Details about John H. Cochrane

E-mail:
Homepage:	http://faculty.chicagogsb.edu/john.cochrane/research/Papers/
Phone:	773 702 3059
Postal address:	5807 S. Woodlawn Chicago IL 60637
Workplace:	National Bureau of Economic Research (NBER), (more information at EDIRC) Booth School of Business, University of Chicago, (more information at EDIRC)

Access statistics for papers by John H. Cochrane.

Last updated 2009-04-15. Update your information in the RePEc Author Service.

Short-id: pco57

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Jump to Journal Articles Chapters

Working Papers

2009

1. Can Learnability Save New-Keynesian Models?
   NBER Working Papers, National Bureau of Economic Research, Inc

2007

2. Identification with Taylor Rules: A Critical Review
   NBER Working Papers, National Bureau of Economic Research, Inc View citations
3. Inflation Determination With Taylor Rules: A Critical Review
   NBER Working Papers, National Bureau of Economic Research, Inc View citations

2006

4. The Dog That Did Not Bark: A Defense of Return Predictability
   NBER Working Papers, National Bureau of Economic Research, Inc View citations
   See also Journal Article in Review of Financial Studies (2008)

2005

5. Financial Markets and the Real Economy
   NBER Working Papers, National Bureau of Economic Research, Inc View citations

2004

6. Two Trees: Asset Price Dynamics Induced by Market Clearing
   2004 Meeting Papers, Society for Economic Dynamics
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2003) View citations
   Levine's Bibliography, UCLA Department of Economics (2003) View citations
   University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA (2003) View citations

2003

7. Where is the Market Going: Uncertain Facts and Novel Theories
   Levine's Working Paper Archive, David K. Levine
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (1998) View citations
   See also Journal Article in Economic Perspectives (1997)

2002

8. Bond Risk Premia
   NBER Working Papers, National Bureau of Economic Research, Inc View citations
   See also Journal Article in American Economic Review (2005)
9. Stocks as Money: Convenience Yield and the Tech-Stock Bubble
   NBER Working Papers, National Bureau of Economic Research, Inc View citations
10. The Fed and Interest Rates: A High-Frequency Identification
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See also Journal Article in American Economic Review (2002)

2001

11. A Rehabilitation of Stochastic Discount Factor Methodology
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
12. International Risk Sharing is Better Than You Think (or Exchange Rates are Much Too Smooth!
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA View citations
    Also in Working Papers, University of Pennsylvania, Wharton School, Weiss Center (2001) View citations
    NBER Working Papers, National Bureau of Economic Research, Inc (2001) View citations
13. The Risk and Return of Venture Capital
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    Also in University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA (2000) View citations
    See also Journal Article in Journal of Financial Economics (2005)

2000

14. Money as Stock: Price Level Determination with no Money Demand
    NBER Working Papers, National Bureau of Economic Research, Inc View citations

1999

15. Explaining the Poor Performance of Consumption-Based Asset Pricing Models
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See also Journal Article in Journal of Finance (2000)
16. New Facts in Finance
    CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago View citations
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1999) View citations
    See also Journal Article in Economic Perspectives (1999)
17. Portfolio Advice for a Multifactor World
    CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago View citations
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1999) View citations
    See also Journal Article in Economic Perspectives (1999)

1998

18. A Frictionless View of U.S. Inflation
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    Also in CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago (1998) View citations
    See also Chapter (1999)
19. Beyond Arbitrage: "Good-Deal" Asset Price Bounds in Incomplete Markets
    CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1996) View citations
    See also Journal Article in Journal of Political Economy (2001)
20. Long-term Debt and Optimal Policy in the Fiscal Theory of the Price Level
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    Also in CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago (1998) View citations
    See also Journal Article in Econometrica (2001)

1996

21. A Cross-Sectional Test of a Production-Based Asset Pricing Model
    NBER Working Papers, National Bureau of Economic Research, Inc View citations

1995

22. By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    Also in CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago (1994) View citations
    Working Papers, Federal Reserve Bank of Philadelphia (1994) View citations
23. Shocks
    NBER Working Papers, National Bureau of Economic Research, Inc
    See also Journal Article in Carnegie-Rochester Conference Series on Public Policy (1994)
24. What do the VARs Mean?: Measuring the Output Effects of Monetary Policy
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See also Journal Article in Journal of Monetary Economics (1998)

1994

25. Univariate vs. Multivariate Forecasts of GNP Growth and Stock Returns: Evidence and Implications for the Persistence of Shocks, Detrending Methods
    NBER Working Papers, National Bureau of Economic Research, Inc View citations

1993

26. Asset Pricing Explorations for Macroeconomics
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See also Chapter (1992)

1992

27. A Test of Consumption Insurance
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
28. Explaining the Variance of Price Dividend Ratios
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See also Journal Article in Review of Financial Studies (1992)
29. Using Production Based Asset Pricing to Explain the Behavior of Stock Returns Over the Business Cycle
    NBER Working Papers, National Bureau of Economic Research, Inc
30. Volatility Tests and Efficient Markets: A Review Essay
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See also Journal Article in Journal of Monetary Economics (1991)

1991

31. Inflation Stabilization in Reforming Socialist Economies: the Myth of the Monetary Overhang
    Working Papers, Pennsylvania State - Department of Economics View citations

1990

32. Stopping Inflation in Reforming Socialist Economies: Some Pleasant Socialist Arithmetics
    Working Papers, Pennsylvania State - Department of Economics

1989

33. The Sensitivity of Tests of the Intertemporal Allocation of Consumption to Near-Rational Alternatives
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See also Journal Article in American Economic Review (1989)

