Details about Timothy Cogley

Access statistics for papers by Timothy Cogley.

Last updated 2009-10-06. Update your information in the RePEc Author Service.

Short-id: pco39

Working Papers

2008

1. Inflation-Gap Persistence in the U.S
   NBER Working Papers, National Bureau of Economic Research, Inc View citations

2006

2. Trend inflation and inflation persistence in the New Keynesian Phillips Curve
   Staff Reports, Federal Reserve Bank of New York View citations

2005

3. A Search for a Structural Phillips Curve
   Working Papers, University of California at Davis, Department of Economics View citations
   Also in Computing in Economics and Finance 2004, Society for Computational Economics (2004) View citations
   Staff Reports, Federal Reserve Bank of New York (2005) View citations
4. Anticipated Utility and Rational Expectations as Approximations of Bayesian Decision Making
   Working Papers, University of California at Davis, Department of Economics View citations
   See also Journal Article in International Economic Review (2008)
5. Benefits from U.S. Monetary Policy Experimentation in the Days of Samuelson
   2005 Meeting Papers, Society for Economic Dynamics View citations
6. The Market Price of Risk and the Equity Premium
   Working Papers, University of California at Davis, Department of Economics
7. The conquest of U.S. inflation: learning and robustness to model uncertainty
   Working Paper Series, European Central Bank View citations
   See also Journal Article in Review of Economic Dynamics (2005)

2003

8. An Exploration of Evolving Term Structure Relations
   Working Papers, University of California at Davis, Department of Economics View citations
9. Bayesian Fan Charts for U.K. Inflation: Forecasting and Sources of Uncertainty in an Evolving Monetary System
   CFS Working Paper Series, Center for Financial Studies View citations
   See also Journal Article in Journal of Economic Dynamics and Control (2005)
10. Drifts and Volatilities: Monetary Policies and Outcomes in the Post War U.S
    Working Papers, University of California at Davis, Department of Economics View citations
11. Drifts and volatilities: monetary policies and outcomes in the post WWII U.S
    Working Paper, Federal Reserve Bank of Atlanta View citations
    Also in Working Papers, Department of Economics, W. P. Carey School of Business, Arizona State University View citations
    See also Journal Article in Review of Economic Dynamics (2005)

1998

12. A simple adaptive measure of core inflation
    Working Papers in Applied Economic Theory and Econometrics, Federal Reserve Bank of San Francisco View citations
    See also Journal Article in Journal of Money, Credit and Banking (2002)
13. Alternative definitions of the business cycle and their implications for business cycle models: a reply to Torben Mark Pederson
    Working Papers in Applied Economic Theory and Econometrics, Federal Reserve Bank of San Francisco View citations
    See also Journal Article in Journal of Economic Dynamics and Control (2001)
14. Idiosyncratic risk and the equity premium: evidence from the Consumer Expenditure Survey
    Working Papers in Applied Economic Theory and Econometrics, Federal Reserve Bank of San Francisco View citations
    See also Journal Article in Journal of Monetary Economics (2002)

1997

15. A frequency decomposition of approximation errors in stochastic discount factor models
    Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco View citations
    See also Journal Article in International Economic Review (2001)
16. Panel evidence on the speed of convergence
    Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco

1996

17. Estimating dynamic rational expectations models when the trend specification is uncertain
    Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco

1994

18. Maximum likelihood estimation with HP filtered data: an invariance theorem
    Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco
19. Output Dynamics in Real Business Cycle Models
    UBC Departmental Archives, UBC Department of Economics View citations
    Also in Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco (1993) View citations
    See also Journal Article in American Economic Review (1995)
20. Technical Appendix: Output Dynamics in rRal Business Cycle Models
    UBC Departmental Archives, UBC Department of Economics
21. Technical Appendix: Testing the Implications of the Long Run Neutrality for Monetary Business Cycle Models
    UBC Departmental Archives, UBC Department of Economics
22. Testing the Implications of Long Run Neutrality for Monetary Business Cycle Models
    UBC Departmental Archives, UBC Department of Economics View citations
    See also Journal Article in Journal of Applied Econometrics (1994)

1993

23. Effects of the Hodrick-Prescott filter on trend and difference stationary time series: implications for business cycle research
    Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco View citations
    See also Journal Article in Journal of Economic Dynamics and Control (1995)

