Details about James Hamilton

E-mail:
Homepage:	http://www.econ.ucsd.edu/~jhamilto/
Phone:	858-534-3383
Postal address:	Department of Economics, 0508 UCSD La Jolla, CA 92093-0508
Workplace:	Department of Economics, University of California-San Diego (UCSD), (more information at EDIRC)

Access statistics for papers by James Hamilton.

Last updated 2008-08-04. Update your information in the RePEc Author Service.

Short-id: pha60

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Jump to Journal Articles Chapters

Working Papers

2008

1. Daily Monetary Policy Shocks and the Delayed Response of New Home Sales
   NBER Working Papers, National Bureau of Economic Research, Inc
2. Macroeconomics and ARCH
   NBER Working Papers, National Bureau of Economic Research, Inc

2007

3. Assessing Monetary Policy Effects Using Daily Fed Funds Futures Contracts
   NBER Working Papers, National Bureau of Economic Research, Inc View citations
4. Daily Changes in Fed Funds Futures Prices
   NBER Working Papers, National Bureau of Economic Research, Inc View citations

2005

5. Dating Business Cycle Turning Points
   NBER Working Papers, National Bureau of Economic Research, Inc View citations
6. What's Real About the Business Cycle?
   NBER Working Papers, National Bureau of Economic Research, Inc View citations
   See Also Journal Article in Review (2005)

2004

7. Normalization in econometrics
   Working Paper, Federal Reserve Bank of Atlanta View citations
   See Also Journal Article in Econometric Reviews (2007)

2003

8. Why Are Prices Sticky? The Dynamics of Wholesale Gasoline Prices
   NBER Working Papers, National Bureau of Economic Research, Inc View citations
   See Also Journal Article in Journal of Money, Credit and Banking (2004)

2001

9. Oil Shocks and Aggregate Macroeconomic Behavior: The Role of Monetary Policy
   University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations

2000

10. A Model for the Federal Funds Rate Target
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    Also in
    Department of Economics, California Davis - Department of Economics View citations
    See Also Journal Article in Journal of Political Economy (2002)
11. A Re-examination of the Predictability of Economic Activity Using the Yield Spread
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    Also in
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (2000) View citations
    See Also Journal Article in Journal of Money, Credit and Banking (2002)
12. What is an Oil Shock?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See Also Journal Article in Journal of Econometrics (2003)

1999

13. A Parametric Approach to Flexible Nonlinear Inference
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego
    See Also Journal Article in Econometrica (2001)

1997

14. The Augmented Solow Model and the Productivity Slowdown
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego
    See Also Journal Article in Journal of Monetary Economics (1998)
15. The Supply and Demand for Federal Reserve Deposits
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego
    See Also Journal Article in Carnegie-Rochester Conference Series on Public Policy (1998)

1996

16. Measuring the Liquidity Effect
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
    Also in
    Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco (1996) View citations
    See Also Journal Article in American Economic Review (1997)
17. Stock Market Volatility and The Business Cycle
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
    See Also Journal Article in Journal of Applied Econometrics (1996)

1995

18. Specification Testing in Markov-Switching Time Series Models
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego
    See Also Journal Article in Journal of Econometrics (1996)
19. The Daily Market for Federal Funds
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego
    See Also Journal Article in Journal of Political Economy (1996)
20. This is what happened to the Oil Price-Macroeconomy Relationship
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego
    See Also Journal Article in Journal of Monetary Economics (1996)
21. What do the Leading Indicators Lead?
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
    See Also Journal Article in Journal of Business (1996)

1994

22. Rational Expectations and the Economic Consequences of Changes in Regime
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego

1993

23. Autoregressive Conditional Heteroskedasticity and Changes in Regime
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego
    See Also Journal Article in Journal of Econometrics (1994)
24. State-Space Models
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego
    See Also Chapter (1986)

1989

25. Long Swings in the Exchange Rate: Are they in the Data and Do Markets Know It?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations

1985

26. On the Limitations of Government Borrowing: A Framework for Empirical Testing
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See Also Journal Article in American Economic Review (1986)

Journal Articles

2008

1. Assessing monetary policy effects using daily federal funds futures contracts
   Review, 2008, (Jul), 377-394

2007

2. INSIDE THE ECONOMIST'S MIND
   Macroeconomic Dynamics, 2007, 12, (01), 112-116
3. Normalization in Econometrics
   Econometric Reviews, 2007, 26, (2-4), 221-252
   See Also Working Paper (2004)

2005

4. Comment on "Investigating Nonlinearity"
   Studies in Nonlinear Dynamics & Econometrics, 2005, 9, (3), 1286-1286 View citations
5. What's real about the business cycle?
   Review, 2005, (Jul), 435-452 View citations
   See Also Working Paper (2005)

2004

6. Oil Shocks and Aggregate Macroeconomic Behavior: The Role of Monetary Policy: Comment
   Journal of Money, Credit and Banking, 2004, 36, (2), 265-86 View citations
7. Regime shifts in a dynamic term structure model of U.S. Treasury bond yields, comments
   Proceedings, 2004, (Mar)
8. Why Are Prices Sticky? The Dynamics of Wholesale Gasoline Prices
   Journal of Money, Credit and Banking, 2004, 36, (1), 17-37 View citations
   See Also Working Paper (2003)

2003

9. Comment on "A comparison of two business cycle dating methods"
   Journal of Economic Dynamics and Control, 2003, 27, (9), 1691-1693 View citations
10. What is an oil shock?
    Journal of Econometrics, 2003, 113, (2), 363-398 View citations
    See Also Working Paper (2000)

