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Details about Timothy Cogley

E-mail:
Homepage:http://files.nyu.edu/tc60/public
Phone:212-992-8679
Postal address:Department of Economics New York University 19 W. 4th St., 6FL New York, NY 10012
Workplace:Department of Economics, New York University (NYU), (more information at EDIRC)

Access statistics for papers by Timothy Cogley.

Last updated 2012-09-25. Update your information in the RePEc Author Service.

Short-id: pco39


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Working Papers

2012

  1. Bayesian IV: the normal case with multiple endogenous variables
    University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara Downloads
  2. Robust Estimation of ARMA Models with Near Root Cancellation
    University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara Downloads

2011

  1. A Bayesian approach to optimal monetary policy with parameter and model uncertainty
    Bank of England working papers, Bank of England Downloads View citations (8)
    See also Journal Article in Journal of Economic Dynamics and Control (2011)
  2. Optimal Disinflation Under Learning
    2011 Meeting Papers, Society for Economic Dynamics Downloads View citations (15)
    Also in Staff Reports, Federal Reserve Bank of New York (2011) Downloads View citations (10)

2008

  1. Inflation-Gap Persistence in the U.S
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (22)
    See also Journal Article in American Economic Journal: Macroeconomics (2010)
  2. Robustness and US Monetary
    2008 Meeting Papers, Society for Economic Dynamics View citations (42)

2006

  1. Trend inflation and inflation persistence in the New Keynesian Phillips curve
    Staff Reports, Federal Reserve Bank of New York Downloads View citations (26)

2005

  1. A Search for a Structural Phillips Curve*
    Working Papers, University of California, Davis, Department of Economics Downloads View citations (6)
    Also in Computing in Economics and Finance 2004, Society for Computational Economics (2004) View citations (14)
    Staff Reports, Federal Reserve Bank of New York (2005) Downloads View citations (57)
  2. Anticipated Utility and Rational Expectations as Approximations of Bayesian Decision Making
    Working Papers, University of California, Davis, Department of Economics Downloads View citations (1)
    See also Journal Article in International Economic Review (2008)
  3. Benefits from U.S. Monetary Policy Experimentation in the Days of Samuelson
    2005 Meeting Papers, Society for Economic Dynamics Downloads View citations (8)
  4. The Market Price of Risk and the Equity Premium
    Working Papers, University of California, Davis, Department of Economics Downloads View citations (1)
  5. The conquest of U.S. inflation: learning and robustness to model uncertainty
    Working Paper Series, European Central Bank Downloads View citations (60)
    See also Journal Article in Review of Economic Dynamics (2005)

2003

  1. An Exploration of Evolving Term Stucture Relations
    Working Papers, University of California, Davis, Department of Economics Downloads
  2. Drifts and Volatilities: Monetary Policies and Outcomes in the Post War U.S
    Working Papers, University of California, Davis, Department of Economics Downloads
  3. Drifts and volatilities: monetary policies and outcomes in the post WWII U.S
    Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (99)
    Also in Working Papers, Department of Economics, W. P. Carey School of Business, Arizona State University Downloads View citations (38)

    See also Journal Article in Review of Economic Dynamics (2005)

1997

  1. 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 (1)
    See also Journal Article in International Economic Review (2001)

1996

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

1994

  1. Maximum likelihood estimation with HP filtered data: an invariance theorem
    Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco

1993

  1. 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 (95)
    See also Journal Article in Journal of Economic Dynamics and Control (1995)
  2. Output dynamics in real business cycle models
    Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco View citations (170)
    See also Journal Article in American Economic Review (1995)

1990

  1. SPURIOUS BUSINESS CYCLE PHENOMENA IN HP FILERED TIME SERIES
    Working Papers, University of Washington, Department of Economics View citations (1)
    Also in Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington (1990)

1989

  1. 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)
  2. 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 (2)
    Also in Working Papers, University of Washington, Department of Economics (1989)

    See also Journal Article in Journal of Political Economy (1990)