1992

24. Do Real Business Cycles Models Pass the Nelson-Plosser Test?
    UBC Departmental Archives, UBC Department of Economics View citations
25. Effects of Hodrick-Prescott Filter on Trend and Difference Stationary Time Series: Implications for Business Cycle Research
    UBC Departmental Archives, UBC Department of Economics View citations

1990

26. SPURIOUS BUSINESS CYCLE PHENOMENA IN HP FILERED TIME SERIES
    Working Papers, University of Washington, Department of Economics View citations
    Also in Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington (1990)

1989

27. EMPIRICAL EVIDENCE ON NOMINAL WAGE AND PRICE FLEXIBILITY
    Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington
    Also in Working Papers, University of Washington, Department of Economics (1989)
    See also Journal Article in The Quarterly Journal of Economics (1993)
28. INTERNATIONAL EVIDENCE ON THE SIZE OF THE RANDOM WALK IN OUTPUT
    Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington View citations
    Also in Working Papers, University of Washington, Department of Economics (1989)
    See also Journal Article in Journal of Political Economy (1990)

Undated

29. Evolving Post-World War II U.S. Inflation Dynamics
    Working Papers, Department of Economics, W. P. Carey School of Business, Arizona State University View citations
    See also Chapter (2002)
30. How Fast Can the New Economy Grow? A Bayesian Analysis of the Evolution of Trend Growth
    Working Papers, Department of Economics, W. P. Carey School of Business, Arizona State University
    See also Journal Article in Journal of Macroeconomics (2005)

Journal Articles

2009

1. Diverse Beliefs, Survival and the Market Price of Risk
   Economic Journal, 2009, 119, (536), 354-376
2. Is the market price of risk infinite?
   Economics Letters, 2009, 102, (1), 13-16

2008

3. ANTICIPATED UTILITY AND RATIONAL EXPECTATIONS AS APPROXIMATIONS OF BAYESIAN DECISION MAKING
   International Economic Review, 2008, 49, (1), 185-221 View citations
   See also Working Paper (2005)
4. Commentary on "Optimal monetary policy under uncertainty: a Markov jump-linear-quadratic approach"
   Review, 2008, (Jul), 295-300
5. Introduction: Journal of Econometrics special issue honoring the research contributions of Charles R. Nelson
   Journal of Econometrics, 2008, 146, (2), 199-201
6. Robustness and U.S. Monetary Policy Experimentation
   Journal of Money, Credit and Banking, 2008, 40, (8), 1599-1623
7. The market price of risk and the equity premium: A legacy of the Great Depression?
   Journal of Monetary Economics, 2008, 55, (3), 454-476 View citations
8. Trend Inflation, Indexation, and Inflation Persistence in the New Keynesian Phillips Curve
   American Economic Review, 2008, 98, (5), 2101-26 View citations

2007

9. Benefits from U.S. Monetary Policy Experimentation in the Days of Samuelson and Solow and Lucas
   Journal of Money, Credit and Banking, 2007, 39, (s1), 67-99 View citations
   Also in Proceedings, 2005 (2005) View citations

2005

10. Bayesian fan charts for U.K. inflation: Forecasting and sources of uncertainty in an evolving monetary system
    Journal of Economic Dynamics and Control, 2005, 29, (11), 1893-1925 View citations
    See also Working Paper (2003)
11. Changing Beliefs and the Term Structure of Interest Rates: Cross-Equation Restrictions with Drifting Parameters
    Review of Economic Dynamics, 2005, 8, (2), 420-451 View citations
12. Drift and Volatilities: Monetary Policies and Outcomes in the Post WWII U.S
    Review of Economic Dynamics, 2005, 8, (2), 262-302 View citations
    See also Working Paper (2003)
13. How fast can the new economy grow? A Bayesian analysis of the evolution of trend growth
    Journal of Macroeconomics, 2005, 27, (2), 179-207 View citations
    See also Working Paper
14. The conquest of US inflation: Learning and robustness to model uncertainty
    Review of Economic Dynamics, 2005, 8, (2), 528-563 View citations
    See also Working Paper (2005)

2002

15. A Simple Adaptive Measure of Core Inflation
    Journal of Money, Credit and Banking, 2002, 34, (1), 94-113 View citations
    See also Working Paper (1998)
16. Idiosyncratic risk and the equity premium: evidence from the consumer expenditure survey
    Journal of Monetary Economics, 2002, 49, (2), 309-334 View citations
    See also Working Paper (1998)

