Sai Ma

Federal Reserve Board,
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Washington, DC 20551

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Institutional Affiliation: Federal Reserve Board

NBER Working Papers and Publications

March 2017Shock Restricted Structural Vector-Autoregressions
with Sydney C. Ludvigson, Serena Ng: w23225
It is well known that the covariance structure of the data alone is not enough to identify an SVAR, and the conventional approach is to impose restrictions on the parameters of the model based on a priori theoretical considerations. This paper suggests that much can be gained by requiring the properties of the identified shocks to agree with major economic events that have been realized. We first show that even without additional restrictions, the data alone are often quite informative about the quantitatively important shocks that have occurred in the sample. We propose shrinking the set of solutions by imposing two types of inequality constraints on the shocks. The first restricts the sign and possibly magnitude of the shocks during unusual episodes in history. The second restricts the ...
December 2015Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?
with Sydney C. Ludvigson, Serena Ng: w21803
Uncertainty about the future rises in recessions. But is uncertainty a source of business cycles or an endogenous response to them, and does the type of uncertainty matter? We propose a novel SVAR identification strategy to address these questions via inequality constraints on the structural shocks. We find that sharply higher macroeconomic uncertainty in recessions is often an endogenous response to output shocks, while uncertainty about financial markets is a likely source of output fluctuations. But the findings also suggest that macroeconomic uncertainty plays an important role in recessions, by substantially amplifying downturns caused by other shocks.
December 2014Capital Share Risk in U.S. Asset Pricing
with Martin Lettau, Sydney C. Ludvigson: w20744
A single macroeconomic factor based on growth in the capital share of aggregate income exhibits significant explanatory power for expected returns across a range of equity characteristic portfolios and non-equity asset classes, with risk price estimates that are of the same sign and similar in magnitude. Positive exposure to capital share risk earns a positive risk premium, commensurate with recent asset pricing models in which redistributive shocks shift the share of income between the wealthy, who finance consumption primarily out of asset ownership, and workers, who finance consumption primarily out of wages and salaries.

Published: MARTIN LETTAU & SYDNEY C. LUDVIGSON & SAI MA, 2019. "Capital Share Risk in U.S. Asset Pricing," The Journal of Finance, vol 74(4), pages 1753-1792.

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