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Details about John H. Cochrane

E-mail:
Homepage:http://faculty.chicagobooth.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 2014-02-03. Update your information in the RePEc Author Service.

Short-id: pco57


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Working Papers

2013

  1. A Mean-Variance Benchmark for Intertemporal Portfolio Theory
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
  2. Finance: Function Matters, not Size
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    See also Journal Article in Journal of Economic Perspectives (2013)
  3. The New-Keynesian Liquidity Trap
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads

2012

  1. Continuous-Time Linear Models
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    See also Journal Article in Foundations and Trends(R) in Finance (2012)

2011

  1. Discount Rates
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (13)

2010

  1. Understanding Policy in the Great Recession: Some Unpleasant Fiscal Arithmetic
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (3)
    See also Journal Article in European Economic Review (2011)

2009

  1. Can Learnability Save New-Keynesian Models?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (8)
    See also Journal Article in Journal of Monetary Economics (2009)
  2. Decomposing the Yield Curve
    2009 Meeting Papers, Society for Economic Dynamics View citations (2)

2007

  1. Determinacy and Identification with Taylor Rules
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (7)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2007) Downloads View citations (18)

    See also Journal Article in Journal of Political Economy (2011)

2006

  1. The Dog That Did Not Bark: A Defense of Return Predictability
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (5)
    See also Journal Article in Review of Financial Studies (2008)

2005

  1. Financial Markets and the Real Economy
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (28)
    See also Journal Article in Foundations and Trends(R) in Finance (2005)

2004

  1. Two Trees
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA Downloads
    See also Journal Article in Review of Financial Studies (2008)
  2. Two Trees: Asset Price Dynamics Induced by Market Clearing
    2004 Meeting Papers, Society for Economic Dynamics Downloads View citations (1)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2003) Downloads View citations (2)
    Levine's Bibliography, UCLA Department of Economics (2003) Downloads View citations (3)

2003

  1. Where is the Market Going: Uncertain Facts and Novel Theories
    Levine's Working Paper Archive, David K. Levine Downloads View citations (6)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1998) Downloads View citations (12)

    See also Journal Article in Economic Perspectives (1997)

2002

  1. Bond Risk Premia
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (66)
    See also Journal Article in American Economic Review (2005)
  2. Stocks as Money: Convenience Yield and the Tech-Stock Bubble
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (27)
  3. The Fed and Interest Rates: A High-Frequency Identification
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (51)
    See also Journal Article in American Economic Review (2002)

2001

  1. A Rehabilitation of Stochastic Discount Factor Methodology
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (4)
  2. 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 Downloads View citations (5)
    Also in Working Papers, University of Pennsylvania, Wharton School, Weiss Center (2001) Downloads View citations (5)
    NBER Working Papers, National Bureau of Economic Research, Inc (2001) Downloads View citations (10)
  3. The Risk and Return of Venture Capital
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (24)
    Also in University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA (2000) Downloads View citations (1)

    See also Journal Article in Journal of Financial Economics (2005)

2000

  1. Explaining the Poor Performance of Consumption-Based Asset Pricing Models
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (48)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1999) Downloads View citations (7)

    See also Journal Article in Journal of Finance (2000)
  2. Money as Stock: Price Level Determination with no Money Demand
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (27)

1999

  1. By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior
    Scholarly Articles, Harvard University Department of Economics Downloads View citations (756)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1995) Downloads View citations (63)
    CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago (1994) Downloads View citations (214)
    Working Papers, Federal Reserve Bank of Philadelphia (1994) View citations (13)
  2. New Facts in Finance
    CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago Downloads View citations (70)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1999) Downloads View citations (78)

    See also Journal Article in Economic Perspectives (1999)
  3. Portfolio Advice for a Multifactor World
    CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago Downloads View citations (25)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1999) Downloads View citations (25)

    See also Journal Article in Economic Perspectives (1999)

1998

  1. A Frictionless View of U.S. Inflation
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (67)
    Also in CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago (1998) Downloads View citations (78)

    See also Chapter (1999)
  2. 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 Downloads View citations (2)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1996) Downloads View citations (1)

    See also Journal Article in Journal of Political Economy (2000)
  3. Long-term Debt and Optimal Policy in the Fiscal Theory of the Price Level
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (11)
    Also in CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago (1998) Downloads View citations (25)

    See also Journal Article in Econometrica (2001)

1995

  1. What do the VARs Mean?: Measuring the Output Effects of Monetary Policy
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (4)
    See also Journal Article in Journal of Monetary Economics (1998)

1994

  1. Shocks
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (6)
    See also Journal Article in Carnegie-Rochester Conference Series on Public Policy (1994)

