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Citations of
Sydney C. Ludvigson

For current contact information and a more complete listing of works, please see here

The citations below have been collected in an experimental project, CitEc. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.

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Working papers

  1. Mariano M. Croce & Martin Lettau & Sydney C. Ludvigson, 2007. "Investor Information, Long-Run Risk, and the Duration of Risky Cash-Flows," NBER Working Papers 12912, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

    Cited by:

    1. Zhiguang Wang & Prasad V. Bidarkota, 2008. "A Long-Run Risks Model of Asset Pricing with Fat Tails," Working Papers 0810, Florida International University, Department of Economics. [Downloadable!]
    2. Lars Peter Hansen, 2007. "Beliefs, Doubts and Learning: Valuing Economic Risk," NBER Working Papers 12948, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    3. Isaac Kleshchelski & Nicolas Vincent, 2007. "Robust Equilibrium Yield Curves," Cahiers de recherche 08-02, HEC Montréal, Institut d'économie appliquée. [Downloadable!]
    4. Long Chen & Lu Zhang, 2007. "Neoclassical Factors," NBER Working Papers 13282, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    5. 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. [Downloadable!]
    6. Ravi Bansal & Ivan Shaliastovich, 2009. "Confidence Risk and Asset Prices," NBER Working Papers 14815, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    7. Xavier Gabaix, 2007. "Linearity-Generating Processes: A Modelling Tool Yielding Closed Forms for Asset Prices," NBER Working Papers 13430, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  2. Mariano M. Croce & Marin Lettau & Sydney Ludvigson, 2006. "Investor Information, Long-Run Risk, and the Duration fo Risky Assets," 2006 Meeting Papers 628, Society for Economic Dynamics. [Downloadable!]

    Cited by:

    1. Lars Peter Hansen, 2007. "Beliefs, Doubts and Learning: Valuing Economic Risk," NBER Working Papers 12948, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  3. Lettau, Martin & Ludvigson, Sydney, 2005. "Euler Equation Errors," CEPR Discussion Papers 5245, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Other versions:

    Cited by:

    1. Raghu Suryanarayanan, 2006. "Implications of Anticipated Regret and Endogenous Beliefs for Equilibrium Asset Prices: A Theoretical Framework," CSEF Working Papers 162, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy. [Downloadable!]
    2. 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. [Downloadable!] (restricted)
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    3. 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. [Downloadable!]
    4. George M. Constantinides & Anisha Ghosh, 2008. "Asset Pricing Tests with Long Run Risks in Consumption Growth," NBER Working Papers 14543, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    5. Ravi Bansal & A. Ronald Gallant & George Tauchen, 2007. "Rational Pessimism, Rational Exuberance, and Asset Pricing Models," NBER Working Papers 13107, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  4. 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. [Downloadable!] (restricted)
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    Published as:

    Cited by:

    1. Peter C.B. Phillips & Donggyu Sul, 2007. "Transition Modeling and Econometric Convergence Tests," Cowles Foundation Discussion Papers 1595, Cowles Foundation, Yale University. [Downloadable!]
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    2. Lin Peng & Turan G. Bali, 2006. "Is there a risk-return trade-off? Evidence from high-frequency data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(8), pages 1169-1198. [Downloadable!]
    3. Anisha Ghosh & Oliver Linton, 2009. "Consistent estimation of the risk-return tradeoff in the presence of measurement error," Economics Working Papers we094928, Universidad Carlos III, Departamento de Economía. [Downloadable!]
    4. Lasse Bork & Hans Dewachter & Romain Houssa, 2009. "Identification of Macroeconomic Factors in Large Panels," CREATES Research Papers 2009-43, School of Economics and Management, University of Aarhus. [Downloadable!]
    5. Bork, Lasse, 2009. "Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach," Finance Research Group Working Papers F-2009-03, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]
    6. Lasse Bork, 2009. "Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach," CREATES Research Papers 2009-11, School of Economics and Management, University of Aarhus. [Downloadable!]
    7. Hui Guo & Robert Savickas & Zijun Wang & Jian Yang, 2006. "Is value premium a proxy for time-varying investment opportunities: some time series evidence," Working Papers 2005-026, Federal Reserve Bank of St. Louis. [Downloadable!]
    8. Gloria González-Rivera & Tae-Hwy Lee, 2007. "Nonlinear Time Series in Financial Forecasting," Working Papers 200803, University of California at Riverside, Department of Economics, revised Feb 2008. [Downloadable!]

  5. Martin Lettau & Sydney C. Ludvigson, 2004. "The Declining Equity Premium: What Role Does Macroeconomic Risk Play?," 2004 Meeting Papers 644, Society for Economic Dynamics. [Downloadable!]
    Other versions:

    Cited by:

    1. Loriana Pelizzon & Monica Billio & Mila Getmansky, 2008. "Crisis and Hedge Fund Risk," Working Papers 2008_10, University of Venice "Ca' Foscari", Department of Economics. [Downloadable!]
    2. Kenneth S. Rogoff, 2006. "Impact of globalization on monetary policy," Proceedings, Federal Reserve Bank of Kansas City, pages 265-305. [Downloadable!]
    3. Massimiliano De Santis, 2005. "Interpreting Aggregate Stock Market Behavior: How Far Can the Standard Model Go?," Money Macro and Finance (MMF) Research Group Conference 2005 5, Money Macro and Finance Research Group. [Downloadable!]
    4. Sanjay Banerjee & Parantap Basu, 2005. " Uninsured Risks, Loan Contracts and the Declining Equity Premium," CDMA Conference Paper Series 0502, Centre for Dynamic Macroeconomic Analysis. [Downloadable!]
    5. Massimiliano De Santis, 2005. "Movements in the Equity Premium: Evidence from a Bayesian Time-Varying VAR," Money Macro and Finance (MMF) Research Group Conference 2005 62, Money Macro and Finance Research Group. [Downloadable!]
    6. Keith Sill, 2006. "Macroeconomic volatility and the equity premium," Working Papers 06-1, Federal Reserve Bank of Philadelphia. [Downloadable!]
    7. Monica Billio & Mila Getmansky & Loriana Pelizzon, 2007. "Dynamic Risk Exposure in Hedge Funds," Working Papers 2007_17, University of Venice "Ca' Foscari", Department of Economics. [Downloadable!]
    8. Laurent E. Calvet & Adlai J. Fisher, 2006. "Multifrequency Jump-Diffusions: An Equilibrium Approach," NBER Working Papers 12797, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    9. James M. Nason & Gregor W. Smith, 2008. "Great moderations and U.S. interest rates: unconditional evidence," Working Paper 2008-01, Federal Reserve Bank of Atlanta. [Downloadable!]
      Other versions:
    10. Lieven Baele & Geert Bekaert & Koen Inghelbrecht, 2007. "The determinants of stock and bond return comovements," Research series 200711-27, National Bank of Belgium. [Downloadable!]
      Other versions:
    11. Peter Spencer, 2007. "Macro volatility in a model of the UK Gilt edged bond market," Money Macro and Finance (MMF) Research Group Conference 2006 73, Money Macro and Finance Research Group. [Downloadable!]
    12. Laurent E. Calvet & Adlai J. Fisher, 2005. "Multifrequency News and Stock Returns," NBER Working Papers 11441, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    13. David Backus & Bryan Routledge & Stanley Zin, 2004. "Exotic Preferences for Macroeconomists," NBER Working Papers 10597, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    14. Ravi Bansal, 2007. "Long-Run Risks and Financial Markets," NBER Working Papers 13196, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    15. Renatas Kizys & Peter Spencer, 2007. "Assessing the Relation between Equity Risk Premium and Macroeconomic Volatilities in the UK," Discussion Papers 07/13, Department of Economics, University of York. [Downloadable!]
    16. Sean D. Campbell, 2005. "Stock market volatility and the Great Moderation," Finance and Economics Discussion Series 2005-47, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    17. Frode Brevik & Stefano d'Addona, 2005. "Information Quality and Stock Returns Revisited," Finance 0511006, EconWPA, revised 28 Nov 2005. [Downloadable!]
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    18. Tim Bollerslev & Tzuo Hao & George Tauchen, 2008. "Expected Stock Returns and Variance Risk Premia," CREATES Research Papers 2008-48, School of Economics and Management, University of Aarhus. [Downloadable!]
      Other versions:
    19. Walentin, Karl, 2007. "Earnings Inequality and the Equity Premium," Working Paper Series 215, Sveriges Riksbank (Central Bank of Sweden). [Downloadable!]
    20. Peter C. B. Phillips & Yangru Wu & Jun Yu, 2007. "Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?," Working Papers 222007, Hong Kong Institute for Monetary Research. [Downloadable!]
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    21. Scheffel, Eric, 2008. "A Credit-Banking Explanation of the Equity Premium, Term Premium, and Risk-Free Rate Puzzles," Cardiff Economics Working Papers E2008/30, Cardiff University, Cardiff Business School, Economics Section. [Downloadable!]
    22. Marie Brière & Ombretta Signori & Kokou Topeglo, 2006. "Bond Market “Conundrum”: New Factors Explaining Long-term Interest Rates?," Working Papers CEB 06-024.RS, Université Libre de Bruxelles, Solvay Brussels School of Economics and Management, Centre Emile Bernheim (CEB). [Downloadable!]
    23. Andrew Vivian, 2007. "The Equity Premium: 100 Years of Empirical Evidence from the UK," CRIEFF Discussion Papers 0711, Centre for Research into Industry, Enterprise, Finance and the Firm. [Downloadable!]
    24. Andrew B. Abel, 2006. "Equity Premia with Benchmark Levels of Consumption: Closed-Form Results," NBER Working Papers 12290, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    25. Mark Gertler, 2003. "Whither monetary and financial stability? : the implications of evolving policy regimes : commentary," Proceedings, Federal Reserve Bank of Kansas City, pages 213-223. [Downloadable!]
    26. Hanno Lustig & Stijn Van Nieuwerburgh, 2006. "Can Housing Collateral Explain Long-Run Swings in Asset Returns?," NBER Working Papers 12766, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    27. Wei-Choun Yu, 2008. "Macroeconomic and financial market volatilities: an empirical evidence of factor model," Economics Bulletin, Economics Bulletin, vol. 3(33), pages 1-18. [Downloadable!]
    28. Ravi Bansal, 2007. "Long-run risks and financial markets," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 283-300. [Downloadable!]
    29. John M Maheu & Thomas H McCurdy, 2007. "How useful are historical data for forecasting the long-run equity return distribution?," Working Papers tecipa-293, University of Toronto, Department of Economics. [Downloadable!]
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    30. Chiaki Hara, 2009. "Heterogeneous Impatience in a Continuous-Time Model," KIER Working Papers 665, Kyoto University, Institute of Economic Research. [Downloadable!]
    31. George M. Constantinides & Anisha Ghosh, 2008. "Asset Pricing Tests with Long Run Risks in Consumption Growth," NBER Working Papers 14543, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    32. Renatas Kizys & Peter Spencer, 2007. "Assessing the Relation between Equity Risk Premia and Macroeconomic Volatilities," Money Macro and Finance (MMF) Research Group Conference 2006 140, Money Macro and Finance Research Group. [Downloadable!]
    33. Sean D. Campbell, 2004. "Macroeconomic volatility, predictability and uncertainty in the Great Moderation: evidence from the survey of professional forecasters," Finance and Economics Discussion Series 2004-52, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]

  6. 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. [Downloadable!] (restricted)

    Cited by:

    1. Kareen Rozen, 2008. "Foundations of Intrinsic Habit Formation," Cowles Foundation Discussion Papers 1642, Cowles Foundation, Yale University. [Downloadable!]
      Other versions:

  7. 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. [Downloadable!]

    Cited by:

    1. Araújo, Fabio & Issler, João Victor & Fernandes, Marcelo, 2006. "A Stochastic Discount Factor Approach to Asset Pricing Using Panel Data," Economics Working Papers (Ensaios Economicos da EPGE) 628, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
    2. Aase, Knut K., 2004. "Jump Dynamics: The Equity Premium and the Risk-Free Rate Puzzles," Discussion Papers 2004/12, Department of Finance and Management Science, Norwegian School of Economics and Business Administration. [Downloadable!]
    3. Sanjay K. Chugh, 2005. "Optimal Inflation Persistence: Ramsey Taxation with Capital and Habits," Computing in Economics and Finance 2005 369, Society for Computational Economics. [Downloadable!]

  8. 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.

    Cited by:

    1. Yu Chen & Thomas Cosimano & Alex Himonas, 2008. "Solving an asset pricing model with hybrid internal and external habits, and autocorrelated Gaussian shocks," Annals of Finance, Springer, vol. 4(3), pages 305-344, July. [Downloadable!] (restricted)

  9. Martin Lettau & Sydney Ludvigson, 2003. "Expected Returns and Expected Dividend Growth," NBER Working Papers 9605, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
    Published as:

    Cited by:

    1. Anne Vila Wetherilt & Simon Wells, . "Long-horizon equity return predictability: some new evidence for the United Kingdom," Bank of England working papers 244, Bank of England. [Downloadable!]
    2. Hanno Lustig & Stijn Van Nieuwerburgh & Adrien Verdelhan, 2008. "The Wealth-Consumption Ratio," NBER Working Papers 13896, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    3. Ravi Bansal & Varoujan Khatachtrian & Amir Yaron, 2002. "Interpretable Asset Markets?," NBER Working Papers 9383, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    4. Bekaert, Geert & Engstrom, Eric & Grenadier, Steve, 2006. "Stock and Bond Returns with Moody Investors," CEPR Discussion Papers 5951, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    5. Wiliam Branch & George W. Evans, 2006. "Asset Return Dynamics and Learning," University of Oregon Economics Department Working Papers 2006-14, University of Oregon Economics Department. [Downloadable!]
    6. Martin Lettau & Jessica A. Wachter, 2009. "The Term Structures of Equity and Interest Rates," NBER Working Papers 14698, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    7. Tom Engsted & Thomas Q. Pedersen, 2009. "The dividend-price ratio does predict dividend growth: International evidence," CREATES Research Papers 2009-36, School of Economics and Management, University of Aarhus. [Downloadable!]
    8. John H. Cochrane, 2006. "The Dog That Did Not Bark: A Defense of Return Predictability," NBER Working Papers 12026, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    9. Stig V. Møller, 2007. "Habit persistence: Explaining cross sectional variation in returns and time-varying expected returns," CREATES Research Papers 2007-07, School of Economics and Management, University of Aarhus. [Downloadable!]
    10. Mathias Hoffmann, 2006. "Proprietary Income, Entrepreneurial Risk, and the Predictability of U.S. Stock Returns," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
      Other versions:
    11. Lettau, Martin & Ludvigson, Sydney, 2005. "Euler Equation Errors," CEPR Discussion Papers 4922, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    12. Andrew Vivian, 2007. "The Equity Premium: 100 Years of Empirical Evidence from the UK," CRIEFF Discussion Papers 0711, Centre for Research into Industry, Enterprise, Finance and the Firm. [Downloadable!]
    13. Lettau, Martin & Wachter, Jessica, 2005. "Why is Long-Horizon Equity Less Risky? A Duration-based Explanation of the Value Premium," CEPR Discussion Papers 4921, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    14. Andrea Tamoni & Arie E.Gozluklu & Carlo A.Favero, 2008. "Demographics and fluctuations in Dividend/Price," Working Papers 345, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
    15. Rangvid, Jesper, 2002. "Output and Expected Returns - a multicountry study," Working Papers 2002-8, Copenhagen Business School, Department of Finance. [Downloadable!]
    16. Simon Price & Christoph Schleicher, . "Returns to equity, investment and Q: evidence from the United Kingdom," Bank of England working papers 310, Bank of England. [Downloadable!]
    17. Martin Lettau & Sydney C. Ludvigson & Jessica A. Wachter, 2004. "The Declining Equity Premium: What Role Does Macroeconomic Risk Play?," NBER Working Papers 10270, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    18. Møller, Stig Vinther, 2008. "Habit persistence: Explaining cross-sectional variation in returns and time-varying expected returns," Finance Research Group Working Papers F-2008-04, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]
    19. Andrew Vivian, 2005. "The Equity Premium: 101 years of Empirical Evidence from the UK," Money Macro and Finance (MMF) Research Group Conference 2005 92, Money Macro and Finance Research Group. [Downloadable!]
    20. Ravi Bansal & A. Ronald Gallant & George Tauchen, 2007. "Rational Pessimism, Rational Exuberance, and Asset Pricing Models," NBER Working Papers 13107, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    21. Simon Price, 2004. "UK investment and the return to equity: Q redux," Money Macro and Finance (MMF) Research Group Conference 2004 87, Money Macro and Finance Research Group. [Downloadable!]
    22. Renatas Kizys & Peter Spencer, 2007. "Assessing the Relation between Equity Risk Premia and Macroeconomic Volatilities," Money Macro and Finance (MMF) Research Group Conference 2006 140, Money Macro and Finance Research Group. [Downloadable!]
    23. Jacob Boudoukh & Matthew Richardson & Robert Whitelaw, 2005. "The Myth of Long-Horizon Predictability," NBER Working Papers 11841, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    24. Juan M. Londoño & Marta Regulez & Jesús Vázquez, 2008. "Another Look to the Price-Dividend Ratio: A Markov-Switching Approach," DFAEII Working Papers 200809, University of the Basque Country - Department of Foundations of Economic Analysis II. [Downloadable!]

