Search Results - person:"Ludvigson, Sydney C."

How the wealth was won : factor shares as market fundamentals

Greenwald, Daniel L.; Lettau, Martin; Ludvigson, Sydney C. - 2025

Persistent link: https://www.econbiz.de/10015453788

Bianchi, Francesco; Lee, Do Q.; Ludvigson, Sydney C.; … - 2025

How rational is the stock market and how efficiently does it process information? We use machine learning to establish a practical measure of rational and efficient expectation formation while identifying distortions and inefficiencies in the subjective beliefs of market participants. The...

Persistent link: https://www.econbiz.de/10015508566

Monetary-Based Asset Pricing : A Mixed-Frequency Structural Approach

Bianchi, Francesco; Ludvigson, Sydney C.; Ma, Sai - 2022

We integrate a high-frequency monetary event study into a mixed-frequency macro-finance model and structural estimation. The model and estimation allow for jumps at Fed announcements in investor beliefs, providing granular detail on why markets react to central bank communications. We find that...

Persistent link: https://www.econbiz.de/10013210100

Show one more version 1

Monetary-based asset pricing : a mixed-frequency structural approach

Bianchi, Francesco; Ludvigson, Sydney C.; Ma, Sai - 2022

Book / Working Paper

Belief distortions and macroeconomic fluctuations

Bianchi, Francesco; Ludvigson, Sydney C.; Ma, Sai - 2022

Persistent link: https://www.econbiz.de/10013336018

Show 4 more versions 4

Belief distortions and macroeconomic fluctuations

Bianchi, Francesco; Ludvigson, Sydney C.; Ma, Sai - 2020

Book / Working Paper

Belief distortions and macroeconomic fluctuations

Bianchi, Francesco; Ludvigson, Sydney C.; Ma, Sai - 2020

Book / Working Paper

Belief Distortions and Macroeconomic Fluctuations

Bianchi, Francesco; Ludvigson, Sydney C.; Ma, Sai - 2022

Book / Working Paper

Belief Distortions and Macroeconomic Fluctuations

Bianchi, Francesco - 2020

Book / Working Paper

What Hundreds of Economic News Events Say About Belief Overreaction in the Stock Market

Bianchi, Francesco; Ludvigson, Sydney C.; Ma, Sai - 2024

We measure the nature and severity of a variety of belief distortions in market reactions to hundreds of economic news events using a new methodology that synthesizes estimation of a structural asset pricing model with algorithmic machine learning to quantify bias. We estimate that investors...

Persistent link: https://www.econbiz.de/10014528341

Show one more version 1

What hundreds of economic news events say about belief overreaction in the stock market

Bianchi, Francesco; Ludvigson, Sydney C.; Ma, Sai - 2024

Book / Working Paper

Approximation Bias in Linearized Euler Equations

Paxson, Christina H.; Ludvigson, Sydney C. - 2021

A wide range of empirical applications rely on linear approximations to dynamic Euler equations. Among the most notable of these is the large and growing literature on precautionary saving that examines how consumption growth and saving behavior are affected by uncertainty and prudence. Linear...

Persistent link: https://www.econbiz.de/10013245738

Monetary policy and asset valuation

Bianchi, Francesco; Lettau, Martin; Ludvigson, Sydney C. - 2022

Persistent link: https://www.econbiz.de/10013190467

Show 5 more versions 5

Monetary policy and asset valuation

Bianchi, Francesco; Lettau, Martin; Ludvigson, Sydney C. - 2018

Book / Working Paper

Monetary Policy and Asset Valuation

Bianchi, Francesco; Lettau, Martin; Ludvigson, Sydney C. - 2021

Book / Working Paper

Monetary policy and asset valuation

Bianchi, Francesco; Lettau, Martin; Ludvigson, Sydney C. - 2018

Book / Working Paper

Monetary Policy and Asset Valuation

Bianchi, Francesco - 2016

Book / Working Paper

Monetary Policy and Asset Valuation

Bianchi, Francesco - 2016

Book / Working Paper

Shocks and Crashes

Lettau, Martin; Ludvigson, Sydney C. - 2021

Three shocks, distinguished by whether their effects are permanent or transitory, are identified to characterize the post-war dynamics of aggregate consumer spending, labor earnings, and household wealth. The first shock accounts for virtually all of the variation in consumption; we argue that...

Persistent link: https://www.econbiz.de/10013311928

Show 2 more versions 2

Shocks and Crashes

Lettau, Martin - 2011

Book / Working Paper

Shocks and Crashes

Lettau, Martin - 2011

Book / Working Paper

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

Lettau, Martin; Ludvigson, Sydney C. - 2021

Both textbook economics and common sense teach us that the value of household wealth should be related to consumer spending. At the same time, movements in asset values often seem disassociated with important movements in consumer spending, as episodes such as the 1987 stock market crash and the...

Persistent link: https://www.econbiz.de/10013313222

Elasticities of Substitution in Real Business Cycle Models with Home Production

Campbell, John Y.; Ludvigson, Sydney C. - 2021

This paper constructs a simple model of home production that demonstrates the connection between the intertemporal elasticity of substitution in market consumption (IES) and the static elasticity of substitution between home and market consumption (SES), when the utility function is additively...

Persistent link: https://www.econbiz.de/10013222057

Show one more version 1

Elasticities of Substitution in Real Business Cycle Models with Home Production

Campbell, John Y.; Ludvigson, Sydney C. - 2003

Book / Working Paper