2001

17. A Frequency Decomposition of Approximation Errors in Stochastic Discount Factor Models
    International Economic Review, 2001, 42, (2), 473-503
    See also Working Paper (1997)
18. Alternative definitions of the business cycle and their implications for business cycle models: A reply to Torben Mark Pederson
    Journal of Economic Dynamics and Control, 2001, 25, (8), 1103-1107 View citations
    See also Working Paper (1998)
19. Estimating and testing rational expectations models when the trend specification is uncertain
    Journal of Economic Dynamics and Control, 2001, 25, (10), 1485-1525 View citations

1999

20. Monetary policy and the great crash of 1929: a bursting bubble or collapsing fundamentals?
    FRBSF Economic Letter, 1999, (Mar 26)
21. Should the Fed take deliberate steps to deflate asset price bubbles?
    Economic Review, 1999, 42-52 View citations

1998

22. On the transition to a fully funded Social Security system
    FRBSF Economic Letter, 1998, (Mar 13)
23. The baby boom, the baby bust, and asset markets
    FRBSF Economic Letter, 1998, (Jun 26) View citations

1997

24. Evaluating non-structural measures of the business cycle
    Economic Review, 1997, 3-21 View citations
25. Proposals for reforming Social Security
    FRBSF Economic Letter, 1997, (May 9)
26. What is the optimal rate of inflation?
    FRBSF Economic Letter, 1997, (Sep 19)

1996

27. Why central bank independence helps to mitigate inflationary bias
    FRBSF Economic Letter, 1996, (Feb 23)
28. Why do stock prices sometimes fall in response to good economic news?
    FRBSF Economic Letter, 1996, (Dec 13) View citations

1995

29. Effects of the Hodrick-Prescott filter on trend and difference stationary time series Implications for business cycle research
    Journal of Economic Dynamics and Control, 1995, 19, (1-2), 253-278 View citations
    See also Working Paper (1993)
30. Financial fragility and the lender of last resort
    FRBSF Economic Letter, 1995, (May 26)
31. Inflation uncertainty and excess returns on stocks and banks
    Economic Review, 1995, 21-29 View citations
32. Output Dynamics in Real-Business-Cycle Models
    American Economic Review, 1995, 85, (3), 492-511 View citations
    See also Working Paper (1994)
33. Using consumption to track movements in trend GDP
    FRBSF Economic Letter, 1995, (Sep 1)

1994

34. Monetary policy in a low inflation regime
    FRBSF Economic Letter, 1994, (Apr 1)
35. Should the central bank be responsible for regional stabilization?
    FRBSF Economic Letter, 1994, (Jul 15)
36. Testing the Implications of Long-Run Neutrality for Monetary Business Cycle Models
    Journal of Applied Econometrics, 1994, 9, (S), S37-70 View citations
    See also Working Paper (1994)

1993

37. Adapting to instability in money demand: forecasting money growth with a time-varying parameter model
    Economic Review, 1993, 35-41
38. Empirical Evidence on Nominal Wage and Price Flexibility
    The Quarterly Journal of Economics, 1993, 108, (2), 475-91 View citations
    See also Working Paper (1989)
39. Impulse dynamics and propagation mechanisms in a real business cycle model
    Economics Letters, 1993, 43, (1), 77-81 View citations
40. Interpreting the term structure of interest rates
    FRBSF Economic Letter, 1993, (Apr 16) View citations
41. Monetary policy and long-term real interest rates
    FRBSF Economic Letter, 1993, (Dec 3) View citations
42. The recession, the recovery, and the productivity slowdown
    FRBSF Economic Letter, 1993, (Jan 8)

1991

43. Effects of the Hodrick-Prescott filter on integrated time series
    Proceedings, 1991, (Nov) View citations

1990

44. International Evidence on the Size of the Random Walk in Output
    Journal of Political Economy, 1990, 98, (3), 501-18 View citations
    See also Working Paper (1989)

Chapters

2007

1. Comment on "How Structural Are Structural Parameters?"
   A chapter in NBER Macroeconomics Annual 2007, Volume 22, 2007, pp 139-147

2002

2. Evolving Post-World War II U.S. Inflation Dynamics
   A chapter in NBER Macroeconomics Annual 2001, Volume 16, 2002, pp 331-388 View citations
   See also Working Paper

Editor

1. Journal of Economic Dynamics and Control
   Elsevier