Sydney
C. Ludvigson
Data
and Appendixes
- CAY data: For quarterly
and
annual DATA on consumption, asset wealth, labor income, cay and
cdy, used in several papers, click HERE.
(Also
includes regularily updated cay data.)
- Factor Analysis Data:
For large data set 1964:1-2007:12 used to construct factors and
programs files used in Handbook of Empirical Economics and Finance article, "A Factor Analysis of Bond Risk Premia"
with Serena Ng, click HERE.
- Macro Factors in Bond Risk Premia data: For data (estimated factors and return data), used in 2009 RFS paper with Serena Ng, click HERE.
- Web Appendix to "Investor Information, Long-run Risk, and the Duration of Risky Cash-Flows." (PDF file).
- Technical appendix to "Elasticities of
Substitution in Real Business Cycle Models with Home Production." (PDF
file).
- Technical
appendix to "Monetary Policy Transmission
Through the Consumption-Wealth Channel." (PDF file).
- Appendix to "Expected
Returns and Expected Dividend Growth." (PDF file).
- Numberical appendix to "The Declining
Equity
Premium: What Role Does Macroeconomic Risk Play?" (PDF file).
- Technical Appendix to "Macro Factors in Bond Risk Premia." (PDF file).
Erratum:
The elasticities reported
in Table 2 of "The Macroeconomic Effects of Government Debt in a
Stochastic
Growth Model" are elasticities with respect to log government debt at
time
t+1, rather than elasticities with repsect to the innovation to
log
debt, as stated in the text. Thus, Table 2 traces out the effects of a
persistent
increase in debt (the innovation plus all the subsequent changes in
debt)
rather than the effects of just the one-time innovation.