Undated

  1. Evolving Post-World War II U.S. Inflation Dynamics
    Working Papers, Department of Economics, W. P. Carey School of Business, Arizona State University Downloads View citations (120)
    See also Chapter (2002)
  2. 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 Downloads
    See also Journal Article in Journal of Macroeconomics (2005)

Journal Articles

2012

  1. Market Prices of Risk with Diverse Beliefs, Learning, and Catastrophes
    American Economic Review, 2012, 102, (3), 141-46 Downloads

2011

  1. A Bayesian approach to optimal monetary policy with parameter and model uncertainty
    Journal of Economic Dynamics and Control, 2011, 35, (12), 2186-2212 Downloads View citations (4)
    See also Working Paper (2011)

2010

  1. Are DSGE Approximating Models Invariant to Shifts in Policy?
    The B.E. Journal of Macroeconomics, 2010, 10, (1), 1-33 Downloads View citations (7)
  2. Inflation-Gap Persistence in the US
    American Economic Journal: Macroeconomics, 2010, 2, (1), 43-69 Downloads View citations (82)
    See also Working Paper (2008)

2009

  1. Diverse Beliefs, Survival and the Market Price of Risk
    Economic Journal, 2009, 119, (536), 354-376 Downloads View citations (3)
  2. Is the market price of risk infinite?
    Economics Letters, 2009, 102, (1), 13-16 Downloads View citations (2)

2008

  1. ANTICIPATED UTILITY AND RATIONAL EXPECTATIONS AS APPROXIMATIONS OF BAYESIAN DECISION MAKING
    International Economic Review, 2008, 49, (1), 185-221 Downloads View citations (18)
    See also Working Paper (2005)
  2. Commentary on "Optimal monetary policy under uncertainty: a Markov jump-linear-quadratic approach"
    Review, 2008, (Jul), 295-300 Downloads
  3. Introduction: Journal of Econometrics special issue honoring the research contributions of Charles R. Nelson
    Journal of Econometrics, 2008, 146, (2), 199-201 Downloads
  4. Robustness and U.S. Monetary Policy Experimentation
    Journal of Money, Credit and Banking, 2008, 40, (8), 1599-1623 Downloads View citations (17)
  5. The market price of risk and the equity premium: A legacy of the Great Depression?
    Journal of Monetary Economics, 2008, 55, (3), 454-476 Downloads View citations (37)
  6. Trend Inflation, Indexation, and Inflation Persistence in the New Keynesian Phillips Curve
    American Economic Review, 2008, 98, (5), 2101-26 Downloads View citations (68)

2007

  1. 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 Downloads View citations (17)
    Also in Proceedings, 2005 (2005) Downloads View citations (12)

2005

  1. 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 Downloads View citations (52)
  2. Changing Beliefs and the Term Structure of Interest Rates: Cross-Equation Restrictions with Drifting Parameters
    Review of Economic Dynamics, 2005, 8, (2), 420-451 Downloads View citations (19)
  3. Drift and Volatilities: Monetary Policies and Outcomes in the Post WWII U.S
    Review of Economic Dynamics, 2005, 8, (2), 262-302 Downloads View citations (74)
    See also Working Paper (2003)
  4. How fast can the new economy grow? A Bayesian analysis of the evolution of trend growth
    Journal of Macroeconomics, 2005, 27, (2), 179-207 Downloads View citations (16)
    See also Working Paper
  5. The conquest of US inflation: Learning and robustness to model uncertainty
    Review of Economic Dynamics, 2005, 8, (2), 528-563 Downloads View citations (57)
    See also Working Paper (2005)

2002

  1. A Simple Adaptive Measure of Core Inflation
    Journal of Money, Credit and Banking, 2002, 34, (1), 94-113 View citations (68)
  2. Idiosyncratic risk and the equity premium: evidence from the consumer expenditure survey
    Journal of Monetary Economics, 2002, 49, (2), 309-334 Downloads View citations (54)

2001

  1. A Frequency Decomposition of Approximation Errors in Stochastic Discount Factor Models
    International Economic Review, 2001, 42, (2), 473-503 View citations (3)
    See also Working Paper (1997)
  2. 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 Downloads View citations (11)
  3. Estimating and testing rational expectations models when the trend specification is uncertain
    Journal of Economic Dynamics and Control, 2001, 25, (10), 1485-1525 Downloads View citations (7)

