This paper has another version. Agregated cites: 160
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1999How important is the stock market effect on consumption? In: Economic Policy Review.
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article153
1998How important is the stock market effect on consumption?.(1998) In: Research Paper.
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This paper has another version. Agregated cites: 153
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2002Monetary policy transmission through the consumption-wealth channel In: Economic Policy Review.
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article58
1996Consumption and credit: a model of time-varying liquidity constraints In: Research Paper.
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paper105
1999Consumption And Credit: A Model Of Time-Varying Liquidity Constraints.(1999) In: The Review of Economics and Statistics.
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This paper has another version. Agregated cites: 105
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1996The channel of monetary transmission to demand: evidence from the market for automobile credit In: Research Paper.
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paper44
1998The Channel of Monetary Transmission to Demand: Evidence from the Market for Automobile Credit..(1998) In: Journal of Money, Credit and Banking.
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This paper has another version. Agregated cites: 44
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1996Consumer sentiment and household expenditure: reevaluating the forecasting equations In: Research Paper.
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paper3
1997Approximation bias in linearized Euler equations In: Research Paper.
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paper61
1999Approximation Bias in Linearized Euler Equations.(1999) In: NBER Technical Working Papers.
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This paper has another version. Agregated cites: 61
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2001Approximation Bias In Linearized Euler Equations.(2001) In: The Review of Economics and Statistics.
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1997Elasticities of substitution in real business cycle models with home production In: Research Paper.
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paper52
2000Elasticities of Substitution in Real Business Cycle Models with Home Production.(2000) In: Harvard Institute of Economic Research Working Papers.
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This paper has another version. Agregated cites: 52
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2001Elasticities of Substitution in Real Business Cycle Models with Home Production.(2001) In: Scholarly Articles.
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2001Elasticities of Substitution in Real Business Cycle Models with Home Protection..(2001) In: Journal of Money, Credit and Banking.
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This paper has another version. Agregated cites: 52
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1998Elasticities of Substitution in Real Business Cycle Models with Home Production.(1998) In: NBER Working Papers.
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This paper has another version. Agregated cites: 52
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2001A primer on the economics and time series econometrics of wealth effects: a comment In: Staff Reports.
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paper10
1999Resurrecting the (C)CAPM: a cross-sectional test when risk premia are time-varying In: Staff Reports.
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paper438
2001Resurrecting the (C)CAPM: A Cross-Sectional Test When Risk Premia Are Time-Varying.(2001) In: Journal of Political Economy.
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This paper has another version. Agregated cites: 438
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2007An Estimation of Economic Models with Recursive In: FMG Discussion Papers.
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paper2
2009Land of addicts? an empirical investigation of habit-based asset pricing models In: Journal of Applied Econometrics.
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article73
2004Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Models.(2004) In: 2004 Meeting Papers.
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This paper has another version. Agregated cites: 73
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2012International Capital Flows and House Prices: Theory and Evidence In: NBER Chapters.
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chapter76
2012International Capital Flows and House Prices: Theory and Evidence.(2012) In: NBER Working Papers.
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2013Shocks and Crashes In: NBER Chapters.
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chapter20
2011Shocks and Crashes.(2011) In: NBER Working Papers.
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2014Shocks and Crashes.(2014) In: NBER Macroeconomics Annual.
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2004Land of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Behavior In: NBER Working Papers.
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paper10
2007Investor Information, Long-Run Risk, and the Term Structure of Equity In: NBER Working Papers.
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paper58
2015Investor Information, Long-Run Risk, and the Term Structure of Equity.(2015) In: Review of Financial Studies.
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This paper has another version. Agregated cites: 58
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2009A Factor Analysis of Bond Risk Premia In: NBER Working Papers.
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paper13
2010The Macroeconomic Effects of Housing Wealth, Housing Finance, and Limited Risk-Sharing in General Equilibrium In: NBER Working Papers.
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paper133
2010The Macroeconomic E¤ects of Housing Wealth, Housing Finance, and Limited Risk-Sharing in General Equilibrium.(2010) In: 2010 Meeting Papers.
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This paper has another version. Agregated cites: 133
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2014Foreign Ownership of U.S. Safe Assets: Good or Bad? In: NBER Working Papers.
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2012Foreign Ownership of U.S. Safe Assets: Good or Bad?.(2012) In: 2012 Meeting Papers.
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2014Capital Share Risk in U.S. Asset Pricing In: NBER Working Papers.
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paper6
2015Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response? In: NBER Working Papers.
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paper93
2016Monetary Policy and Asset Valuation In: NBER Working Papers.
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paper23
2017Shock Restricted Structural Vector-Autoregressions In: NBER Working Papers.
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paper8
2018Drivers of the Great Housing Boom-Bust: Credit Conditions, Beliefs, or Both? In: NBER Working Papers.
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2018Characteristics of Mutual Fund Portfolios: Where Are the Value Funds? In: NBER Working Papers.
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2019How the Wealth Was Won: Factors Shares as Market Fundamentals In: NBER Working Papers.
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2020COVID-19 and The Macroeconomic Effects of Costly Disasters In: NBER Working Papers.
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2020Belief Distortions and Macroeconomic Fluctuations In: NBER Working Papers.
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paper1
2020What Explains the COVID-19 Stock Market? In: NBER Working Papers.
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paper5
2009Macro Factors in Bond Risk Premia In: Review of Financial Studies.
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article385
2008The Research Agenda: Sydney Ludvigson on Empirical Evaluation of Economic Theories of Risk Premia In: EconomicDynamics Newsletter.
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article0
2006Investor Information, Long-Run Risk, and the Duration fo Risky Assets In: 2006 Meeting Papers.
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