  10. 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. [Downloadable!] (restricted)
    Published as:

    Cited by:

    1. Edward E. Leamer, 2007. "Housing is the business cycle," Proceedings, Federal Reserve Bank of Kansas City, pages 149-233. [Downloadable!]
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    2. Fabio Milani, 2008. "Learning about the Interdependence between the Macroeconomy and the Stock Market," Working Papers 070819, University of California-Irvine, Department of Economics. [Downloadable!]
    3. Paul Gao & Kevin X.D. Huang, 2004. "Aggregate consumption-wealth ratio and the cross-section of stock returns: some international evidence," Research Working Paper RWP 04-07, Federal Reserve Bank of Kansas City. [Downloadable!]
    4. Malcolm Baker & Stefan Nagel & Jeffrey Wurgler, 2006. "The Effect of Dividends on Consumption," NBER Working Papers 12288, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    5. Gary Koop & Simon M. Potter & Rodney W. Strachan, 2005. "Reexamining the consumption-wealth relationship: the role of model uncertainty," Staff Reports 202, Federal Reserve Bank of New York. [Downloadable!]
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    6. Giulio Cifarelli & Giovanna Paladino, 2007. "The buffer stock model redux? An analysis of the dynamics of foreign reserve accumulation," Working Papers Series wp2007_02.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze Economiche. [Downloadable!]
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    7. Christian Dreger & Jürgen Wolters, 2008. "Money Velocity and Asset Prices in the Euro Area," Working Paper / FINESS 7.1b, DIW Berlin, German Institute for Economic Research. [Downloadable!]
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    8. Pascal St-Amour, 2005. "Direct Preference for Wealth in Aggregate Household Portfolio," Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) 05.04, Université de Lausanne, Faculté des HEC, DEEP. [Downloadable!]
    9. Christopher D. Carroll & Jirka Slacalek & Martin Sommer, 2008. "International Evidence On Sticky Consumption Growth," CFS Working Paper Series 2008/09, Center for Financial Studies. [Downloadable!]
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    10. Vasco Gabriel & Fernando Alexandre & Pedro Bação, 2007. "The Consumption-Wealth Ratio Under Asymmetric Adjustment," GEMF Working Papers 2007-06, GEMF - Faculdade de Economia, Universidade de Coimbra. [Downloadable!]
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    11. Yasemin Barlas Ozer & Kam-Ki Tang, . "This paper investigates the financial and housing wealth effects on aggregate private consumption in Turkey for the period 1987-2007. Given the lack of data, the study proposes an innovative method to," MRG Discussion Paper Series 2809, School of Economics, University of Queensland, Australia. [Downloadable!]
    12. Hamburg, Britta & Hoffmann, Mathias & Keller, Joachim, 2005. "Consumption, wealth and business cycles : why is Germany different?," Discussion Paper Series 1: Economic Studies 2005,16, Deutsche Bundesbank, Research Centre. [Downloadable!]
    13. Tuomas A. Peltonen & Ricardo M. Sousa & Isabel S. Vansteenkiste, 2009. "Wealth Effects in Emerging Market Economies," NIPE Working Papers 4/2009, NIPE - Universidade do Minho. [Downloadable!]
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    14. Britta Hamburg & Mathias Hoffmann & Joachim Keller, 2008. "Consumption, wealth and business cycles in Germany," Empirical Economics, Springer, vol. 34(3), pages 451-476, June. [Downloadable!] (restricted)
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    15. Michael R. Donihue & Andriy Avramenko, 2006. "Decomposing consumer wealth effects: evidence on the role of real estate assets following the wealth cycle of 1990-2002," Working Papers 06-15, Federal Reserve Bank of Boston. [Downloadable!]
    16. Salotti, Simone, 2009. "Wealth effect in the US: evidence from brand new micro-data," MPRA Paper 17732, University Library of Munich, Germany. [Downloadable!]
    17. Muellbauer, John, 2007. "Housing and Personal Wealth in a Global Context," Working Papers UNU-WIDER Research Paper , World Institute for Development Economic Research (UNU-WIDER). [Downloadable!]
    18. Mathias Hoffmann & Thomas Nitschka, 2008. "Securitization of Mortgage Debt, Asset Prices and International Risk Sharing," IEW - Working Papers iewwp376, Institute for Empirical Research in Economics - IEW. [Downloadable!]
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    19. Peter N. Ireland, 2005. "The Monetary Transmission Mechanism," Boston College Working Papers in Economics 628, Boston College Department of Economics. [Downloadable!]
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    20. Filippo Cesarano & Giulio Cifarelli & Gianni Toniolo, 2009. "Exchange Rate Regimes and Reserve Policy on the Periphery: The Italian Lira 1883-1911," Working Papers Series wp2009_11.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze Economiche. [Downloadable!]
    21. John N. Muellbauer, 2007. "Housing, credit and consumer expenditure," Proceedings, Federal Reserve Bank of Kansas City, pages 267- 334. [Downloadable!]
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    22. Jiri Slacalek, 2006. "International Wealth Effects," Computing in Economics and Finance 2006 425, Society for Computational Economics. [Downloadable!]
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    23. Borja Larrain & Motohiro Yogo, 2005. "Does firm value move too much to be justified by subsequent changes in cash flow?," Working Papers 05-18, Federal Reserve Bank of Boston. [Downloadable!]
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    24. Pierre Lafourcade, 2008. "Are Asset Returns Predictable from the National Accounts?," DNB Working Papers 189, Netherlands Central Bank, Research Department. [Downloadable!]
    25. Kevin X. D. Huang & Zheng Liu & Qi Zhu, 2006. "Temptation and self-control: some evidence and applications," Staff Report 367, Federal Reserve Bank of Minneapolis. [Downloadable!]
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    26. Andrés González Gómez & Lavan Mahadeva & Diego Rodríguez & Luis Eduardo Rojas, 2009. "Monetary Policy Forecasting In A Dsge Model With Data That Is Uncertain, Unbalanced And About The Future," BORRADORES DE ECONOMIA 005480, BANCO DE LA REPÚBLICA. [Downloadable!]
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    27. Jeremy Rudd & Karl Whelan, 2006. "Empirical Proxies for the Consumption-Wealth Ratio," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 9(1), pages 34-51, January. [Downloadable!] (restricted)
    28. Fabio C. Bagliano & Claudio Morana, 2008. "Permanent and Transitory Dynamics in House Prices and Consumption: Cross-Country Evidence," Working Papers 2, University of Torino, Department of Economics and Public Finance "G. Prato". [Downloadable!]
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    29. Piergiorgio Alessandri, 2004. "Aggregate Consumption and the Stock Market: Should We Worry about Non-linear Wealth Effects?," Birkbeck Working Papers in Economics and Finance 0410, Birkbeck, Department of Economics, Mathematics & Statistics. [Downloadable!]
    30. Vincent Labhard & Gabriel Sterne & Chris Young, . "Wealth and consumption: an assessment of the international evidence," Bank of England working papers 275, Bank of England. [Downloadable!]
    31. 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. [Downloadable!] (restricted)
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    32. Qiang Zhang, 2006. "The Spirit of Capitalism and Asset Pricing: an Empirical Investigation," CIRJE F-Series CIRJE-F-428, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
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    33. Christopher D. Carroll & Misuzu Otsuka & Jirka Slacalek, 2006. "How Large Is the Housing Wealth Effect? A New Approach," Economics Working Paper Archive 535, The Johns Hopkins University,Department of Economics. [Downloadable!]
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    34. Mathias Hoffmann, 2006. "Proprietary Income, Entrepreneurial Risk, and the Predictability of U.S. Stock Returns," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
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    35. Yasser Abdih & Evan Tanner, 2009. "Frugality: Are We Fretting Too Much? Household Saving and Assets in the United States," IMF Working Papers 09/197, International Monetary Fund. [Downloadable!]
    36. Stephen Millard & John Power, . "The effects of stock market movements on consumption and investment: does the shock matter?," Bank of England working papers 236, Bank of England. [Downloadable!]
    37. Andrea Tamoni & Arie E.Gozluklu & Carlo A.Favero, 2008. "Demographics and fluctuations in Dividend/Price," Working Papers 345, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
    38. Ricardo M. Sousa, 2007. "Expectations, Shocks, and Asset Returns," NIPE Working Papers 29/2007, NIPE - Universidade do Minho. [Downloadable!]
    39. Ulrich Mueller & Mark W. Watson, 2006. "Testing Models of Low-Frequency Variability," NBER Working Papers 12671, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    40. Qiang Zhang, 2004. "Accounting for Human Capital and Weak Identification in Evaluating the Esptein-Zin-Weil Non-Expected Utility Model of Asset Pricing," CIRJE F-Series CIRJE-F-289, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
    41. Mark Gertler, 2003. "Whither monetary and financial stability? : the implications of evolving policy regimes : commentary," Proceedings, Federal Reserve Bank of Kansas City, pages 213-223. [Downloadable!]
    42. Kevin X.D. Huang & Zheng Liu & Qi Zhu, 2005. "Temptation and Self-Control: Some Evidence from the Consumer Expenditure Survey," Emory Economics 0507, Department of Economics, Emory University (Atlanta). [Downloadable!]
      Other versions:
    43. Simon Price & Christoph Schleicher, . "Returns to equity, investment and Q: evidence from the United Kingdom," Bank of England working papers 310, Bank of England. [Downloadable!]
    44. Alexander Ludwig & Torsten Sløk, 2004. "The relationship between stock prices, house prices and consumption in OECD countries," MEA discussion paper series 04044, Mannheim Research Institute for the Economics of Aging (MEA), University of Mannheim. [Downloadable!]
      Other versions:
    45. Thomas Nitschka, 2005. "The U.S. consumption-wealth ratio and foreign stock markets: International evidence for return predictability," Money Macro and Finance (MMF) Research Group Conference 2005 22, Money Macro and Finance Research Group. [Downloadable!]
    46. J. Benjamin & P. Chinloy, 2008. "Home Equity, Household Savings and Consumption," The Journal of Real Estate Finance and Economics, Springer, vol. 37(1), pages 21-32, July. [Downloadable!] (restricted)
    47. Ludwig, Alexander & Sløk, Torsten, 2004. "The relationship between stock prices, house prices and consumption in OECD," Sonderforschungsbereich 504 Publications 04-12, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim. [Downloadable!]
    48. Mattias Villani, 2009. "Steady-state priors for vector autoregressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(4), pages 630-650. [Downloadable!]
    49. Simon Price, 2004. "UK investment and the return to equity: Q redux," Money Macro and Finance (MMF) Research Group Conference 2004 87, Money Macro and Finance Research Group. [Downloadable!]
    50. Gary Koop & Roberto Leon-Gonzalez & Rodney W. Strachan, 2008. "Dynamic probabilities of restrictions in state space models: An application to the Phillips curve," Working Paper Series 26-08, Rimini Centre for Economic Analysis, revised Jan 2008. [Downloadable!]
    51. Marcel Fratzscher & Roland Straub, 2009. "Asset Prices and Current Account Fluctuations in G7 Economies," Working Paper Series 1014, European Central Bank. [Downloadable!]
      Other versions:
    52. Alpo Willman, 2007. "Sequential optimization, front-loaded information, and U.S. consumption," Working Paper Series 765, European Central Bank. [Downloadable!]

  11. 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. [Downloadable!] (restricted)

    Cited by:

    1. Rangvid, Jesper, 2002. "Output and Expected Returns - a multicountry study," Working Papers 2002-8, Copenhagen Business School, Department of Finance. [Downloadable!]

  12. Martin Lettau & Sydney Ludvigson & Nathan Barczi, 2001. "A primer on the economics and time series econometrics of wealth effects: a comment," Staff Reports 131, Federal Reserve Bank of New York. [Downloadable!]