1992

  1. A Cross-Sectional Test of a Production-Based Asset Pricing Model
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (20)
  2. Asset Pricing Explorations for Macroeconomics
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (57)
    See also Chapter (1992)
  3. Explaining the Variance of Price Dividend Ratios
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (35)
    See also Journal Article in Review of Financial Studies (1992)

1991

  1. Inflation Stabilization in Reforming Socialist Economies: the Myth of the Monetary Overhang
    Working Papers, Pennsylvania State - Department of Economics View citations (2)
    See also Journal Article in Comparative Economic Studies (1991)
  2. Volatility Tests and Efficient Markets: A Review Essay
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (3)
    See also Journal Article in Journal of Monetary Economics (1991)

1990

  1. Stopping Inflation in Reforming Socialist Economies: Some Pleasant Socialist Arithmetics
    Working Papers, Pennsylvania State - Department of Economics View citations (1)
  2. 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 Downloads View citations (10)

1989

  1. 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 Downloads

1988

  1. A Test of Consumption Insurance
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (3)
  2. Production Based Asset Pricing
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (35)
  3. The Sensitivity of Tests of the Intertemporal Allocation of Consumption to Near-Rational Alternatives
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (27)
    See also Journal Article in American Economic Review (1989)

Journal Articles

2013

  1. Aligning Incentives at Systemically Important Financial Institutions: A Proposal by the Squam Lake Group
    Journal of Applied Corporate Finance, 2013, 25, (4), 37-40 Downloads
  2. Finance: Function Matters, Not Size
    Journal of Economic Perspectives, 2013, 27, (2), 29-50 Downloads
    See also Working Paper (2013)

2012

  1. Continuous-Time Linear Models
    Foundations and Trends(R) in Finance, 2012, 6, (3), 165-219 Downloads
    See also Working Paper (2012)

2011

  1. Determinacy and Identification with Taylor Rules
    Journal of Political Economy, 2011, 119, (3), 565 - 615 Downloads View citations (44)
    See also Working Paper (2007)
  2. HOW DID PAUL KRUGMAN GET IT SO WRONG?-super-1
    Economic Affairs, 2011, 31, (2), 36-40 View citations (1)
  3. Presidential Address: Discount Rates
    Journal of Finance, 2011, 66, (4), 1047-1108 View citations (54)
  4. Understanding policy in the great recession: Some unpleasant fiscal arithmetic
    European Economic Review, 2011, 55, (1), 2-30 Downloads View citations (20)
    See also Working Paper (2010)

2010

  1. The Squam Lake Report: Fixing the Financial System
    Journal of Applied Corporate Finance, 2010, 22, (3), 8-21 Downloads View citations (37)

2009

  1. Can learnability save new-Keynesian models?
    Journal of Monetary Economics, 2009, 56, (8), 1109-1113 Downloads View citations (8)
    See also Working Paper (2009)

2008

  1. The Dog That Did Not Bark: A Defense of Return Predictability
    Review of Financial Studies, 2008, 21, (4), 1533-1575 Downloads View citations (92)
    See also Working Paper (2006)
  2. Two Trees
    Review of Financial Studies, 2008, 21, (1), 347-385 Downloads View citations (9)
    See also Working Paper (2004)

2007

  1. Commentary on "Macroeconomic implications of changes in the term premium"
    Review, 2007, (Jul), 271-282 Downloads View citations (2)

2006

  1. International risk sharing is better than you think, or exchange rates are too smooth
    Journal of Monetary Economics, 2006, 53, (4), 671-698 Downloads View citations (54)
  2. Prediction and impulse responses in linear systems (in Russian)
    Quantile, 2006, (1), 21-26 Downloads

2005

  1. Bond Risk Premia
    American Economic Review, 2005, 95, (1), 138-160 Downloads View citations (224)
    See also Working Paper (2002)
  2. Financial Markets and the Real Economy
    Foundations and Trends(R) in Finance, 2005, 1, (1), 1-101 Downloads View citations (28)
    See also Working Paper (2005)
  3. Money as stock
    Journal of Monetary Economics, 2005, 52, (3), 501-528 Downloads View citations (27)
  4. The risk and return of venture capital
    Journal of Financial Economics, 2005, 75, (1), 3-52 Downloads View citations (93)
    See also Working Paper (2001)

2002

  1. The Fed and Interest Rates - A High-Frequency Identification
    American Economic Review, 2002, 92, (2), 90-95 Downloads View citations (46)
    See also Working Paper (2002)