2002

11. A Model of the Federal Funds Rate Target
    Journal of Political Economy, 2002, 110, (5), 1135-1167 View citations
    See Also Working Paper (2000)
12. A Reexamination of the Predictability of Economic Activity Using the Yield Spread
    Journal of Money, Credit and Banking, 2002, 34, (2), 340-60 View citations
    See Also Working Paper (2000)
13. New directions in business cycle research and financial analysis
    Empirical Economics, 2002, 27, (2), 149-162 View citations
14. On the interpretation of cointegration in the linear-quadratic inventory model
    Journal of Economic Dynamics and Control, 2002, 26, (12), 2037-2049

2001

15. A Parametric Approach to Flexible Nonlinear Inference
    Econometrica, 2001, 69, (3), 537-73 View citations
    See Also Working Paper (1999)

2000

16. Book review
    Econometric Reviews, 2000, 19, (1), 135-137

1998

17. The augmented Solow model and the productivity slowdown
    Journal of Monetary Economics, 1998, 42, (3), 495-509 View citations
    See Also Working Paper (1997)
18. The supply and demand for Federal Reserve deposits
    Carnegie-Rochester Conference Series on Public Policy, 1998, 49, 1-44 View citations
    See Also Working Paper (1997)

1997

19. Comment on "U.S. Oil Consumption, Oil Prices, and the Macroeconomy."
    Empirical Economics, 1997, 22, (1), 153-56
20. Measuring the Liquidity Effect
    American Economic Review, 1997, 87, (1), 80-97 View citations
    See Also Working Paper (1996)

1996

21. Specification testing in Markov-switching time-series models
    Journal of Econometrics, 1996, 70, (1), 127-157 View citations
    See Also Working Paper (1995)
22. Stock Market Volatility and the Business Cycle
    Journal of Applied Econometrics, 1996, 11, (5), 573-93 View citations
    See Also Working Paper (1996)
23. The Daily Market for Federal Funds
    Journal of Political Economy, 1996, 104, (1), 26-56 View citations
    See Also Working Paper (1995)
24. This is what happened to the oil price-macroeconomy relationship
    Journal of Monetary Economics, 1996, 38, (2), 215-220 View citations
    See Also Working Paper (1995)
25. What Do the Leading Indicators Lead?
    Journal of Business, 1996, 69, (1), 27-49 View citations
    See Also Working Paper (1995)

1994

26. Autoregressive conditional heteroskedasticity and changes in regime
    Journal of Econometrics, 1994, 64, (1-2), 307-333 View citations
    See Also Working Paper (1993)

1992

27. Was the Deflation during the Great Depression Anticipated? Evidence from the Commodity Futures Market
    American Economic Review, 1992, 82, (1), 157-78 View citations

1991

28. A Quasi-Bayesian Approach to Estimating Parameters for Mixtures of Normal Distributions
    Journal of Business & Economic Statistics, 1991, 9, (1), 27-39 View citations
29. The Quantitative Significance of the Lucas Critique: Comment
    Journal of Business & Economic Statistics, 1991, 9, (4), 388-89
30. The Sustainability of Budget Deficits with Lump-Sum and with Income-Based Taxation: Comment
    Journal of Money, Credit and Banking, 1991, 23, (3), 608-12

1990

31. Analysis of time series subject to changes in regime
    Journal of Econometrics, 1990, 45, (1-2), 39-70 View citations
32. Long Swings in the Dollar: Are They in the Data and Do Markets Know It?
    American Economic Review, 1990, 80, (4), 689-713 View citations

1989

33. A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
    Econometrica, 1989, 57, (2), 357-84 View citations
34. The long-run behavior of the velocity of circulation: A review essay
    Journal of Monetary Economics, 1989, 23, (2), 335-344 View citations

1988

35. A Neoclassical Model of Unemployment and the Business Cycle
    Journal of Political Economy, 1988, 96, (3), 593-617 View citations
36. Are the macroeconomic effects of oil-price changes symmetric?: A comment
    Carnegie-Rochester Conference Series on Public Policy, 1988, 28, 369-378
37. Rational-expectations econometric analysis of changes in regime: An investigation of the term structure of interest rates
    Journal of Economic Dynamics and Control, 1988, 12, (2-3), 385-423 View citations
38. Role of the International Gold Standard in Propagating the Great Depression
    Contemporary Economic Policy, 1988, 6, (2), 67-89 View citations

1987

39. Monetary factors in the great depression
    Journal of Monetary Economics, 1987, 19, (2), 145-169 View citations

1986

40. A standard error for the estimated state vector of a state-space model
    Journal of Econometrics, 1986, 33, (3), 387-397 View citations
41. Estimation of Unobserved Expected Monthly Inflation Using Kalman Filtering
    Journal of Business & Economic Statistics, 1986, 4, (2), 147-60 View citations
42. On Testing for Self-fulfilling Speculative Price Bubbles
    International Economic Review, 1986, 27, (3), 545-52 View citations
43. On the Limitations of Government Borrowing: A Framework for EmpiricalTesting
    American Economic Review, 1986, 76, (4), 808-19 View citations
    See Also Working Paper (1985)

1985

44. The observable implications of self-fulfilling expectations
    Journal of Monetary Economics, 1985, 16, (3), 353-373 View citations
45. Uncovering Financial Market Expectations of Inflation
    Journal of Political Economy, 1985, 93, (6), 1224-41 View citations

1983

46. Oil and the Macroeconomy since World War II
    Journal of Political Economy, 1983, 91, (2), 228-48 View citations

Chapters

1986

1. State-space models
   Chapter 50 in Handbook of Econometrics, 1986, vol. 4, pp 3039-3080
   See Also Working Paper (1993)