    Cited by:

    1. Alexander Ludwig & Torsten Sløk, 2002. "The Impact of Changes in Stock Prices and House Prices on Consumption in OECD Countries," IMF Working Papers 02/1, International Monetary Fund. [Downloadable!]
    2. Michael R. Donihue & Andriy Avramenko, 2006. "Decomposing consumer wealth effects: evidence on the role of real estate assets following the wealth cycle of 1990-2002," Working Papers 06-15, Federal Reserve Bank of Boston. [Downloadable!]
    3. Nikola Dvornak & Marion Kohler, 2003. "Housing Wealth, Stock Market Wealth and Consumption: A Panel Analysis for Australia," RBA Research Discussion Papers rdp2003-07, Reserve Bank of Australia. [Downloadable!]
      Other versions:
    4. Emilio Fernandez-Corugedo & Simon Price & Andrew Blake, . "The dynamics of consumers' expenditure: the UK consumption ECM redux," Bank of England working papers 204, Bank of England. [Downloadable!]
    5. Alexander Ludwig & Torsten Sløk, 2004. "The relationship between stock prices, house prices and consumption in OECD countries," MEA discussion paper series 04044, Mannheim Research Institute for the Economics of Aging (MEA), University of Mannheim. [Downloadable!]
      Other versions:
    6. Ludwig, Alexander & Sløk, Torsten, 2004. "The relationship between stock prices, house prices and consumption in OECD," Sonderforschungsbereich 504 Publications 04-12, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim. [Downloadable!]
    7. Lise Pichette & Dominique Tremblay, 2003. "Are Wealth Effects Important for Canada?," Working Papers 03-30, Bank of Canada. [Downloadable!]
      Other versions:

  13. 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. [Downloadable!] (restricted)

    Cited by:

    1. Alexander Ludwig & Torsten Sløk, 2002. "The Impact of Changes in Stock Prices and House Prices on Consumption in OECD Countries," IMF Working Papers 02/1, International Monetary Fund. [Downloadable!]
    2. Laurent Clerk & Christian Pfister, 2003. "The role of financial factors in the transmission of monetary policy," BIS Papers chapters, in: Bank for International Settlements (ed.), Monetary policy in a changing environment, volume 19, pages 192-212 Bank for International Settlements. [Downloadable!]
    3. Lise Pichette & Dominique Tremblay, 2003. "Are Wealth Effects Important for Canada?," Working Papers 03-30, Bank of Canada. [Downloadable!]
      Other versions:

  14. 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. [Downloadable!] (restricted)
    Published as:

    Cited by:

    1. François Gourio, 2009. "Disasters Risk and Business Cycles," NBER Working Papers 15399, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    2. Jorge Selaive & Vicente Tuesta, 2004. "Can Fluctuations in the Consumption-Wealth Ratio Help to Predict Exchange Rates?," International Finance 0404014, EconWPA. [Downloadable!]
      Other versions:
    3. Thomas Philippon, 2006. "The Bond Market's q," NBER Working Papers 12462, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    4. Javier Gómez, 2004. "Inflation Targeting and Sudden Stops," BORRADORES DE ECONOMIA 002854, BANCO DE LA REPÚBLICA. [Downloadable!]
    5. Demetrios Eliades & Olaf Weeken, . "The stock market and capital accumulation: an application to UK data," Bank of England working papers 251, Bank of England. [Downloadable!]
    6. Hui Guo & Robert Savickas, 2006. "Idiosyncratic volatility, economic fundamentals, and foreign exchange rates," Working Papers 2005-025, Federal Reserve Bank of St. Louis. [Downloadable!]
    7. Jeremy J. Nalewaik, 2004. "Current Consumption and Future Income Growth: Synthetic Panel Evidence," BEA Working Papers 0015, Bureau of Economic Analysis. [Downloadable!]
    8. Long Chen & Lu Zhang, 2007. "Neoclassical Factors," NBER Working Papers 13282, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    9. Stephen Millard & John Power, . "The effects of stock market movements on consumption and investment: does the shock matter?," Bank of England working papers 236, Bank of England. [Downloadable!]
    10. 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. [Downloadable!] (restricted)
    11. Gomes, Joao F & Yaron, Amir & Zhang, Lu, 2002. "Asset Pricing Implications of Firms' Financing Constraints," CEPR Discussion Papers 3495, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    12. Simon Price & Christoph Schleicher, . "Returns to equity, investment and Q: evidence from the United Kingdom," Bank of England working papers 310, Bank of England. [Downloadable!]
    13. Colin Ellis & Simon Price, . "UK business investment: long-run elasticities and short-run dynamics," Bank of England working papers 196, Bank of England. [Downloadable!]
      Other versions:
    14. Simon Price, 2004. "UK investment and the return to equity: Q redux," Money Macro and Finance (MMF) Research Group Conference 2004 87, Money Macro and Finance Research Group. [Downloadable!]
    15. Javier Gómez Pineda, . "Inflation Targeting, Sudden Stops and the Cost of Fear of Floating," Borradores de Economia 276, Banco de la Republica de Colombia. [Downloadable!]

  15. Lettau, Martin & Ludvigson, Sydney, 1999. "Consumption, Aggregate Wealth and Expected Stock Returns," CEPR Discussion Papers 2223, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Other versions:

    Cited by:

    1. 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. [Downloadable!] (restricted)
    2. Pu Shen, 2002. "Market timing strategies that worked," Research Working Paper RWP 02-01, Federal Reserve Bank of Kansas City. [Downloadable!]
    3. Bacchetta, Philippe & Mertens, Elmar & van Wincoop, Eric, 2006. "Predictability in Financial Markets: What Do Survey Expectations Tell Us?," CEPR Discussion Papers 5770, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    4. Charles Ka Yui Leung & Nan-Kuang Chen & Chih-Chiang Hsu, 2004. "Structural Break or Asymmetry? An Empirical Study of the Stock Wealth Effect on Consumption," Econometric Society 2004 Far Eastern Meetings 690, Econometric Society. [Downloadable!]
    5. Hanno Lustig, 2004. "Housing Collateral, Consumption Insurance and Risk Premia: an Empirical Perspective (joint with Stijn Van Nieuwerburgh), forthcoming Journal of Finance," UCLA Economics Online Papers 300, UCLA Department of Economics. [Downloadable!]
    6. Hui Guo & Robert Savickas, 2003. "On the cross section of conditionally expected stock returns," Working Papers 2003-043, Federal Reserve Bank of St. Louis. [Downloadable!]
    7. Edward E. Leamer, 2007. "Housing is the business cycle," Proceedings, Federal Reserve Bank of Kansas City, pages 149-233. [Downloadable!]
      Other versions:
    8. Hanno Lustig & Stijn Van Nieuwerburgh & Adrien Verdelhan, 2008. "The Wealth-Consumption Ratio," NBER Working Papers 13896, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    9. Paul Gao & Kevin X.D. Huang, 2004. "Aggregate consumption-wealth ratio and the cross-section of stock returns: some international evidence," Research Working Paper RWP 04-07, Federal Reserve Bank of Kansas City. [Downloadable!]
    10. Sydney Ludvigson & Charles Steindel & Martin Lettau, 2002. "Monetary policy transmission through the consumption-wealth channel," Economic Policy Review, Federal Reserve Bank of New York, issue May, pages 117-133. [Downloadable!]
    11. Charlotte S. Hansen & Bjorn E. Tuypens, 2004. "Long-Run Regressions: Theory and Application to US Asset Markets," Finance 0410018, EconWPA. [Downloadable!]
    12. Gary Koop & Simon M. Potter & Rodney W. Strachan, 2005. "Reexamining the consumption-wealth relationship: the role of model uncertainty," Staff Reports 202, Federal Reserve Bank of New York. [Downloadable!]
      Other versions:
    13. Tim Bollerslev & Michael Gibson & Hao Zhou, 2007. "Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities," CREATES Research Papers 2007-16, School of Economics and Management, University of Aarhus. [Downloadable!]
      Other versions:
    14. Li, Qing & Vassalou, Maria & Xing, Yuhang, 2001. "An Investment-Growth Asset Pricing Model," CEPR Discussion Papers 3058, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    15. Jorge Selaive & Vicente Tuesta, 2004. "Can Fluctuations in the Consumption-Wealth Ratio Help to Predict Exchange Rates?," International Finance 0404014, EconWPA. [Downloadable!]
      Other versions:
    16. Laurence Fung & Ip-wing Yu, 2008. "Predicting Stock Market Returns by Combining Forecasts," Working Papers 0801, Hong Kong Monetary Authority. [Downloadable!]
    17. Pierre-Olivier Gourinchas & Helene Rey, 2005. "International Financial Adjustment," NBER Working Papers 11155, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    18. Sean D. Campbell & Francis X. Diebold, 2005. "Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence," NBER Working Papers 11736, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    19. Monika Piazzesi & Martin Schneider & Selale Tuzel, 2006. "Housing, Consumption, and Asset Pricing," NBER Working Papers 12036, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    20. Fang Xu, 2005. "Does Consumption-Wealth Ratio Signal Stock Returns? - VECM Results for Germany," Economics Bulletin, Economics Bulletin, vol. 3(30), pages 1-13. [Downloadable!]
      Other versions:
    21. Hui Guo & Robert F. Whitelaw, 2003. "Uncovering the Risk-Return Relation in the Stock Market," NBER Working Papers 9927, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    22. Illing, Gerhard & Klüh, Ulrich, 2004. "Vermögenspreise und Konsum," Discussion Papers in Economics 316, University of Munich, Department of Economics. [Downloadable!]
    23. Hui Guo & Zijun Wang & Jian Yang, 2006. "Does aggregate relative risk aversion change countercyclically over time? evidence from the stock market," Working Papers 2006-047, Federal Reserve Bank of St. Louis. [Downloadable!]
    24. Antonio Falato, 2008. "Happiness maintenance and asset prices," Finance and Economics Discussion Series 2008-19, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    25. Hui Guo, 2003. "On the out-of-sample predictability of stock market returns," Working Papers 2002-008, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    26. Ángel León & Juan Nave & Gonzalo Rubio, 2005. "The Relationship between Risk and Expected Return in Europe," DFAEII Working Papers 200508, University of the Basque Country - Department of Foundations of Economic Analysis II, revised 04 Jul 2006. [Downloadable!]
    27. John Y. Campbell & Samuel B. Thompson, 2005. "Predicting the Equity Premium Out of Sample: Can Anything Beat the Historical Average?," NBER Working Papers 11468, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    28. Belén Nieto & Rosa Rodríguez & Rosa Rodríguez- Barrera, 2002. "The Consumption-Wealth And Book-To-Market Ratios In A Dynamic Asset Pricing Context," Working Papers. Serie EC 2002-24, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
    29. Hamburg, Britta & Hoffmann, Mathias & Keller, Joachim, 2005. "Consumption, wealth and business cycles : why is Germany different?," Discussion Paper Series 1: Economic Studies 2005,16, Deutsche Bundesbank, Research Centre. [Downloadable!]
    30. Wayne E. Ferson & Sergei Sarkissian & Timothy Simin, 2002. "Spurious Regressions in Financial Economics?," NBER Working Papers 9143, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    31. Jorge A. Chan-Lau, 2006. "Is Systematic Default Risk Priced in Equity Returns? A Cross-Sectional Analysis Using Credit Derivatives Prices," IMF Working Papers 06/148, International Monetary Fund. [Downloadable!]
    32. L. Pozzi, 2005. "Income uncertainty and aggregate consumption," Research series 200511-2, National Bank of Belgium. [Downloadable!]
    33. Valadkhani, Abbas & Layton, Allan P. & Karunaratne, Neil D., 2005. "Export Price Volatility in Australia: An Application of ARCH and GARCH Models," Economics Working Papers wp05-11, School of Economics, University of Wollongong, NSW, Australia. [Downloadable!]
    34. Britta Hamburg & Mathias Hoffmann & Joachim Keller, 2008. "Consumption, wealth and business cycles in Germany," Empirical Economics, Springer, vol. 34(3), pages 451-476, June. [Downloadable!] (restricted)
      Other versions:
    35. Michael R. Donihue & Andriy Avramenko, 2006. "Decomposing consumer wealth effects: evidence on the role of real estate assets following the wealth cycle of 1990-2002," Working Papers 06-15, Federal Reserve Bank of Boston. [Downloadable!]
    36. Emmanuel De Veirman & Ashley Dunstan, 2008. "How do Housing Wealth, Financial Wealth and Consumption Interact? Evidence from New Zealand," Reserve Bank of New Zealand Discussion Paper Series DP2008/05, Reserve Bank of New Zealand. [Downloadable!]
    37. Angelo Melino & Alan X. Yang, 2003. "State Dependent Preferences Can Explain the Equity Premium Puzzle," Working Papers melino-03-01, University of Toronto, Department of Economics. [Downloadable!]
      Other versions:
    38. Tano Santos & Pietro Veronesi, 2004. "Conditional Betas," NBER Working Papers 10413, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    39. Belén Nieto & Rosa Rodríguez, 2004. "Modelos De Valoracion De Activos Condicionales: Un Panorama Comparativo Con Datos Españoles," Documentos de Trabajo de Economía de la Empresa db040202, Universidad Carlos III, Departamento de Economía de la Empresa. [Downloadable!]
    40. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin (Ginger) Wu, 2005. "A Framework for Exploring the Macroeconomic Determinants of Systematic Risk," CFS Working Paper Series 2005/04, Center for Financial Studies. [Downloadable!]
      Other versions:
    41. Aoki, Shuhei & Kitahara, Minoru, 2008. "Measuring the Dynamic Cost of Living Index from Consumption Data," MPRA Paper 9802, University Library of Munich, Germany. [Downloadable!]
    42. John H. Cochrane & Monika Piazzesi, 2002. "Bond Risk Premia," NBER Working Papers 9178, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    43. Tano Santos & Pietro Veronesi, 2001. "Labor Income and Predictable Stock Returns," NBER Working Papers 8309, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    44. Schrimpf, Andreas, 2008. "International Stock Return Predictability Under Model Uncertainty," ZEW Discussion Papers 08-048, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research. [Downloadable!]
    45. Miguel A. Ferreira & Pedro Santa-Clara, 2008. "Forecasting Stock Market Returns: The Sum of the Parts is More than the Whole," NBER Working Papers 14571, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    46. Neil Kellard & John Nankervis & Fotis Papadimitriou, 2007. "Predicting the UK Equity Premium with Dividend Ratios: An Out-Of-Sample Recursive Residuals Graphical Approach," Money Macro and Finance (MMF) Research Group Conference 2006 129, Money Macro and Finance Research Group. [Downloadable!]
    47. Hanno Lustig, 2004. "The Market Price of Aggregate Risk and the Wealth Distribution," UCLA Economics Online Papers 299, UCLA Department of Economics. [Downloadable!]
      Other versions:
    48. Mathias Hoffmann & Iryna Shcherbakova, 2008. "Consumption risk sharing over the business cycle: the role of small firms' access to credit markets," IEW - Working Papers iewwp363, Institute for Empirical Research in Economics - IEW. [Downloadable!]
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    49. Mathias Hoffmann & Thomas Nitschka, 2008. "Securitization of Mortgage Debt, Asset Prices and International Risk Sharing," IEW - Working Papers iewwp376, Institute for Empirical Research in Economics - IEW. [Downloadable!]
      Other versions:
    50. James H. Stock & Mark W. Watson, 2001. "Forecasting Output and Inflation: The Role of Asset Prices," NBER Working Papers 8180, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    51. Laurent E. Calvet & Adlai J. Fisher, 2005. "Multifrequency News and Stock Returns," NBER Working Papers 11441, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    52. Thomas Q. Pedersen, 2008. "Intertemporal Asset Allocation with Habit Formation in Preferences: An Approximate Analytical Solution," CREATES Research Papers 2008-60, School of Economics and Management, University of Aarhus. [Downloadable!]
    53. 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. [Downloadable!] (restricted)
      Other versions:
    54. Gene Amromin & Steven A. Sharpe, 2005. "From the horse's mouth: gauging conditional expected stock returns from investor surveys," Finance and Economics Discussion Series 2005-26, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
      Other versions:
    55. Juan Ignacio Pena & Rosa Rodriguez, 2006. "On The Economic Link Between Asset Prices And Real Activity," Business Economics Working Papers wb063209, Universidad Carlos III, Departamento de Economía de la Empresa. [Downloadable!]
    56. Jiri Slacalek, 2006. "International Wealth Effects," Computing in Economics and Finance 2006 425, Society for Computational Economics. [Downloadable!]
      Other versions:
    57. Hanno Lustig & Stijn Van Nieuwerburgh, 2002. "Housing Collateral, Consumption Insurance and Risk Premia," Macroeconomics 0211008, EconWPA. [Downloadable!]
    58. Jiang, Danling, 2006. "Investor Overreaction, Cross-Sectional Dispersion of Firm Valuations, and Expected Stock Returns," Working Paper Series 2006-8, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
    59. In Choi & Timothy K. Chue, 2006. "Subsampling-Based Tests of Stock-Return Predictability," Hi-Stat Discussion Paper Series d06-178, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
    60. Lorenzo Pozzi, 2007. "Idiosyncratic Labour Income Risk and Aggregate Consumption: an Unobserved Component Approach," Tinbergen Institute Discussion Papers 07-069/2, Tinbergen Institute. [Downloadable!]
    61. Pierre Lafourcade, 2008. "Are Asset Returns Predictable from the National Accounts?," DNB Working Papers 189, Netherlands Central Bank, Research Department. [Downloadable!]
    62. Bradley S. Paye & Allan Timmermann, 2002. "How stable are Financial Prediction Models? Evidence from US and International Stock Market Data," University of California at San Diego, Economics Working Paper Series 2002-13, Department of Economics, UC San Diego. [Downloadable!]
    63. Tim Bollerslev & Tzuo Hao & George Tauchen, 2008. "Expected Stock Returns and Variance Risk Premia," CREATES Research Papers 2008-48, School of Economics and Management, University of Aarhus. [Downloadable!]
      Other versions:
    64. Martin Lettau & Sydney Ludvigson & Nathan Barczi, 2001. "A primer on the economics and time series econometrics of wealth effects: a comment," Staff Reports 131, Federal Reserve Bank of New York. [Downloadable!]
    65. Gene Amromin & Steven A. Sharpe, 2008. "Expectations of risk and return among household investors: Are their Sharpe ratios countercyclical?," Finance and Economics Discussion Series 2008-17, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    66. Hui Guo & Robert Savickas, 2006. "Idiosyncratic volatility, economic fundamentals, and foreign exchange rates," Working Papers 2005-025, Federal Reserve Bank of St. Louis. [Downloadable!]
    67. Pascal St-Amour, 2004. "Ratchet vs Blasé Investors and Asset Markets," CIRANO Working Papers 2004s-11, CIRANO. [Downloadable!]
    68. Hui Guo, 2002. "Why are stock market returns correlated with future economic activities?," Review, Federal Reserve Bank of St. Louis, issue Mar., pages 19-34. [Downloadable!]
    69. Vincent Labhard & Gabriel Sterne & Chris Young, . "Wealth and consumption: an assessment of the international evidence," Bank of England working papers 275, Bank of England. [Downloadable!]
    70. Erik Hjalmarsson & Par Osterholm, 2007. "A residual-based cointegration test for near unit root variables," International Finance Discussion Papers 907, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    71. Massimo Guidolin & Allan Timmerman, 2005. "Size and value anomalies under regime shifts," Working Papers 2005-007, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:
    72. J. Annaert & W. Van Hyfte, 2006. "Long-Horizon Mean Reversion for the Brussels Stock Exchange: Evidence for the 19th Century," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 06/376, Ghent University, Faculty of Economics and Business Administration. [Downloadable!]
    73. Hui Guo & Christopher J. Neely & Jason Higbee, 2006. "Foreign exchange volatility is priced in equities," Working Papers 2004-029, Federal Reserve Bank of St. Louis. [Downloadable!]
    74. Qiang Zhang, 2006. "The Spirit of Capitalism and Asset Pricing: an Empirical Investigation," CIRJE F-Series CIRJE-F-428, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
      Other versions:
    75. Belén Nieto & Rosa Rodriguez, 2005. "Modelos de valoración de activos condicionales: Un panorama comparativo," Investigaciones Economicas, Fundación SEPI, vol. 29(1), pages 33-71, January. [Downloadable!]
    76. Stig V. Møller, 2007. "Habit persistence: Explaining cross sectional variation in returns and time-varying expected returns," CREATES Research Papers 2007-07, School of Economics and Management, University of Aarhus. [Downloadable!]
    77. Kohei Aono & Tokuo Iwaisako, 2008. "The Consumption-Wealth Ratio, Real Estate Wealth, and the Japanese Stock Market," Discussion Paper Series a504, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
    78. Roberto A. De Santis & Carlo A. Favero & Barbara Roffia, 2008. "Euro area money demand and international portfolio allocation - a contribution to assessing risks to price stability," Working Paper Series 926, European Central Bank. [Downloadable!]
    79. Mathias Hoffmann, 2006. "Proprietary Income, Entrepreneurial Risk, and the Predictability of U.S. Stock Returns," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
      Other versions:
    80. Jessica Wachter, 2008. "Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?," NBER Working Papers 14386, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    81. Emilio Fernandez-Corugedo & Simon Price & Andrew Blake, . "The dynamics of consumers' expenditure: the UK consumption ECM redux," Bank of England working papers 204, Bank of England. [Downloadable!]
    82. Hui Guo & Robert Savickas & Zijun Wang & Jian Yang, 2006. "Is value premium a proxy for time-varying investment opportunities: some time series evidence," Working Papers 2005-026, Federal Reserve Bank of St. Louis. [Downloadable!]
    83. 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. [Downloadable!]
    84. GIOT, Pierre & PETITJEAN, Mikael, 2006. "Short-term market timing using the Bond-Equity Yield Ratio," CORE Discussion Papers 2006090, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
      Other versions:
    85. Marco Raberto & Andrea Teglio & Silvano Cincotti, 2005. "Multi-agent modeling and simulation of a sequential monetary production economy," Computational Economics 0503002, EconWPA. [Downloadable!]
      Other versions:
    86. Andrea Tamoni & Arie E.Gozluklu & Carlo A.Favero, 2008. "Demographics and fluctuations in Dividend/Price," Working Papers 345, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
    87. Benoît Mercereau, 2003. "The Role of Stock Markets in Current Account Dynamics: Evidence from the United States," IMF Working Papers 03/108, International Monetary Fund. [Downloadable!]
    88. Christian Dreger & Hans-Eggert Reimers, 2006. "Consumption and disposable income in the EU countries: the role of wealth effects," Empirica, Springer, vol. 33(4), pages 245-254, September. [Downloadable!] (restricted)
    89. Ricardo M. Sousa, 2007. "Expectations, Shocks, and Asset Returns," NIPE Working Papers 29/2007, NIPE - Universidade do Minho. [Downloadable!]
    90. Hui Guo & Jason Higbee, 2006. "Market timing with aggregate and idiosyncratic stock volatilities," Working Papers 2005-073, Federal Reserve Bank of St. Louis. [Downloadable!]
    91. Xavier Gabaix, 2008. "Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance," NBER Working Papers 13724, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    92. Long Chen & Ralitsa Petkova & Lu Zhang, 2006. "The Expected Value Premium," NBER Working Papers 12183, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    93. Hanno Lustig, 2005. "The Returns on Human Capital: Good News on Wall Street is Bad News on Main Street (joint with Stijn Van Nieuwerburgh)," UCLA Economics Online Papers 352, UCLA Department of Economics. [Downloadable!]
    94. Amit Goval & Ivo Welch, 2004. "A Comprehensive Look at the Empirical Performance of Equity Premium Prediction," NBER Working Papers 10483, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    95. Qiang Zhang, 2004. "Accounting for Human Capital and Weak Identification in Evaluating the Esptein-Zin-Weil Non-Expected Utility Model of Asset Pricing," CIRJE F-Series CIRJE-F-289, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
    96. Raymond Kan & Cesare Robotti, 2007. "Model comparison using the Hansen-Jagannathan distance," Working Paper 2007-04, Federal Reserve Bank of Atlanta. [Downloadable!]
    97. Martin Lettau & Sydney 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. [Downloadable!]
      Other versions:
    98. Andrew Ang & Geert Bekaert, 2001. "Stock Return Predictability: Is it There?," NBER Working Papers 8207, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    99. Fernando Alexandre & Pedro Bação & Vasco J. Gabriel, 2005. "On the Stablity of the Wealth Effect," NIPE Working Papers 14/2005, NIPE - Universidade do Minho. [Downloadable!]
      Other versions:
    100. Kevin X.D. Huang & Zheng Liu & Qi Zhu, 2005. "Temptation and Self-Control: Some Evidence from the Consumer Expenditure Survey," Emory Economics 0507, Department of Economics, Emory University (Atlanta). [Downloadable!]
      Other versions:
    101. Gomes, Francisco J & Michaelides, Alexander, 2007. "Asset Pricing with Limited Risk Sharing and Heterogeneous Agents," CEPR Discussion Papers 6136, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    102. Ricardo M. Sousa, 2007. "Wealth Shocks and Risk Aversion," NIPE Working Papers 28/2007, NIPE - Universidade do Minho. [Downloadable!]
    103. Rangvid, Jesper, 2002. "Output and Expected Returns - a multicountry study," Working Papers 2002-8, Copenhagen Business School, Department of Finance. [Downloadable!]
    104. Tano Santos & Pietro Veronesi, 2000. "Labor Income and Predictable Stock Returns," CRSP working papers 520, Center for Research in Security Prices, Graduate School of Business, University of Chicago. [Downloadable!]
    105. John M Maheu & Thomas H McCurdy, 2007. "How useful are historical data for forecasting the long-run equity return distribution?," Working Papers tecipa-293, University of Toronto, Department of Economics. [Downloadable!]
      Other versions:
    106. Lewellen, Jonathan & Nagel, Stefan, 2003. "The Conditional CAPM Does Not Explain Asset-pricing Anomalies," Working papers 4427-03, Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
      Other versions:
    107. Alexander Ludwig & Torsten Sløk, 2004. "The relationship between stock prices, house prices and consumption in OECD countries," MEA discussion paper series 04044, Mannheim Research Institute for the Economics of Aging (MEA), University of Mannheim. [Downloadable!]
      Other versions:
    108. Thomas Nitschka, 2005. "The U.S. consumption-wealth ratio and foreign stock markets: International evidence for return predictability," Money Macro and Finance (MMF) Research Group Conference 2005 22, Money Macro and Finance Research Group. [Downloadable!]
    109. Whelan, Karl, 2006. "Consumption and Expected Asset Returns without Assumptions About Unobservables," MPRA Paper 5891, University Library of Munich, Germany. [Downloadable!]
      Other versions:
    110. Ludwig, Alexander & Sløk, Torsten, 2004. "The relationship between stock prices, house prices and consumption in OECD," Sonderforschungsbereich 504 Publications 04-12, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim. [Downloadable!]
    111. Enrico Giorgi & Thorsten Hens & János Mayer, 2007. "Computational aspects of prospect theory with asset pricing applications," Computational Economics, Springer, vol. 29(3), pages 267-281, May. [Downloadable!] (restricted)
    112. Ravi Bansal & A. Ronald Gallant & George Tauchen, 2007. "Rational Pessimism, Rational Exuberance, and Asset Pricing Models," NBER Working Papers 13107, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    113. Stanislav Anatolyev & Nikolay Gospodinov, 2007. "Modeling Financial Return Dynamics by Decomposition," Working Papers w0095, Center for Economic and Financial Research (CEFIR). [Downloadable!]
    114. Sydney C. Ludvigson, 2007. "Housing, credit and consumer expenditure: commentary," Proceedings, Federal Reserve Bank of Kansas City, pages 335-350. [Downloadable!]
    115. Benoît Mercereau, 2004. "The Role of Stock Markets in Current Account Dynamics: A Time Series Approach," IMF Working Papers 04/50, International Monetary Fund. [Downloadable!]
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    116. Jacob Boudoukh & Matthew Richardson & Robert Whitelaw, 2005. "The Myth of Long-Horizon Predictability," NBER Working Papers 11841, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    117. Roy Cromb & Emilio Fernandez-Corugedo, . "Long-term interest rates, wealth and consumption," Bank of England working papers 243, Bank of England. [Downloadable!]
    118. Sean D. Campbell, 2004. "Macroeconomic volatility, predictability and uncertainty in the Great Moderation: evidence from the survey of professional forecasters," Finance and Economics Discussion Series 2004-52, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    119. Jeremy Rudd & Karl Whelan, 2002. "A note on the cointegration of consumption, income, and wealth," Finance and Economics Discussion Series 2002-53, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
      Other versions:
    120. Vassalou, Maria, 2001. "News Related to Future GDP Growth as a Risk Factor in Equity Returns," CEPR Discussion Papers 3057, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