1988

34. Production Based Asset Pricing
    NBER Working Papers, National Bureau of Economic Research, Inc View citations

Journal Articles

2008

1. The Dog That Did Not Bark: A Defense of Return Predictability
   Review of Financial Studies, 2008, 21, (4), 1533-1575 View citations
   See also Working Paper (2006)
2. Two Trees
   Review of Financial Studies, 2008, 21, (1), 347-385 View citations

2007

3. Commentary on "Macroeconomic implications of changes in the term premium"
   Review, 2007, (Jul), 271-282 View citations

2006

4. International risk sharing is better than you think, or exchange rates are too smooth
   Journal of Monetary Economics, 2006, 53, (4), 671-698 View citations
5. Prediction and impulse responses in linear systems (in Russian)
   Quantile, 2006, (1), 21-26

2005

6. Bond Risk Premia
   American Economic Review, 2005, 95, (1), 138-160 View citations
   See also Working Paper (2002)
7. Money as stock
   Journal of Monetary Economics, 2005, 52, (3), 501-528 View citations
8. The risk and return of venture capital
   Journal of Financial Economics, 2005, 75, (1), 3-52 View citations
   See also Working Paper (2001)

2002

9. The Fed and Interest Rates - A High-Frequency Identification
   American Economic Review, 2002, 92, (2), 90-95 View citations
   See also Working Paper (2002)

2001

10. Beyond Arbitrage: Good-Deal Asset Price Bounds in Incomplete Markets
    Journal of Political Economy, 2001, 108, (1), 79-119
    See also Working Paper (1998)
11. Long-Term Debt and Optimal Policy in the Fiscal Theory of the Price Level
    Econometrica, 2001, 69, (1), 69-116 View citations
    See also Working Paper (1998)
12. Review of Peter M. Garber, Famous First Bubbles: The Fundamentals of Early Manias
    Journal of Political Economy, 2001, 109, (5), 1150-1179

2000

13. Explaining the Poor Performance of Consumption-based Asset Pricing Models
    Journal of Finance, 2000, 55, (6), 2863-2878 View citations
    See also Working Paper (1999)

1999

14. Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior
    Journal of Political Economy, 1999, 107, (2), 205-251 View citations
15. New facts in finance
    Economic Perspectives, 1999, (Q III), 36-58 View citations
    See also Working Paper (1999)
16. Portfolio advice of a multifactor world
    Economic Perspectives, 1999, (Q III), 59-78 View citations
    See also Working Paper (1999)

1998

17. What do the VARs mean? Measuring the output effects of monetary policy
    Journal of Monetary Economics, 1998, 41, (2), 277-300 View citations
    See also Working Paper (1995)

1997

18. Where is the market going? Uncertain facts and novel theories
    Economic Perspectives, 1997, (Nov), 3-37 View citations
    See also Working Paper (2003)

1996

19. A Cross-Sectional Test of an Investment-Based Asset Pricing Model
    Journal of Political Economy, 1996, 104, (3), 572-621 View citations

1995

20. Time-Consistent Health Insurance
    Journal of Political Economy, 1995, 103, (3), 445-73 View citations

1994

21. Permanent and Transitory Components of GNP and Stock Prices
    The Quarterly Journal of Economics, 1994, 109, (1), 241-65 View citations
22. Shocks
    Carnegie-Rochester Conference Series on Public Policy, 1994, 41, (1), 295-364
    See also Working Paper (1995)

1992

23. Explaining the Variance of Price-Dividend Ratios
    Review of Financial Studies, 1992, 5, (2), 243-80 View citations
    See also Working Paper (1992)

1991

24. A Simple Test of Consumption Insurance
    Journal of Political Economy, 1991, 99, (5), 957-76 View citations
25. A critique of the application of unit root tests
    Journal of Economic Dynamics and Control, 1991, 15, (2), 275-284 View citations
26. Production-Based Asset Pricing and the Link between Stock Returns and Economic Fluctuations
    Journal of Finance, 1991, 46, (1), 209-37 View citations
27. The response of consumption to income: A Cross-Country investigation: by J.Y. Campbell and N.G. Mankiw why test the permanent income hypothesis?
    European Economic Review, 1991, 35, (4), 757-764 View citations
28. Volatility tests and efficient markets: A review essay
    Journal of Monetary Economics, 1991, 27, (3), 463-485 View citations
    See also Working Paper (1992)

1989

29. The Return of the Liquidity Effect: A Study of the Short-run Relation between Money Growth and Interest Rates
    Journal of Business & Economic Statistics, 1989, 7, (1), 75-83 View citations
30. The Sensitivity of Tests of the Intertemporal Allocation of Consumption to Near-Rational Alternatives
    American Economic Review, 1989, 79, (3), 319-37 View citations
    See also Working Paper (1989)

1988

31. How Big Is the Random Walk in GNP?
    Journal of Political Economy, 1988, 96, (5), 893-920 View citations
32. Multivariate estimates of the permanent components of GNP and stock prices
    Journal of Economic Dynamics and Control, 1988, 12, (2-3), 255-296 View citations

Chapters

2008

1. Comment on "On the Need for a New Approach to Analyzing Monetary Policy"
   A chapter in NBER Macroeconomics Annual 2008, 2008

1999

2. A Frictionless View of U.S. Inflation
   A chapter in NBER Macroeconomics Annual 1998, volume 13, 1999, pp 323-421
   See also Working Paper (1998)

1992

3. Asset Pricing Explorations for Macroeconomics
   A chapter in NBER Macroeconomics Annual 1992, Volume 7, 1992, pp 115-182 View citations
   See also Working Paper (1993)