2001

  1. Long-Term Debt and Optimal Policy in the Fiscal Theory of the Price Level
    Econometrica, 2001, 69, (1), 69-116 View citations (54)
    See also Working Paper (1998)
  2. Review of Peter M. Garber, Famous First Bubbles: The Fundamentals of Early Manias
    Journal of Political Economy, 2001, 109, (5), 1150-1179 Downloads

2000

  1. Beyond Arbitrage: Good-Deal Asset Price Bounds in Incomplete Markets
    Journal of Political Economy, 2000, 108, (1), 79-119 Downloads View citations (14)
    See also Working Paper (1998)
  2. Explaining the Poor Performance of Consumption-based Asset Pricing Models
    Journal of Finance, 2000, 55, (6), 2863-2878 Downloads View citations (31)
    See also Working Paper (2000)

1999

  1. Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior
    Journal of Political Economy, 1999, 107, (2), 205-251 Downloads View citations (265)
  2. New facts in finance
    Economic Perspectives, 1999, (Q III), 36-58 Downloads View citations (79)
    See also Working Paper (1999)
  3. Portfolio advice of a multifactor world
    Economic Perspectives, 1999, (Q III), 59-78 Downloads View citations (3)
    See also Working Paper (1999)

1998

  1. What do the VARs mean? Measuring the output effects of monetary policy
    Journal of Monetary Economics, 1998, 41, (2), 277-300 Downloads View citations (71)
    See also Working Paper (1995)

1997

  1. Where is the market going? Uncertain facts and novel theories
    Economic Perspectives, 1997, (Nov), 3-37 Downloads View citations (54)
    See also Working Paper (2003)

1996

  1. A Cross-Sectional Test of an Investment-Based Asset Pricing Model
    Journal of Political Economy, 1996, 104, (3), 572-621 Downloads View citations (194)

1995

  1. Time-Consistent Health Insurance
    Journal of Political Economy, 1995, 103, (3), 445-73 Downloads View citations (56)

1994

  1. Permanent and Transitory Components of GNP and Stock Prices
    The Quarterly Journal of Economics, 1994, 109, (1), 241-65 Downloads View citations (172)
  2. Shocks
    Carnegie-Rochester Conference Series on Public Policy, 1994, 41, (1), 295-364 Downloads
    See also Working Paper (1994)

1992

  1. Explaining the Variance of Price-Dividend Ratios
    Review of Financial Studies, 1992, 5, (2), 243-80 Downloads View citations (72)
    See also Working Paper (1992)

1991

  1. A Simple Test of Consumption Insurance
    Journal of Political Economy, 1991, 99, (5), 957-76 Downloads View citations (302)
  2. A critique of the application of unit root tests
    Journal of Economic Dynamics and Control, 1991, 15, (2), 275-284 Downloads View citations (83)
  3. Inflation Stabilization in Reforming Socialist Economies: The Myth of the Monetary Overhang
    Comparative Economic Studies, 1991, 33, (2), 97-122 Downloads View citations (2)
    See also Working Paper (1991)
  4. Production-Based Asset Pricing and the Link between Stock Returns and Economic Fluctuations
    Journal of Finance, 1991, 46, (1), 209-37 Downloads View citations (86)
  5. 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 Downloads View citations (5)
  6. Volatility tests and efficient markets: A review essay
    Journal of Monetary Economics, 1991, 27, (3), 463-485 Downloads View citations (59)
    See also Working Paper (1991)

1989

  1. 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 (15)
  2. The Sensitivity of Tests of the Intertemporal Allocation of Consumption to Near-Rational Alternatives
    American Economic Review, 1989, 79, (3), 319-37 Downloads View citations (66)
    See also Working Paper (1988)

1988

  1. How Big Is the Random Walk in GNP?
    Journal of Political Economy, 1988, 96, (5), 893-920 Downloads View citations (361)
  2. Multivariate estimates of the permanent components of GNP and stock prices
    Journal of Economic Dynamics and Control, 1988, 12, (2-3), 255-296 Downloads View citations (22)

Chapters

2009

  1. Comment on "On the Need for a New Approach to Analyzing Monetary Policy"
    A chapter in NBER Macroeconomics Annual 2008, Volume 23, 2009, pp 427-448 Downloads

1999

  1. A Frictionless View of U.S. Inflation
    A chapter in NBER Macroeconomics Annual 1998, volume 13, 1999, pp 323-421 Downloads View citations (7)
    See also Working Paper (1998)

1992

  1. Asset Pricing Explorations for Macroeconomics
    A chapter in NBER Macroeconomics Annual 1992, Volume 7, 1992, pp 115-182 Downloads View citations (86)
    See also Working Paper (1992)
 
Page updated 2014-07-23