  16. Martin Lettau & Sydney 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. [Downloadable!]
    Published as:

    Cited by:

    1. Anthony W. Lynch & Sinan Tan, 2004. "Explaining the Magnitude of Liquidity Premia: The Roles of Return Predictability, Wealth Shocks and State-Dependent Transaction Costs," NBER Working Papers 10994, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    2. Hanno Lustig, 2004. "Housing Collateral, Consumption Insurance and Risk Premia: an Empirical Perspective (joint with Stijn Van Nieuwerburgh), forthcoming Journal of Finance," UCLA Economics Online Papers 300, UCLA Department of Economics. [Downloadable!]
    3. Paul Gao & Kevin X.D. Huang, 2004. "Aggregate consumption-wealth ratio and the cross-section of stock returns: some international evidence," Research Working Paper RWP 04-07, Federal Reserve Bank of Kansas City. [Downloadable!]
    4. Li, Qing & Vassalou, Maria & Xing, Yuhang, 2001. "An Investment-Growth Asset Pricing Model," CEPR Discussion Papers 3058, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    5. Ravi Jagannathan & Yong Wang, 2005. "Consumption Risk and the Cost of Equity Capital," NBER Working Papers 11026, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    6. Raymond Kan & Cesare Robotti & Jay Shanken, 2009. "Pricing model performance and the two-pass cross-sectional regression methodology," Working Paper 2009-11, Federal Reserve Bank of Atlanta. [Downloadable!]
    7. Hui Guo & Zijun Wang & Jian Yang, 2006. "Does aggregate relative risk aversion change countercyclically over time? evidence from the stock market," Working Papers 2006-047, Federal Reserve Bank of St. Louis. [Downloadable!]
    8. Tano Santos & Pietro Veronesi, 2005. "Cash-Flow Risk, Discount Risk, and the Value Premium," NBER Working Papers 11816, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    9. Yu Ren & Katsumi Shimotsu, 2007. "Improvement in Finite Sample Properties of the Hansen-Jagannathan Distance Test," Working Papers 1126, Queen's University, Department of Economics. [Downloadable!]
      Other versions:
    10. Ravi Bansal & Robert Dittmar & Dana Kiku, 2007. "Cointegration and Consumption Risks in Asset Returns," NBER Working Papers 13108, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    11. Tobias Adrian & Joshua Rosenberg, 2006. "Stock returns and volatility: pricing the short-run and long-run components of market risk," Staff Reports 254, Federal Reserve Bank of New York. [Downloadable!]
      Other versions:
    12. Andrew Ang & Joseph Chen & Yuhang Xing, 2005. "Downside Risk," NBER Working Papers 11824, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    13. Jan J J Groen & Ravi Balakrishnan, . "Asset price based estimates of sterling exchange rate risk premia," Bank of England working papers 250, Bank of England. [Downloadable!]
      Other versions:
    14. Chris Brooks & Xiafei Li & Joelle Miffre, 2007. "The Value Premium and Time-Varying Unsystematic Risk," ICMA Centre Discussion Papers in Finance icma-dp2007-03, Henley Business School, Reading University. [Downloadable!]
    15. Paul Söderlind, 2006. "C-CAPM Refinements and the Cross-Section of Returns," Financial Markets and Portfolio Management, Springer, vol. 20(1), pages 49-73, April. [Downloadable!] (restricted)
      Other versions:
    16. Araújo, Fabio & Issler, João Victor & Fernandes, Marcelo, 2005. "Estimating the Stochastic Discount Factor without a Utility Function," Economics Working Papers (Ensaios Economicos da EPGE) 583, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
      Other versions:
    17. Belén Nieto & Rosa Rodríguez, 2004. "Modelos De Valoracion De Activos Condicionales: Un Panorama Comparativo Con Datos Españoles," Documentos de Trabajo de Economía de la Empresa db040202, Universidad Carlos III, Departamento de Economía de la Empresa. [Downloadable!]
    18. Torben G. Andersen & Tim Bollerslev & Francis X. Diebold & Jin (Ginger) Wu, 2005. "A Framework for Exploring the Macroeconomic Determinants of Systematic Risk," CFS Working Paper Series 2005/04, Center for Financial Studies. [Downloadable!]
      Other versions:
    19. Araújo, Fabio & Issler, João Victor & Fernandes, Marcelo, 2006. "A Stochastic Discount Factor Approach to Asset Pricing Using Panel Data," Economics Working Papers (Ensaios Economicos da EPGE) 628, Graduate School of Economics, Getulio Vargas Foundation (Brazil). [Downloadable!]
    20. 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. [Downloadable!] (restricted)
      Other versions:
    21. John Y. Campbell & Tuomo Vuolteenaho, 2003. "Bad Beta, Good Beta," NBER Working Papers 9509, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    22. Tobias Adrian & Francesco Franzoni, 2008. "Learning about beta: time-varying factor loadings, expected returns, and the conditional CAPM," Staff Reports 193, Federal Reserve Bank of New York. [Downloadable!]
      Other versions:
    23. Franzoni, Francesco, 2006. "Where is beta going ? the riskiness of value and small stocks," Les Cahiers de Recherche 829, HEC Paris. [Downloadable!]
    24. Antonios Antypas & Guglielmo Maria Caporale & Nikolaos Kourogenis & Nikitas Pittis, 2009. "Selectivity, Market Timing and the Morningstar Star-Rating System," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
      Other versions:
    25. Hui Guo & Robert Savickas, 2006. "The relation between time-series and cross-sectional effects of idiosyncratic variance on stock returns in G7 countries," Working Papers 2006-036, Federal Reserve Bank of St. Louis. [Downloadable!]
    26. Sean D. Campbell, 2005. "Stock market volatility and the Great Moderation," Finance and Economics Discussion Series 2005-47, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    27. Söderlind, Paul, 2003. "C-CAPM and the Cross-Section of Sharpe Ratios," CEPR Discussion Papers 4067, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    28. In Choi & Timothy K. Chue, 2006. "Subsampling-Based Tests of Stock-Return Predictability," Hi-Stat Discussion Paper Series d06-178, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
    29. George M. Korniotis & Alok Kumar, 2008. "Do behavioral biases adversely affect the macro-economy?," Finance and Economics Discussion Series 2008-49, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    30. Kris Jacobs & Kevin Q. Wang, 2002. "Idiosyncratic Consumption Risk and the Cross-Section of Asset Returns," CIRANO Working Papers 2002s-11, CIRANO. [Downloadable!]
    31. Jeremy Rudd & Karl Whelan, 2006. "Empirical Proxies for the Consumption-Wealth Ratio," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 9(1), pages 34-51, January. [Downloadable!] (restricted)
    32. Gomes, Joao F & Kogan, Leonid & Zhang, Lu, 2002. "Equilibrium Cross-Section of Returns," CEPR Discussion Papers 3482, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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    33. François Gourio, 2005. "Operating Leverage,Stock Market Cyclicality,and the Cross-Section of Returns," Boston University - Department of Economics - Working Papers Series WP2005-002, Boston University - Department of Economics. [Downloadable!]
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    34. François Gourio, 2006. "Firms’ Heterogeneous Sensitivities to the Business Cycle, and the Cross-Section of Expected Returns," Boston University - Department of Economics - Working Papers Series WP2006-005, Boston University - Department of Economics. [Downloadable!]
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    35. Jonathan Lewellen & Stefan Nagel, 2003. "The Conditional CAPM does not Explain Asset-Pricing Anamolies," NBER Working Papers 9974, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    36. Raymond Kan & Cesare Robotti & Jay Shanken, 2009. "Pricing Model Performance and the Two-Pass Cross-Sectional Regression Methodology," NBER Working Papers 15047, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    37. Jonathan Lewellen & Stefan Nagel & Jay Shanken, 2006. "A Skeptical Appraisal of Asset-Pricing Tests," NBER Working Papers 12360, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    38. Belén Nieto & Rosa Rodriguez, 2005. "Modelos de valoración de activos condicionales: Un panorama comparativo," Investigaciones Economicas, Fundación SEPI, vol. 29(1), pages 33-71, January. [Downloadable!]
    39. Stig V. Møller, 2007. "Habit persistence: Explaining cross sectional variation in returns and time-varying expected returns," CREATES Research Papers 2007-07, School of Economics and Management, University of Aarhus. [Downloadable!]
    40. Thomas Mikosch & Casper G. de Vries, 2006. "Tail Probabilities for Regression Estimators," Tinbergen Institute Discussion Papers 06-085/2, Tinbergen Institute. [Downloadable!]
    41. Hanno Lustig, 2004. "The Cross-Section of Foreign Currency Risk Premia and US Consumption Growth Risk (joint with Adrien Verdelhan)(updated February 2006)," UCLA Economics Online Papers 303, UCLA Department of Economics. [Downloadable!]
    42. Christian Leuz & Catherine Schrand, 2009. "Disclosure and the Cost of Capital: Evidence from Firms’ Responses to the Enron Shock," NBER Working Papers 14897, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    43. Randolph B. Cohen & Paul A. Gompers & Tuomo Vuolteenaho, 2002. "Who Underreacts to Cash-Flow News? Evidence from Trading between Individuals and Institutions," NBER Working Papers 8793, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    44. Hui Guo & Robert Savickas & Zijun Wang & Jian Yang, 2006. "Is value premium a proxy for time-varying investment opportunities: some time series evidence," Working Papers 2005-026, Federal Reserve Bank of St. Louis. [Downloadable!]
    45. Anthony W. Lynch & Sinan Tan, 2004. "Labor Income Dynamics at Business-Cycle Frequencies: Implications for Portfolio Choice," NBER Working Papers 11010, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    46. John Y. Campbell & Christopher Polk & Tuomo Vuolteenaho, 2005. "Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns," NBER Working Papers 11389, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    47. 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. [Downloadable!]
    48. Randolph B. Cohen & Christopher Polk & Tuomo Vuolteenaho, 2003. "The Price is (Almost) Right," NBER Working Papers 10131, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    49. Lettau, Martin & Wachter, Jessica, 2005. "Why is Long-Horizon Equity Less Risky? A Duration-based Explanation of the Value Premium," CEPR Discussion Papers 4921, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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    50. Adrien Verdelhan & Hanno Lustig, 2005. "The Cross-Section Of Foreign Currency Risk Premia And Consumption Growth Risk," Boston University - Department of Economics - Working Papers Series WP2005-019, Boston University - Department of Economics. [Downloadable!]
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    51. Zhi Da & Re-Jin Guo & Ravi Jagannathan, 2009. "CAPM for Estimating the Cost of Equity Capital: Interpreting the Empirical Evidence," NBER Working Papers 14889, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    52. Hanno Lustig & Adrien Verdelhan, 2005. "The Cross-Section of Currency Risk Premia and US Consumption Growth Risk," NBER Working Papers 11104, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    53. F. Javier De Peña & Carlos Forner-Rodríguez & Germán López-Espinosa, . "Fundamentals and the origin of Fama-French factors," Faculty Working Papers 04/08, School of Economics and Business Administration, University of Navarra. [Downloadable!]
    54. Ricardo M. Sousa, 2007. "Expectations, Shocks, and Asset Returns," NIPE Working Papers 29/2007, NIPE - Universidade do Minho. [Downloadable!]
    55. Kim, Jeong-Ryeol, 2002. "The stable long-run CAPM and the cross-section of expected returns," Discussion Paper Series 1: Economic Studies 2002,05, Deutsche Bundesbank, Research Centre. [Downloadable!]
    56. Paulo Maio, 2007. "ICAPM with time-varying risk aversion," Money Macro and Finance (MMF) Research Group Conference 2006 111, Money Macro and Finance Research Group. [Downloadable!]
    57. Hui Guo & Robert Savickas, 2006. "Aggregate idiosyncratic volatility in G7 countries," Working Papers 2004-027, Federal Reserve Bank of St. Louis. [Downloadable!]
    58. Wessel Marquering, 2006. "Do consumption-based asset pricing models explain return predictability?," Applied Financial Economics, Taylor and Francis Journals, vol. 16(14), pages 1019-1027, October. [Downloadable!] (restricted)
    59. Fabio Araujo & Marcelo Fernandes e João Victor Issler, 2004. "Using Common Features to Construct a Preference-Free Estimator of the Stochastic Discount Factor," Econometric Society 2004 Latin American Meetings 134, Econometric Society. [Downloadable!]
    60. Rangvid, Jesper, 2002. "Output and Expected Returns - a multicountry study," Working Papers 2002-8, Copenhagen Business School, Department of Finance. [Downloadable!]
    61. Juan Pedro Gomez, 2008. "The effect of relative wealth concerns on the cross-section of stock returns," Working Papers Economia wp08-12, Instituto de Empresa, Area of Economic Environment. [Downloadable!]
    62. Dahlquist, Magnus & Sallstrom, Torbjorn, 2002. "An Evaluation of International Asset Pricing Models," CEPR Discussion Papers 3145, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    63. Annette Vissing-Jørgensen & Orazio P. Attanasio, 2003. "Stock-Market Participation, Intertemporal Substitution, and Risk-Aversion," American Economic Review, American Economic Association, vol. 93(2), pages 383-391, May. [Downloadable!]
    64. Møller, Stig Vinther, 2008. "Habit persistence: Explaining cross-sectional variation in returns and time-varying expected returns," Finance Research Group Working Papers F-2008-04, University of Aarhus, Aarhus School of Business, Department of Business Studies. [Downloadable!]
    65. George M. Constantinides & Anisha Ghosh, 2008. "Asset Pricing Tests with Long Run Risks in Consumption Growth," NBER Working Papers 14543, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    66. Hanno Lustig, 2004. "How much Does Household Collateral Constrain Regional Risk Sharing? (joint with Stijn Van Nieuwerburgh) (updated February 2006)," UCLA Economics Online Papers 302, UCLA Department of Economics. [Downloadable!]
    67. Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein, 2005. "Portfolio Choice over the Life-Cycle in the Presence of 'Trickle Down' Labor Income," NBER Working Papers 11247, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    68. Renatas Kizys & Peter Spencer, 2007. "Assessing the Relation between Equity Risk Premia and Macroeconomic Volatilities," Money Macro and Finance (MMF) Research Group Conference 2006 140, Money Macro and Finance Research Group. [Downloadable!]
    69. Raymond Kan & Cesare Robotti, 2006. "Specification tests of asset pricing models using excess returns," Working Paper 2006-10, Federal Reserve Bank of Atlanta. [Downloadable!]
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    70. Ravi Balakrishnan & Volodymyr Tulin, 2006. "U.S. Dollar Risk Premiums and Capital Flows," IMF Working Papers 06/160, International Monetary Fund. [Downloadable!]
    71. Post, G.T. & Vliet, P. van, 2004. "Conditional Downside Risk and the CAPM," Research Paper ERS-2004-048-F&A Revision, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni. [Downloadable!]
    72. René Garcia & Éric Renault & Andrei Semenov, 2003. "Disentangling Risk Aversion and Intertemporal Substitution Through a Reference Level," CIRANO Working Papers 2003s-12, CIRANO. [Downloadable!]
    73. Michael W. Brandt & David A. Chapman, 2006. "Linear Approximations and Tests of Conditional Pricing Models," NBER Working Papers 12513, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    74. Murillo Campello & Long Chen & Lu Zhang, 2005. "Expected Returns, Yield Spreads, and Asset Pricing Tests," NBER Working Papers 11323, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:

  17. Sydney Ludvigson & Charles Steindel, 1998. "How important is the stock market effect on consumption?," Research Paper 9821, Federal Reserve Bank of New York. [Downloadable!]
    Published as:

    Cited by:

    1. Fernando Alexandre & Pedro Bação, 2002. "Equitity prices and Monetary Policy: An Overview with an Exploratory Model," NIPE Working Papers 1/2002, NIPE - Universidade do Minho. [Downloadable!]
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    2. Charles Ka Yui Leung & Nan-Kuang Chen & Chih-Chiang Hsu, 2004. "Structural Break or Asymmetry? An Empirical Study of the Stock Wealth Effect on Consumption," Econometric Society 2004 Far Eastern Meetings 690, Econometric Society. [Downloadable!]
    3. Fabio Milani, 2008. "Learning about the Interdependence between the Macroeconomy and the Stock Market," Working Papers 070819, University of California-Irvine, Department of Economics. [Downloadable!]
    4. Ricardo M. Sousa, 2009. "Wealth Effetcs on Consumption: Evidence from the euro area," NIPE Working Papers 12/2009, NIPE - Universidade do Minho. [Downloadable!]
      Other versions:
    5. Sydney Ludvigson & Charles Steindel & Martin Lettau, 2002. "Monetary policy transmission through the consumption-wealth channel," Economic Policy Review, Federal Reserve Bank of New York, issue May, pages 117-133. [Downloadable!]
    6. Charles Calomiris & Stanley D. Longhofer & William Miles, 2009. "The (Mythical?) Housing Wealth Effect," NBER Working Papers 15075, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    7. Jonathan A. Parker, 1999. "Spendthrift in America? On Two Decades of Decline in the U.S. Saving Rate," NBER Working Papers 7238, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    8. Annamaria Lusardi & Jonathan Skinner & Steven F. Venti, 2001. "Saving Puzzles and Saving Policies in the United States," JCPR Working Papers 220, Northwestern University/University of Chicago Joint Center for Poverty Research.
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    9. Illing, Gerhard & Klüh, Ulrich, 2004. "Vermögenspreise und Konsum," Discussion Papers in Economics 316, University of Munich, Department of Economics. [Downloadable!]
    10. Vasco Gabriel & Fernando Alexandre & Pedro Bação, 2007. "The Consumption-Wealth Ratio Under Asymmetric Adjustment," GEMF Working Papers 2007-06, GEMF - Faculdade de Economia, Universidade de Coimbra. [Downloadable!]
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    11. Nicholas Apergis & Stephen M. Miller, 2005. "Consumption asymmetry and the stock market: New evidence through a threshold adjustment model," Working papers 2005-08, University of Connecticut, Department of Economics. [Downloadable!]
    12. Eckhard Hein, 2009. "A (Post-) Keynesian perspective on "financialisation"," IMK Studies 01-2009, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute. [Downloadable!]
    13. Belén Nieto & Rosa Rodríguez & Rosa Rodríguez- Barrera, 2002. "The Consumption-Wealth And Book-To-Market Ratios In A Dynamic Asset Pricing Context," Working Papers. Serie EC 2002-24, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
    14. Hamburg, Britta & Hoffmann, Mathias & Keller, Joachim, 2005. "Consumption, wealth and business cycles : why is Germany different?," Discussion Paper Series 1: Economic Studies 2005,16, Deutsche Bundesbank, Research Centre. [Downloadable!]
    15. Tuomas A. Peltonen & Ricardo M. Sousa & Isabel S. Vansteenkiste, 2009. "Wealth Effects in Emerging Market Economies," NIPE Working Papers 4/2009, NIPE - Universidade do Minho. [Downloadable!]
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    16. Luís, Pacheco, 2004. "Asset Prices and Monetary Policy in the Euro Area: a tentative model," MPRA Paper 6579, University Library of Munich, Germany. [Downloadable!]
    17. Michael R. Donihue & Andriy Avramenko, 2006. "Decomposing consumer wealth effects: evidence on the role of real estate assets following the wealth cycle of 1990-2002," Working Papers 06-15, Federal Reserve Bank of Boston. [Downloadable!]
    18. Monica Paiella, 2004. "Does wealth affect consumption? Evidence for Italy," Temi di discussione (Economic working papers) 510, Bank of Italy, Economic Research Department. [Downloadable!]
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    19. Ing-Haw Cheng & Eric French, 2000. "The effect of the run-up in the stock market on labor supply," Economic Perspectives, Federal Reserve Bank of Chicago, issue Q IV, pages 48-65. [Downloadable!]
    20. Ben Bernanke & Mark Gertler, 2000. "Monetary Policy and Asset Price Volatility," NBER Working Papers 7559, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    21. Feridun, Mete, 2006. "Long-Run Relationship between Economic Growth and Stock Returns: An Empirical Investigation on Canada and the United States," MPRA Paper 737, University Library of Munich, Germany. [Downloadable!]
    22. Nicholas Apergis & Stephen M. Miller, 2005. "Resurrecting the Wealth Effect on Consumption: Further Analysis and Extension," Working papers 2005-57, University of Connecticut, Department of Economics. [Downloadable!]
    23. Sydney Ludvigson & Martin Lettau, 1999. "Consumption, aggregate wealth and expected stock returns," Staff Reports 77, Federal Reserve Bank of New York. [Downloadable!]
      Other versions:
    24. Hui Guo, 2001. "A simple model of limited stock market participation," The Regional Economist, Federal Reserve Bank of St. Louis, issue May, pages 37-47. [Downloadable!]
    25. James H. Stock & Mark W. Watson, 2001. "Forecasting Output and Inflation: The Role of Asset Prices," NBER Working Papers 8180, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    26. Charles Grant & Tuomas Peltonen, 2005. "Housing and Equity Wealth Effects of Italian Households," DNB Working Papers 043, Netherlands Central Bank, Research Department. [Downloadable!]
      Other versions:
    27. 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. [Downloadable!] (restricted)
      Other versions:
    28. David E. Rapach & Jack K. Strauss, 2006. "The long-run relationship between consumption and housing wealth in the Eighth District states," Regional Economic Development, Federal Reserve Bank of St. Louis, issue Oct, pages 140-147. [Downloadable!]
    29. Martin Lettau & Sydney Ludvigson & Nathan Barczi, 2001. "A primer on the economics and time series econometrics of wealth effects: a comment," Staff Reports 131, Federal Reserve Bank of New York. [Downloadable!]
    30. Tamim Bayoumi & Hali Edison, 2003. "Is Wealth Increasingly Driving Consuption?," DNB Staff Reports (discontinued) 101, Netherlands Central Bank. [Downloadable!]
    31. Barry Bosworth, 2004. "Why Don't Americans Save?," Working Papers, Center for Retirement Research at Boston College 2004-26, Center for Retirement Research. [Downloadable!]
    32. Araújo, Eurilton, 2008. "Robust Monetary Policy with the Consumption-Wealth Channel," Ibmec Working Papers wpe_108, Ibmec Working Paper, Ibmec São Paulo. [Downloadable!]
    33. Karen E. Dynan & Dean M. Maki, 2001. "Does stock market wealth matter for consumption?," Finance and Economics Discussion Series 2001-23, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    34. Nikola Dvornak & Marion Kohler, 2003. "Housing Wealth, Stock Market Wealth and Consumption: A Panel Analysis for Australia," RBA Research Discussion Papers rdp2003-07, Reserve Bank of Australia. [Downloadable!]
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    35. G. Donald Jud & Dan T. Winkler, 2002. "The Dynamics of Metropolitan Housing Prices," Journal of Real Estate Research, American Real Estate Society, vol. 23(1/2), pages 29-46. [Downloadable!]
    36. Emilio Fernandez-Corugedo & Simon Price & Andrew Blake, . "The dynamics of consumers' expenditure: the UK consumption ECM redux," Bank of England working papers 204, Bank of England. [Downloadable!]
    37. Morris A. Davis & Michael G. Palumbo, 2001. "A primer on the economics and time series econometrics of wealth effects," Finance and Economics Discussion Series 2001-09, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    38. Maged Shawky Sourial, 2002. "The Future of the Stock Market Channel In Egypt," Finance 0204002, EconWPA. [Downloadable!]
    39. Sònia Muñoz, 2006. "Wealth Effects in Europe: A Tale of Two Countries (Italy and the United Kingdom)," IMF Working Papers 06/30, International Monetary Fund. [Downloadable!]
    40. Benoît Mercereau, 2003. "The Role of Stock Markets in Current Account Dynamics: Evidence from the United States," IMF Working Papers 03/108, International Monetary Fund. [Downloadable!]
    41. Nicholas Apergis & Stephen M. Miller, 2004. "Consumption Asymmetry and the Stock Market: Further Evidence," Working papers 2004-19, University of Connecticut, Department of Economics. [Downloadable!]
    42. John V. Duca, 2005. "Mutual funds and the evolving long-run effects of stock wealth on U.S. consumption," Working Papers 05-11, Federal Reserve Bank of Dallas. [Downloadable!]
      Other versions:
    43. Rigobon, Roberto & Stoker, Thomas M., 2004. "Censored Regressors and Expansion Bias," Working papers 4451-03, Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
    44. Alvin Tan & Graham Voss, 2000. "Consumption and Wealth," RBA Research Discussion Papers rdp2000-09, Reserve Bank of Australia. [Downloadable!]
    45. Elmer Sterken, 2004. "The Role of the IFO Business Climate Indicator and Asset Prices in German Monetary Policy," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
    46. Junttila, Juha, 2002. "Forecasting the macroeconomy with current financial market information: Europe and the United States," Research Discussion Papers 2/2002, Bank of Finland. [Downloadable!]
    47. Jerome Creel & Henri Sterdyniak, 2002. "The fiscal theory of the price level and sluggish inflation: how important shall the wealth effect be?," Documents de Travail de l'OFCE 2002-01, Observatoire Francais des Conjonctures Economiques (OFCE). [Downloadable!]
    48. Xiaohui Liu & Chang Shu, 2004. "Consumption and stock markets in Asian economies," International Review of Applied Economics, Taylor and Francis Journals, vol. 18(4), pages 483-496, October. [Downloadable!] (restricted)
    49. Joanne Loundes & Rosanna Scutella, 2000. "Consumer Sentiment and Australian Consumer Spending," Melbourne Institute Working Paper Series wp2000n21, Melbourne Institute of Applied Economic and Social Research, The University of Melbourne. [Downloadable!]
    50. Fernando Alexandre & Pedro Bação & Vasco J. Gabriel, 2005. "On the Stablity of the Wealth Effect," NIPE Working Papers 14/2005, NIPE - Universidade do Minho. [Downloadable!]
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    51. James M. Poterba, 2000. "Stock Market Wealth and Consumption," Journal of Economic Perspectives, American Economic Association, vol. 14(2), pages 99-118, Spring. [Downloadable!] (restricted)
    52. L. de Haan & E. Sterken, 2000. "Capital Structure, Corporate Goverance, and Monetary Policy: Firm-Level Evidence for the Euro Area," WO Research Memoranda (discontinued) 637, Netherlands Central Bank, Research Department. [Downloadable!]
    53. BELTRAN, Helena & DURRE, Alain, 2003. "The determinants of consumer confidence: the case of United States and Belgium," CORE Discussion Papers 2003053, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE). [Downloadable!]
    54. Norbert Funke, 2003. "Stock Market Developments and Private Consumer Spending in Emerging Markets," IMF Working Papers 02/238, International Monetary Fund. [Downloadable!]
    55. Alexander Ludwig & Torsten Sløk, 2004. "The relationship between stock prices, house prices and consumption in OECD countries," MEA discussion paper series 04044, Mannheim Research Institute for the Economics of Aging (MEA), University of Mannheim. [Downloadable!]
      Other versions:
    56. Yanick Desnoyers, 2001. "L'effet de la richesse sur la consommation aux États-Unis," Working Papers 01-14, Bank of Canada. [Downloadable!]
    57. Carol C. Bertaut, 2002. "Equity prices, household wealth, and consumption growth in foreign industrial countries: wealth effects in the 1990s," International Finance Discussion Papers 724, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    58. Predtetchinski Arkadi, 2009. "On the asymptotic uniqueness of bargaining equilibria," Research Memoranda 021, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
    59. Ludwig, Alexander & Sløk, Torsten, 2004. "The relationship between stock prices, house prices and consumption in OECD," Sonderforschungsbereich 504 Publications 04-12, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim. [Downloadable!]
    60. Dean M. Maki & Michael G. Palumbo, 2001. "Disentangling the wealth effect: a cohort analysis of household saving in the 1990s," Finance and Economics Discussion Series 2001-21, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    61. Helmut Wagner, 2001. "Implications of Globalization for Monetary Policy," IMF Working Papers 01/184, International Monetary Fund. [Downloadable!]
    62. Benoît Mercereau, 2004. "The Role of Stock Markets in Current Account Dynamics: A Time Series Approach," IMF Working Papers 04/50, International Monetary Fund. [Downloadable!]
      Other versions:
    63. Britta Hamburg & Mathias Hoffmann & Joachim Keller, 2005. "Consumption, Wealth and Business Cycles in Germany," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
      Other versions:
    64. Yash P. Mehra, 2001. "The wealth effect in empirical life-cycle aggregate consumption equations," Economic Quarterly, Federal Reserve Bank of Richmond, issue Spr, pages 45-67. [Downloadable!]
    65. Lise Pichette & Dominique Tremblay, 2003. "Are Wealth Effects Important for Canada?," Working Papers 03-30, Bank of Canada. [Downloadable!]
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    66. Carl D. Lantz & Pierre-Daniel G. Sarte, 2001. "Consumption, savings, and the meaning of the wealth effect in general equilibrium," Economic Quarterly, Federal Reserve Bank of Richmond, issue Sum, pages 53-71. [Downloadable!]

  18. John Y. Campbell & Sydney Ludvigson, 1998. "Elasticities of Substitution in Real Business Cycle Models with Home Production," NBER Working Papers 6763, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    Published as:

    Cited by:

    1. Sau-Him Paul Lau & Philip Hoi-Tak Ng, 2007. "Real-Business-Cycle Models: Some Observations," Journal of Economic Education, Helen Dwight Reid Foundation, vol. 38(2), pages 194-207. [Downloadable!]
    2. Marianne Baxter & Urban J. Jermann, 1999. "Household Production and the Excess Sensitivity of Consumption to Current Income," NBER Working Papers 7046, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    3. Christos Koulovatianos & Carsten Schröder & Ulrich Schmidt, 2006. "Non-Market Household Time and the cost of Children," Vienna Economics Papers 0606, University of Vienna, Department of Economics. [Downloadable!]
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    4. Neville Francis & Valerie A. Ramey, 2002. "Is the Technology-Driven Real Business Cycle Hypothesis Dead?," NBER Working Papers 8726, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    5. Manuel Gomez, 2003. "Effects of Flat-Rate Taxes: to What Extent Does the Leisure Specification Matter?," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 6(2), pages 404-430, April. [Downloadable!] (restricted)
    6. Ravi Balakrishnan, 2001. "The interaction of firing costs and on-the-job search: an application of a search theoretic model to the Spanish labour market," Banco de España Working Papers 0102, Banco de España. [Downloadable!]
    7. Brahima Coulibaly, 2006. "Changes in job quality and trends in labor hours," International Finance Discussion Papers 882, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    8. Jonas D.M. Fisher, 2001. "A real explanation for heterogeneous investment dynamics," Working Paper Series WP-01-14, Federal Reserve Bank of Chicago. [Downloadable!]
    9. Mark Aguiar & Erik Hurst, 2005. "Lifestyle prices and production," Public Policy Discussion Paper 05-3, Federal Reserve Bank of Boston. [Downloadable!]

  19. Sydney Ludvigson & Christina H. Paxson, 1997. "Approximation bias in linearized Euler equations," Research Paper 9712, Federal Reserve Bank of New York. [Downloadable!]
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    Cited by:

    1. Joseph G. Eisenhauer, 2006. "The Shadow Price of Morality," Eastern Economic Journal, Eastern Economic Association, vol. 32(3), pages 437-456, Summer. [Downloadable!]
    2. Martin Salm, 2006. "Can Subjective Mortality Expectations and Stated Preferences Explain Varying Consumption and Saving Behaviors among the Elderly?," IZA Discussion Papers 2467, Institute for the Study of Labor (IZA). [Downloadable!]
      Other versions:
    3. Yasuyuki Sawada & Sung Jin Kang, 2004. "Credit Crunches and Household Welfare: The Case of Korean Financial Crisis," Econometric Society 2004 Far Eastern Meetings 751, Econometric Society. [Downloadable!]
    4. Steven Haider & Melvin Stephens Jr., 2004. "Is There a Retirement-Consumption Puzzle? Evidence Using Subjective Retirement Expectations," NBER Working Papers 10257, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    5. Jesus Fernandez-Villaverde & Dirk Krueger, 2002. "Consumption over the Life Cycle: Facts from Consumer Expenditure Survey Data," NBER Working Papers 9382, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    6. Sule Alan & Martin Browning, 2003. "Estimating Intertemporal Allocation Parameters using Simulated Residual Estimation," CAM Working Papers 2003-03, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics. [Downloadable!]
    7. Giamboni, Luigi & Millemaci, Emanuele & Waldmann, Robert, 2007. "Evaluating how predictable errors in expected income a ffect consumption," MPRA Paper 12939, University Library of Munich, Germany. [Downloadable!]
    8. Nicholas S. Souleles, 2001. "Consumer Sentiment: Its Rationality and Usefulness in Forecasting Expenditure - Evidence from the Michigan Micro Data," NBER Working Papers 8410, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    9. David Domeij & Martin Floden, 2006. "The Labor-Supply Elasticity and Borrowing Constraints: Why Estimates are Biased," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 9(2), pages 242-262, April. [Downloadable!] (restricted)
      Other versions:
    10. Jesús Fernández-Villaverde & Dirk Krueger, 2003. "Consumption over the Life Cycle: Some Facts from Consumer Expenditure Survey Data," Levine's Bibliography 506439000000000304, UCLA Department of Economics. [Downloadable!]
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    11. Midori Wakabayashi & Charles Yuji Horioka, 2005. "Borrowing Constraints and Consumption Behavior in Japan," NBER Working Papers 11560, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    12. Orazio P. Attanasio & Hamish Low, 2004. "Estimating Euler Equations," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 7(2), pages 405-435, April. [Downloadable!] (restricted)
      Other versions:
    13. Sule Alan & Martin Browning, 2006. "Estimating Intertemporal Allocation Parameters using Simulated Expectation Errors," Economics Series Working Papers 284, University of Oxford, Department of Economics. [Downloadable!]
    14. Kevin X. D. Huang & Zheng Liu & Qi Zhu, 2006. "Temptation and self-control: some evidence and applications," Staff Report 367, Federal Reserve Bank of Minneapolis. [Downloadable!]
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    15. Gary V. Engelhardt & Anil Kumar, 2008. "The elasticity of intertemporal substitution: new evidence from 401(k) participation," Working Papers 0812, Federal Reserve Bank of Dallas. [Downloadable!]
    16. Luigi Pistaferri & Tullio Jappelli, 1998. "Using Subjective Income Expectations to Test for Excess Sensitivity of Consumption to Predicted Income Growth," CSEF Working Papers 12, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy. [Downloadable!]
      Other versions:
    17. Jeong-Joon Lee & Yasuyuki Sawada, 2005. "Precautionary Saving under LiquidityConstraints: Evidence from Rural Pakistan," CIRJE F-Series CIRJE-F-377, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
    18. Thomas F. Crossley & Hamish W. Low, 2005. "Unexploited Connections Between Intra- and Inter-temporal Allocation," Quantitative Studies in Economics and Population Research Reports 395, McMaster University. [Downloadable!]
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    19. Yasuyuki Sawada & Jeong-Joon Lee, 2006. "The Degree of Precautionary Saving: A Reexamination," CIRJE F-Series CIRJE-F-448, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
      Other versions:
    20. Joseph G. Eisenhauer, 2003. "Approximation bias in estimating risk aversion," Economics Bulletin, Economics Bulletin, vol. 4(38), pages 1-10. [Downloadable!]
    21. Yasuyuki Sawada & Kazumitsu Nawata & Masako Ii & Jeong-Joon Lee, 2007. "Did the Credit Crunch in Japan Affect Household Welfare? An Augmented Euler Equation Approach Using Type 5 Tobit Model," CIRJE F-Series CIRJE-F-498, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
    22. Melvin Stephens Jr. & Steven J. Haider, 2003. "Can Unexpected Retirement Explain The Retirement-Consumption Puzzle? Evidence For Subjective Retirement Expectations," Working Papers, Center for Retirement Research at Boston College 2003-15, Center for Retirement Research. [Downloadable!]
    23. Sun Jin Kang & Yasuyuki Sawada, 2003. "Credit Crunches and Household Welfare: The Case of the Korean Financial Crisis," CIRJE F-Series CIRJE-F-234, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
      Other versions:
    24. Naohito Abe, 2008. "Volatility in Panel Data of Household Expenditure," Hi-Stat Discussion Paper Series d07-237, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
    25. Luigi Ventura, 2003. "Direct Measures of Time Preference," The Economic and Social Review, Economic and Social Studies, vol. 34(3), pages 293–310. [Downloadable!]
    26. Joseph G. Eisenhauer & Luigi Ventura, 2003. "Survey measures of risk aversion and prudence," Applied Economics, Taylor and Francis Journals, vol. 35(13), pages 1477-1484, September. [Downloadable!] (restricted)
    27. Laura Serlenga, . "Three Alternative Approaches to Test the Permanent Income Hypothesis in Dynamic Panels," series 0005, Dipartimento di Scienze Economiche - Università di Bari. [Downloadable!]