1999

  1. Monetary policy and the great crash of 1929: a bursting bubble or collapsing fundamentals?
    FRBSF Economic Letter, 1999, (mar26) Downloads
  2. Should the Fed take deliberate steps to deflate asset price bubbles?
    Economic Review, 1999, 42-52 Downloads View citations (29)

1998

  1. The baby boom, the baby bust, and asset markets
    FRBSF Economic Letter, 1998, (jun26) Downloads View citations (2)

1997

  1. Evaluating non-structural measures of the business cycle
    Economic Review, 1997, 3-21 Downloads View citations (16)
  2. Proposals for reforming Social Security
    FRBSF Economic Letter, 1997, (may9) Downloads
  3. What is the optimal rate of inflation?
    FRBSF Economic Letter, 1997, (sep19) Downloads

1996

  1. Why central bank independence helps to mitigate inflationary bias
    FRBSF Economic Letter, 1996, (feb23) Downloads
  2. Why do stock prices sometimes fall in response to good economic news?
    FRBSF Economic Letter, 1996, (dec13) Downloads View citations (2)

1995

  1. 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 Downloads View citations (240)
    See also Working Paper (1993)
  2. Financial fragility and the lender of last resort
    FRBSF Economic Letter, 1995, (may26) Downloads
  3. Inflation uncertainty and excess returns on stocks and banks
    Economic Review, 1995, 21-29 Downloads View citations (1)
  4. Output Dynamics in Real-Business-Cycle Models
    American Economic Review, 1995, 85, (3), 492-511 Downloads View citations (229)
    See also Working Paper (1993)
  5. Using consumption to track movements in trend GDP
    FRBSF Economic Letter, 1995, (sep1) Downloads

1994

  1. Monetary policy in a low inflation regime
    FRBSF Economic Letter, 1994, (apr1) Downloads
  2. Should the central bank be responsible for regional stabilization?
    FRBSF Economic Letter, 1994, (jul15) Downloads
  3. Testing the Implications of Long-Run Neutrality for Monetary Business Cycle Models
    Journal of Applied Econometrics, 1994, 9, (S), S37-70 Downloads View citations (33)

1993

  1. Adapting to instability in money demand: forecasting money growth with a time-varying parameter model
    Economic Review, 1993, 35-41 Downloads View citations (1)
  2. Empirical Evidence on Nominal Wage and Price Flexibility
    The Quarterly Journal of Economics, 1993, 108, (2), 475-91 Downloads View citations (3)
    See also Working Paper (1989)
  3. Impulse dynamics and propagation mechanisms in a real business cycle model
    Economics Letters, 1993, 43, (1), 77-81 Downloads View citations (20)
  4. Interpreting the term structure of interest rates
    FRBSF Economic Letter, 1993, (apr16) Downloads View citations (1)
  5. Monetary policy and long-term real interest rates
    FRBSF Economic Letter, 1993, (dec3) Downloads View citations (1)
  6. The recession, the recovery, and the productivity slowdown
    FRBSF Economic Letter, 1993, (jan8) Downloads

1991

  1. Effects of the Hodrick-Prescott filter on integrated time series
    Proceedings, 1991, (Nov) View citations (15)

1990

  1. International Evidence on the Size of the Random Walk in Output
    Journal of Political Economy, 1990, 98, (3), 501-18 Downloads View citations (54)
    See also Working Paper (1989)

Chapters

2008

  1. Comment on "How Structural Are Structural Parameters?"
    A chapter in NBER Macroeconomics Annual 2007, Volume 22, 2008, pp 139-147 Downloads

2002

  1. Evolving Post-World War II U.S. Inflation Dynamics
    A chapter in NBER Macroeconomics Annual 2001, Volume 16, 2002, pp 331-388 Downloads View citations (19)
    See also Working Paper

Editor

  1. Journal of Economic Dynamics and Control
    Elsevier
 
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