  20. Jason Bram & Sydney Ludvigson, 1997. "Does consumer confidence forecast household expenditure?: A sentiment index horse race," Research Paper 9708, Federal Reserve Bank of New York. [Downloadable!]
    Published as:

    Cited by:

    1. Roberto Golinelli & Giuseppe Parigi, 2003. "What is this thing called confidence? A comparative analysis of consumer confidence indices in eight major countries," Temi di discussione (Economic working papers) 484, Bank of Italy, Economic Research Department. [Downloadable!]
    2. Karl Taylor & Robert McNabb, 2007. "Business Cycles and the Role of Confidence: Evidence for Europe," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 69(2), pages 185-208, 04. [Downloadable!] (restricted)
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    3. Todd E. Clark & Michael McCracken, 1999. "Tests of Equal Forecast Accuracy and Encompassing for Nested Models," Computing in Economics and Finance 1999 1241, Society for Computational Economics. [Downloadable!]
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    4. Aleksejs Melihovs & Svetlana Rusakova, 2005. "Short-Term Forecasting of Economic Development in Latvia Using Business and Consumer Survey Data," Working Papers 2005/04, Latvijas Banka. [Downloadable!]
    5. Gomes, Orlando, 2007. "On the stability of endogenous growth models: an evaluation of the agents’ response to output fluctuations," MPRA Paper 2891, University Library of Munich, Germany. [Downloadable!]
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    6. James A. Wilcox, 2008. "Consumer sentiment and consumer spending," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue Jun 27. [Downloadable!]
    7. Ivan Roberts & John Simon, 2001. "What do Sentiment Surveys Measure?," RBA Research Discussion Papers rdp2001-09, Reserve Bank of Australia. [Downloadable!]
    8. John Tsalikis & Bruce Seaton, 2007. "Business Ethics Index: USA 2006," Journal of Business Ethics, Springer, vol. 72(2), pages 163-175, May. [Downloadable!] (restricted)
    9. Gikas Hardouvelis & Dimitrios Thomakos, 2007. "Consumer Confidence and Elections," Working Papers 0003, University of Peloponnese, Department of Economics. [Downloadable!]
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    10. Brigitte Desroches & Marc-André Gosselin, 2002. "The Usefulness of Consumer Confidence Indexes in the United States," Working Papers 02-22, Bank of Canada. [Downloadable!]
    11. Cara S. Lown & Donald P. Morgan & Sonali Rohatgi, 2000. "Listening to loan officers: the impact of commercial credit standards on lending and output," Economic Policy Review, Federal Reserve Bank of New York, issue Jul, pages 1-16. [Downloadable!]
    12. Lucia Dunn & Ida Mirzaie, 2004. "Turns in Consumer Confidence: An Information Advantage Linked To Manufacturing," Working Papers 04-03, Ohio State University, Department of Economics. [Downloadable!]
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    13. James Sprigg & Mark Ehlen, 2007. "Comparative dynamics in an overlapping-generations model: the effects of quasi-rational discrete choice on finding and maintaining Nash equilibrium," Computational Economics, Springer, vol. 29(1), pages 69-96, February. [Downloadable!] (restricted)
    14. C. Alan Garner, 2002. "Consumer confidence after September 11," Economic Review, Federal Reserve Bank of Kansas City, issue Q II. [Downloadable!]
    15. Thomas A. Garrett & Rubén Hernández-Murillo & Michael T. Owyang, 2005. "Does consumer sentiment predict regional consumption?," Review, Federal Reserve Bank of St. Louis, issue Mar, pages 123-135. [Downloadable!]
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    16. Dion, David Pascal, 2006. "Does Consumer Confidence Forecast Household Spending? The Euro Area Case," MPRA Paper 911, University Library of Munich, Germany. [Downloadable!]
    17. Pami Dua, 2004. "Analysis of Consumers' Perceptions of Buying Conditions for Houses," Working papers 127, Centre for Development Economics, Delhi School of Economics. [Downloadable!]
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    18. Thomas A. Garrett, 2002. "Aggregated vs. disaggregated data in regression analysis: implications for inference," Working Papers 2002-024, Federal Reserve Bank of St. Louis. [Downloadable!]
    19. Xiaohui Liu & Chang Shu, 2004. "Consumption and stock markets in Asian economies," International Review of Applied Economics, Taylor and Francis Journals, vol. 18(4), pages 483-496, October. [Downloadable!] (restricted)
    20. Yash P. Mehra & Elliot W. Martin, 2003. "Why does consumer sentiment predict household spending?," Economic Quarterly, Federal Reserve Bank of Richmond, issue Fall, pages 51-67. [Downloadable!]
    21. Khoon Lek Goh, 2003. "Does Consumer Confidence Forecast Consumption Expenditure in New Zealand?," Treasury Working Paper Series 03/22, New Zealand Treasury. [Downloadable!]
    22. Mark Weder, 2004. "A Heliocentric Journey into Germany's Great Depression," Money Macro and Finance (MMF) Research Group Conference 2004 53, Money Macro and Finance Research Group. [Downloadable!]
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    23. Gomes, Orlando, 2007. "Consumer confidence, endogenous growth and endogenous cycles," MPRA Paper 2883, University Library of Munich, Germany. [Downloadable!]

  21. Sydney 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. [Downloadable!]
    Published as:

    Cited by:

    1. Ryan R. Brady, 2006. "Credit Cards and Monetary Policy: Are Households still Liquidity-Constrained?," Departmental Working Papers 12, United States Naval Academy Department of Economics. [Downloadable!]
    2. Matteo Iacoviello & Raoul Minetti, 2002. "The Credit Channel of Monetary Policy: Evidence from the Housing Market," Boston College Working Papers in Economics 541, Boston College Department of Economics, revised 29 Aug 2003. [Downloadable!]
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    3. Douglas W. Diamond & Raghuram G. Rajan, 2003. "Money in a Theory of Banking," NBER Working Papers 10070, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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    4. Anil K. Kashyap & Jeremy C. Stein, 2000. "What Do a Million Observations on Banks Say about the Transmission of Monetary Policy?," American Economic Review, American Economic Association, vol. 90(3), pages 407-428, June. [Downloadable!] (restricted)
    5. Ryan R. Brady, 2007. "Consumer Credit, Liquidity and the Transmission Mechanism of Monetary Policy," Departmental Working Papers 20, United States Naval Academy Department of Economics. [Downloadable!]
    6. David Gross & Nicholas Souleles, 2001. "Consumer Response to Changes in Credit Supply: Evidence from Credit Card Data," Center for Financial Institutions Working Papers 01-10, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
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    7. Jacobson, Tor & Kindell, Rikard & Lindé, Jesper & Roszbach, Kasper F., 2008. "Firm Default and Aggregate Fluctuations," CEPR Discussion Papers 7083, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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    8. Ola Melander & Tamim Bayoumi, 2008. "Credit Matters: Empirical Evidence on U.S. Macro-Financial Linkages," IMF Working Papers 08/169, International Monetary Fund. [Downloadable!]
    9. Anil K. Kashyap & Raghuram Rajan & Jeremy C. Stein, 1999. "Banks as Liquidity Providers: An Explanation for the Co-Existence of Lending and Deposit-Taking," NBER Working Papers 6962, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    10. Anil K. Kashyap & Jeremy C. Stein, 1997. "The role of banks in monetary policy: a survey with implications for the European Monetary Union," Economic Perspectives, Federal Reserve Bank of Chicago, issue Sep, pages 2-18. [Downloadable!]

  22. Sydney Ludvigson, 1996. "Consumer sentiment and household expenditure: reevaluating the forecasting equations," Research Paper 9636, Federal Reserve Bank of New York. [Downloadable!]

    Cited by:

    1. Nicholas S. Souleles, . "Household Securities Purchases, Transactions Costs, and Hedging Motives," Rodney L. White Center for Financial Research Working Papers 24-99, Wharton School Rodney L. White Center for Financial Research. [Downloadable!]
    2. Nicholas S. Souleles, 2001. "Consumer Sentiment: Its Rationality and Usefulness in Forecasting Expenditure - Evidence from the Michigan Micro Data," NBER Working Papers 8410, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    3. Brigitte Desroches & Marc-André Gosselin, 2002. "The Usefulness of Consumer Confidence Indexes in the United States," Working Papers 02-22, Bank of Canada. [Downloadable!]
    4. Jason Bram & Sydney Ludvigson, 1997. "Does consumer confidence forecast household expenditure?: A sentiment index horse race," Research Paper 9708, Federal Reserve Bank of New York. [Downloadable!]
      Other versions:

  23. Sydney Ludvigson, 1996. "Consumption and credit: a model of time-varying liquidity constraints," Research Paper 9624, Federal Reserve Bank of New York. [Downloadable!]
    Published as:

    Cited by:

    1. 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. [Downloadable!] (restricted)
    2. Ryan R. Brady, 2006. "Credit Cards and Monetary Policy: Are Households still Liquidity-Constrained?," Departmental Working Papers 12, United States Naval Academy Department of Economics. [Downloadable!]
    3. Cheolbeom Park & Thomas Bishop, 2004. "Precautionary Saving, Borrowing Constraints, and Fiscal Policy," Econometric Society 2004 Far Eastern Meetings 706, Econometric Society. [Downloadable!]
    4. Shubhasis Dey, 2005. "Lines of Credit and Consumption Smoothing: The Choice between Credit Cards and Home Equity Lines of Credit," Working Papers 05-18, Bank of Canada. [Downloadable!]
    5. Sebastian Barnes & Garry Young, . "The rise in US household debt: assessing its causes and sustainability," Bank of England working papers 206, Bank of England. [Downloadable!]
    6. Henry, O. & Messinis, G. & Olekalns, N., 1999. "Rational Habit Modification: the Role of Credit," Department of Economics - Working Papers Series 729, The University of Melbourne. [Downloadable!]
    7. Carol C. Bertaut & Michael Haliassos, 2001. "Debt Revolvers for Self Control," University of Cyprus Working Papers in Economics 0208, University of Cyprus Department of Economics. [Downloadable!]
    8. Sydney Ludvigson & Christina H. Paxson, 1997. "Approximation bias in linearized Euler equations," Research Paper 9712, Federal Reserve Bank of New York. [Downloadable!]
      Other versions:
    9. Maria J. Luengo-Prado, 2004. "Durables, Nondurables, Down Payments and Consumption Excesses," Macroeconomics 0408006, EconWPA. [Downloadable!]
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    10. Shubhasis Dey & Gene Mumy, 2005. "Determinants of Borrowing Limits on Credit Cards," Working Papers 05-7, Bank of Canada. [Downloadable!]
    11. Matteo Iacoviello, 2005. "Household Debt and Income Inequality, 1963-2003," Boston College Working Papers in Economics 629, Boston College Department of Economics, revised 18 Oct 2007. [Downloadable!]
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    12. Haliassos, Michalis & Michaelides, Alexander, 2001. "Portfolio Choice and Liquidity Constraints," CEPR Discussion Papers 2822, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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    13. L. Pozzi, 2005. "Income uncertainty and aggregate consumption," Research series 200511-2, National Bank of Belgium. [Downloadable!]
    14. Kosuke Aoki & James Proudman & Gertjan Vlieghe, 2002. "Houses as collateral: has the link between house prices and consumption in the U.K. changed?," Economic Policy Review, Federal Reserve Bank of New York, issue May, pages 163-177. [Downloadable!]
    15. Lucia Dunn & Tufan Ekici & Paul J. Lavrakas & Jeffery A. Stec, 2004. "An Index to Track Credit Card Debt and Predict Consumption," Working Papers 04-04, Ohio State University, Department of Economics. [Downloadable!]
    16. Clare Kelly & Gauthier Lanot, 2002. "Consumption Patterns over Pay Periods," Keele Economics Research Papers KERP 2002/14, Centre for Economic Research, Keele University. [Downloadable!]
      Other versions:
    17. David Gross & Nicholas Souleles, 2001. "Consumer Response to Changes in Credit Supply: Evidence from Credit Card Data," Center for Financial Institutions Working Papers 01-10, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
      Other versions:
    18. Dean M. Maki, 2000. "The growth of consumer credit and the household debt service burden," Finance and Economics Discussion Series 2000-12, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    19. Lorenzo Pozzi, 2007. "Idiosyncratic Labour Income Risk and Aggregate Consumption: an Unobserved Component Approach," Tinbergen Institute Discussion Papers 07-069/2, Tinbergen Institute. [Downloadable!]
    20. Kosuke Aoki & James Proudman & Gertjan Vlieghe, . "House prices, consumption, and monetary policy: a financial accelerator approach," Bank of England working papers 169, Bank of England. [Downloadable!]
      Other versions:
    21. Emilio Fernandez-Corugedo & John Muellbauer, . "Consumer credit conditions in the United Kingdom," Bank of England working papers 314, Bank of England. [Downloadable!]
    22. Besley, Timothy J. & Meads, Neil & Surico, Paolo, 2008. "Household External Finance and Consumption," CEPR Discussion Papers 6934, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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    23. Lettau, Martin & Ludvigson, Sydney, 2005. "Euler Equation Errors," CEPR Discussion Papers 4922, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    24. Lucia Dunn & Tufan Ekici, 2006. "Credit Card Debt and Consumption: Evidence from Household-Level Data," Working Papers 06-01, Ohio State University, Department of Economics. [Downloadable!]
    25. Ryan R. Brady, 2006. "Structural Breaks and Consumer Credit: Is Consumption Smoothing Finally a Reality?," Departmental Working Papers 13, United States Naval Academy Department of Economics. [Downloadable!]
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    26. Laura Rinaldi & Alicia Sanchis-Arellano, 2006. "Household debt sustainability - What explains household non-performing loans? An empirical analysis," Working Paper Series 570, European Central Bank. [Downloadable!]
    27. Emilio Fernandez-Corugedo, . "Soft liquidity constraints and precautionary saving," Bank of England working papers 158, Bank of England. [Downloadable!]

Articles

  1. 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. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  2. Lettau, Martin & Ludvigson, Sydney C., 2005. "Expected returns and expected dividend growth," Journal of Financial Economics, Elsevier, vol. 76(3), pages 583-626, June. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  3. Lettau, Martin & Ludvigson, Sydney C., 2005. "tay's as good as cay: Reply," Finance Research Letters, Elsevier, vol. 2(1), pages 15-22, March. [Downloadable!] (restricted)

    Cited by:

    1. Jeremy Rudd & Karl Whelan, 2006. "Empirical Proxies for the Consumption-Wealth Ratio," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 9(1), pages 34-51, January. [Downloadable!] (restricted)
    2. Whelan, Karl, 2006. "Consumption and Expected Asset Returns without Assumptions About Unobservables," MPRA Paper 5891, University Library of Munich, Germany. [Downloadable!]
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  4. Sydney C. Ludvigson, 2004. "Consumer Confidence and Consumer Spending," Journal of Economic Perspectives, American Economic Association, vol. 18(2), pages 29-50, Spring. [Downloadable!] (restricted)

    Cited by:

    1. António Caleiro, 2007. "Confidence and Unemployment in the European Union: A lesson from the 2004 enlargement," Notas Económicas, Faculdade de Economia, Universidade de Coimbra, issue 26, pages 15-26, December. [Downloadable!]
    2. Lux, Thomas, 2008. "Rational forecasts or social opinion dynamics? : identification of interaction effects in a business climate survey," Economics Working Papers 2008,07, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
    3. Thomas Lux, 2008. "Rational Forecasts or Social Opinion Dynamics? Identification of Interaction Effects in a Business Climate Survey," Kiel Working Papers 1424, Kiel Institute for the World Economy. [Downloadable!]
    4. Maurizio Bovi, 2008. "The “Psycho-analysis” of Common People’s Forecast Errors. Evidence from European Consumer Surveys," ISAE Working Papers 95 Classification-JEL C42, ISAE - Institute for Studies and Economic Analyses - (Rome, ITALY). [Downloadable!]
    5. David L. Haugh, 2005. "The Influence Of Consumer Confidence And Stock Prices On The United States Business Cycle, 1953-2003," CAMA Working Papers 2005-03, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
    6. Jan Rouwendal & Simonetta Longhi, 2007. "The Effect of Consumers' Expectations in a Booming Housing Market," Tinbergen Institute Discussion Papers 07-078/3, Tinbergen Institute. [Downloadable!]
    7. Eva Ferreira & María Isabel Martínez & Eliseo Navarro & Gonzalo Rubio, 2005. "Consumer Confidence and Yield Spreads in Europe," DFAEII Working Papers 200511, University of the Basque Country - Department of Foundations of Economic Analysis II. [Downloadable!]
    8. Lucia Dunn & Ida Mirzaie, 2004. "Turns in Consumer Confidence: An Information Advantage Linked To Manufacturing," Working Papers 04-03, Ohio State University, Department of Economics. [Downloadable!]
      Other versions:
    9. Maurizio Bovi, 2006. "Consumers Sentiment and Cognitive Macroeconometrics Paradoxes and Explanations," ISAE Working Papers 66, ISAE - Institute for Studies and Economic Analyses - (Rome, ITALY). [Downloadable!]
      Other versions:
    10. Robert B. Barsky & Eric R. Sims, 2009. "Information, Animal Spirits, and the Meaning of Innovations in Consumer Confidence," NBER Working Papers 15049, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    11. Karel-Jan Alsem & Steven Brakman & Lex Hoogduin & Gerard Kuper, 2004. "The Impact of Newspapers on Consumer Confidence: Does Spin Bias Exist?," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
      Other versions:
    12. Österholm, Pär, 2009. "Improving Unemployment Rate Forecasts Using Survey Data," Working Paper 112, National Institute of Economic Research. [Downloadable!]
    13. Jürgen Arns & Kaushik Bhattacharya, 2005. "Modelling Aggregate Consumption Growth with Time-Varying Parameters," Bonn Econ Discussion Papers bgse15_2005, University of Bonn, Germany. [Downloadable!]
    14. Goggin, Jean, 2008. "An Analysis of the Potential of the European Commission Business and Consumer Surveys for Macroeconomic Forecasting," Quarterly Economic Commentary: Special Articles, Economic and Social Research Institute (ESRI), vol. 2008(4-Winter), pages 46-67. [Downloadable!]

  5. 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. [Downloadable!]
    Other versions:

    See citations under working paper version above.

  6. 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. [Downloadable!] (restricted)
    Other versions:

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  7. Sydney Ludvigson & Charles Steindel & Martin Lettau, 2002. "Monetary policy transmission through the consumption-wealth channel," Economic Policy Review, Federal Reserve Bank of New York, issue May, pages 117-133. [Downloadable!]

    Cited by:

    1. Robert S. Chirinko & Leo de Haan & Elmer Sterken, 2004. "Asset Price Shocks, Real Expenditures, and Financial Structure: A Multi-Country Analysis," DNB Working Papers 014, Netherlands Central Bank, Research Department. [Downloadable!]
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    2. Renee A. Fry & Vance L. Martin & Nicholas Voukelatos, 2009. "Overvaluation In Australian Housing And Equity Markets: Wealth Effects Or Monetary Policy?," CAMA Working Papers 2009-10, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
    3. Charles Ka Yui Leung & Nan-Kuang Chen & Chih-Chiang Hsu, 2004. "Structural Break or Asymmetry? An Empirical Study of the Stock Wealth Effect on Consumption," Econometric Society 2004 Far Eastern Meetings 690, Econometric Society. [Downloadable!]
    4. Edward E. Leamer, 2007. "Housing is the business cycle," Proceedings, Federal Reserve Bank of Kansas City, pages 149-233. [Downloadable!]
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    5. Edda Claus & ris Claus, 2007. "Transmitting shocks to the economy: The contribution of interest and exchange rates and the credit channel," The Institute for International Integration Studies Discussion Paper Series iiisdp206, IIIS. [Downloadable!]
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    6. Massimo Giuliodori, 2004. "Monetary Policy Shocks and the Role of House Prices Across European Countries," DNB Working Papers 015, Netherlands Central Bank, Research Department. [Downloadable!]
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    7. Stefano Neri, 2004. "Monetary policy and stock prices: theory and evidence," Temi di discussione (Economic working papers) 513, Bank of Italy, Economic Research Department. [Downloadable!]
    8. Hong Kong Monetary Authority, 2008. "The housing market channel of the monetary transmission mechanism in Hong Kong," BIS Papers chapters, in: Bank for International Settlements (ed.), Transmission mechanisms for monetary policy in emerging market economies, volume 35, pages 221-234 Bank for International Settlements. [Downloadable!]
    9. Hanna Putkuri, 2004. "Cross-country asymmetries in euro area monetary transmission: the role of national financial systems," Macroeconomics 0404037, EconWPA. [Downloadable!]
    10. Junning Cai, 2003. "Asset Prices and Monetary Policy: Some Notes," Macroeconomics 0305006, EconWPA, revised 13 May 2003. [Downloadable!]
    11. Hsiao Chink Tang, 2006. "The Relative Importance Of Monetary Policy Transmission Channels In Malaysia," CAMA Working Papers 2006-23, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]
    12. Vincent Labhard & Gabriel Sterne & Chris Young, . "Wealth and consumption: an assessment of the international evidence," Bank of England working papers 275, Bank of England. [Downloadable!]
    13. Araújo, Eurilton, 2008. "Robust Monetary Policy with the Consumption-Wealth Channel," Ibmec Working Papers wpe_108, Ibmec Working Paper, Ibmec São Paulo. [Downloadable!]
    14. Elmer Sterken, 2004. "The Role of the IFO Business Climate Indicator and Asset Prices in German Monetary Policy," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
    15. Héctor Bravo L. & Carlos García T. & Verónica Mies M. & Matías Tapia G., 2003. "Heterogeneidad de la Transmisión Monetaria: Efectos Sectoriales y Regionales," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 6(3), pages 5-26, December. [Downloadable!]
    16. Putkuri , Hanna, 2003. "Cross-country asymmetries in euro area monetary transmission: the role of national financial systems," Research Discussion Papers 15/2003, Bank of Finland. [Downloadable!]

  8. 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. [Downloadable!] (restricted)

    Cited by:

    1. Cheolbeom Park & Thomas Bishop, 2004. "Precautionary Saving, Borrowing Constraints, and Fiscal Policy," Econometric Society 2004 Far Eastern Meetings 706, Econometric Society. [Downloadable!]
    2. Christopher D. Carroll & Jirka Slacalek & Martin Sommer, 2008. "International Evidence On Sticky Consumption Growth," CFS Working Paper Series 2008/09, Center for Financial Studies. [Downloadable!]
      Other versions:
    3. Panos Pashardes & Soteroula Hajispyrou, 2002. "Consumer Demand and Welfare under Increasing Block Pricing," University of Cyprus Working Papers in Economics 0207, University of Cyprus Department of Economics. [Downloadable!]
    4. Michael Haliassos, 2002. "Stockholding: Recent Lessons from Theory and Computations," University of Cyprus Working Papers in Economics 0206, University of Cyprus Department of Economics. [Downloadable!]
    5. Haliassos, Michalis & Michaelides, Alexander, 2001. "Portfolio Choice and Liquidity Constraints," CEPR Discussion Papers 2822, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    6. L. Pozzi, 2005. "Income uncertainty and aggregate consumption," Research series 200511-2, National Bank of Belgium. [Downloadable!]
    7. Martin Lettau, 2001. "Idiosyncratic risk and volatility bounds, or can models with idiosyncratic risk solve the equity premium puzzle?," Staff Reports 130, Federal Reserve Bank of New York. [Downloadable!]
    8. Martin Sommer & Christopher Carroll, 2004. "Epidemiological expectations and consumption dynamics," Money Macro and Finance (MMF) Research Group Conference 2003 92, Money Macro and Finance Research Group. [Downloadable!]
    9. Lorenzo Pozzi, 2007. "Idiosyncratic Labour Income Risk and Aggregate Consumption: an Unobserved Component Approach," Tinbergen Institute Discussion Papers 07-069/2, Tinbergen Institute. [Downloadable!]
    10. Martin Sommer, 2004. "Habits, Sentiment and Predictable Income in the Dynamics of Aggregate Consumption," Macroeconomics 0408004, EconWPA. [Downloadable!]
    11. Panos Hatzipanayotou & Sajal Lahiri & Michael S. Michael, 2002. "Reforms of Environmental Policies in the Presence of Cross-border Pollution and two Stage Clean Up," University of Cyprus Working Papers in Economics 0203, University of Cyprus Department of Economics. [Downloadable!]
      Other versions:
    12. Yulei Luo, 2008. "Consumption Dynamics under Information Processing Constraints," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 11(2), pages 366-385, April. [Downloadable!] (restricted)
      Other versions:
    13. Martin Sommer, 2001. "Sentiment Predictable Income and Habits in the Dynamics of Aggregate Consumption," Economics Working Paper Archive 458, The Johns Hopkins University,Department of Economics. [Downloadable!]

  9. 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. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  10. 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. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  11. 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 847-75, November.
    Other versions:

    See citations under working paper version above.

  12. 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. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  13. Sydney Ludvigson & Charles Steindel, 1999. "How important is the stock market effect on consumption?," Economic Policy Review, Federal Reserve Bank of New York, issue Jul, pages 29-51. [Downloadable!]
    Other versions:

    See citations under working paper version above.

  14. 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 365-83, August.
    Other versions:

    See citations under working paper version above.

  15. Jason Bram & Sydney Ludvigson, 1998. "Does consumer confidence forecast household expenditure? a sentiment index horse race," Economic Policy Review, Federal Reserve Bank of New York, issue Jun, pages 59-78. [Downloadable!]
    Other versions:

    See citations under working paper version above.

  16. 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. [Downloadable!] (restricted)

    Cited by:

    1. Alberto Alesina & Silvia Ardagna & Roberto Perotti & Fabio Schiantarelli, 2002. "Fiscal Policy, Profits, and Investment," American Economic Review, American Economic Association, vol. 92(3), pages 571-589, June. [Downloadable!]
      Other versions:
    2. Railavo, Jukka, 2003. "Effects of the supply-side channel on stabilisation properties of policy rules," Research Discussion Papers 34/2003, Bank of Finland. [Downloadable!]
    3. Strulik, Holger & Trimborn, Timo, 2009. "Fiscal Stimulus: A Neoclassical Perspective," Diskussionspapiere der Wirtschaftswissenschaftlichen Fakultät der Universität Hannover dp-421, Universität Hannover, Wirtschaftswissenschaftliche Fakultät. [Downloadable!]
    4. Ludger Linnemann & Andreas Schabert, 2005. "Productive Government Expenditure in Monetary Business Cycle Models," Tinbergen Institute Discussion Papers 05-053/2, Tinbergen Institute. [Downloadable!]
      Other versions:
    5. K Peren Arin & Faik Koray, 2005. "Fiscal Policy and Economic Activity: U.S. Evidence," Macroeconomics 0508024, EconWPA. [Downloadable!]
      Other versions:
    6. Fabio Canova & Evi Pappa, 2003. "Price Differentials in Monetary Unions: The Role of Fiscal Shocks," Economics Working Papers 923, Department of Economics and Business, Universitat Pompeu Fabra, revised Jun 2005. [Downloadable!]
      Other versions:
    7. Stephanie Bell, 2000. "Functional Finance: What, Why, and How?," Macroeconomics 0004031, EconWPA. [Downloadable!]
    8. S. Brock Blomberg & Gregory Hess, 2001. "Is the Political Business Cycle for Real?," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
      Other versions:
    9. Richard Werner, 2004. "Why has Fiscal Policy Disappointed in Japan?," Money Macro and Finance (MMF) Research Group Conference 2004 9, Money Macro and Finance Research Group. [Downloadable!]
    10. Kirdan Lees & Troy Matheson, 2005. "Mind your Ps and Qs! Improving ARMA forecasts with RBC priors," Reserve Bank of New Zealand Discussion Paper Series DP2005/02, Reserve Bank of New Zealand. [Downloadable!]
      Other versions:
    11. Tommaso Monacelli & Roberto Perotti, 2008. "Fiscal Policy, Wealth Effects, and Markups," NBER Working Papers 14584, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    12. Mathias Trabandt & Harald Uhlig, 2006. "How Far Are We From The Slippery Slope? The Laffer Curve Revisited," SFB 649 Discussion Papers SFB649DP2006-023, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany. [Downloadable!]
      Other versions:
    13. Montoro, Carlos & Moreno, Eduardo, 2008. "Reglas fiscales y la volatilidad del producto," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 15, pages 65-92. [Downloadable!]
    14. Eric M. Leeper & Shu-Chun Susan Yang, 2006. "Dynamic Scoring: Alternative Financing Schemes," NBER Working Papers 12103, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    15. Montoro Carlos & Moreno Eduardo, 2007. "Structural Fiscal Rules and The Business Cycle," Working Papers 2007-011, Banco Central de Reserva del Perú. [Downloadable!]
    16. Quartey, Peter, 2005. "Financial Sector Development, Savings Mobilization and Poverty Reduction in Ghana," Working Papers RP2005/71, World Institute for Development Economic Research (UNU-WIDER). [Downloadable!]
    17. Fatás, Antonio & Mihov, Ilian, 2001. "The Effects of Fiscal Policy on Consumption and Employment: Theory and Evidence," CEPR Discussion Papers 2760, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    18. Agustín S. Bénétrix, 2009. "Fiscal Shocks and Real Wages," The Institute for International Integration Studies Discussion Paper Series iiisdp288, IIIS. [Downloadable!]
    19. Jukka Railavo, 2004. "Effects of the supply-side channel on stabilisation properties of policy rules," Macroeconomics 0404028, EconWPA. [Downloadable!]

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