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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 2012-07-03. Update your information in the RePEc Author Service.

Short-id: pha60


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Working Papers

2014

  1. Effects of Index-Fund Investing on Commodity Futures Prices
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
  2. The Changing Face of World Oil Markets
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads

2013

  1. Crunch Time: Fiscal Crises and the Role of Monetary Policy
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (4)
  2. Off-Balance-Sheet Federal Liabilities
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
  3. Risk Premia in Crude Oil Futures Prices
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads

2012

  1. Identification and Estimation of Gaussian Affine Term Structure Models
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (6)
  2. Oil Prices, Exhaustible Resources, and Economic Growth
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (2)

2011

  1. Historical Oil Shocks
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (25)
  2. Testable Implications of Affine Term Structure Models
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
  3. The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (10)
    See also Journal Article in Journal of Money, Credit and Banking (2012)
  4. The Propagation of Regional Recessions
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    Also in Working Papers, Federal Reserve Bank of St. Louis (2009) Downloads View citations (15)

2010

  1. Calling Recessions in Real Time
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (2)
    See also Journal Article in International Journal of Forecasting (2011)
  2. Causes and consequences of the oil shock of 2007–08
    CQER Working Paper, Federal Reserve Bank of Atlanta Downloads
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2009) Downloads View citations (84)

    See also Journal Article in Brookings Papers on Economic Activity (2009)
  3. Estimating the Market-Perceived Monetary Policy Rule
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
    See also Journal Article in American Economic Journal: Macroeconomics (2011)
  4. Nonlinearities and the Macroeconomic Effects of Oil Prices
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (5)
    See also Journal Article in Macroeconomic Dynamics (2011)
  5. Sources of Variation in Holding Returns for Fed Funds Futures Contracts
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (4)

2009

  1. The market-perceived monetary policy rule
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (9)

2008

  1. Daily Monetary Policy Shocks and the Delayed Response of New Home Sales
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (6)
  2. Macroeconomics and ARCH
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (16)
  3. Understanding Crude Oil Prices
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (26)
    See also Journal Article in The Energy Journal (2009)

2007

  1. Assessing Monetary Policy Effects Using Daily Fed Funds Futures Contracts
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (2)
  2. Daily Changes in Fed Funds Futures Prices
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
    See also Journal Article in Journal of Money, Credit and Banking (2009)

2005

  1. Dating Business Cycle Turning Points
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (50)
  2. What's Real About the Business Cycle?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (16)
    See also Journal Article in Review (2005)

2004

  1. Normalization in econometrics
    Working Paper, Federal Reserve Bank of Atlanta Downloads View citations (15)
    See also Journal Article in Econometric Reviews (2007)

2003

  1. A model for the federal funds rate target
    Working Papers, University of California, Davis, Department of Economics Downloads View citations (1)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2000) Downloads View citations (18)
    Department of Economics, California Davis - Department of Economics Downloads View citations (25)

    See also Journal Article in Journal of Political Economy (2002)
  2. Why Are Prices Sticky? The Dynamics of Wholesale Gasoline Prices
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (9)
    See also Journal Article in Journal of Money, Credit and Banking (2004)

2001

  1. 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 Downloads View citations (15)

2000

  1. A Re-examination of the Predictability of Economic Activity Using the Yield Spread
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (19)
    Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (2000) Downloads View citations (15)

    See also Journal Article in Journal of Money, Credit and Banking (2002)
  2. What is an Oil Shock?
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (40)
    See also Journal Article in Journal of Econometrics (2003)

1999

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

1996

  1. Measuring the liquidity effect
    Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco View citations (1)
    See also Journal Article in American Economic Review (1997)

1989

  1. 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 Downloads View citations (8)

1985

  1. On the Limitations of Government Borrowing: A Framework for Empirical Testing
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
    See also Journal Article in American Economic Review (1986)

Journal Articles

2012

  1. Import Prices and Inflation
    International Journal of Central Banking, 2012, 8, (1), 271-279 Downloads View citations (2)
  2. The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment
    Journal of Money, Credit and Banking, 2012, 44, 3-46 Downloads View citations (85)
    See also Working Paper (2011)

2011

  1. Calling recessions in real time
    International Journal of Forecasting, 2011, 27, (4), 1006-1026 Downloads View citations (23)
    See also Working Paper (2010)
  2. Estimating the Market-Perceived Monetary Policy Rule
    American Economic Journal: Macroeconomics, 2011, 3, (3), 1-28 Downloads View citations (4)
    See also Working Paper (2010)
  3. NONLINEARITIES AND THE MACROECONOMIC EFFECTS OF OIL PRICES
    Macroeconomic Dynamics, 2011, 15, (S3), 364-378 Downloads View citations (23)
    See also Working Paper (2010)
  4. Response to comments
    International Journal of Forecasting, 2011, 27, (4), 1039-1040 Downloads

2009

  1. Causes and Consequences of the Oil Shock of 2007-08
    Brookings Papers on Economic Activity, 2009, 40, (1 (Spring)), 215-283 Downloads View citations (83)
    See also Working Paper (2010)
  2. Daily Changes in Fed Funds Futures Prices
    Journal of Money, Credit and Banking, 2009, 41, (4), 567-582 Downloads View citations (14)
    See also Working Paper (2007)
  3. Understanding Crude Oil Prices
    The Energy Journal, 2009, Volume 30, (Number 2), 179-206 Downloads View citations (131)
    See also Working Paper (2008)

2008

  1. Assessing monetary policy effects using daily federal funds futures contracts
    Review, 2008, (Jul), 377-394 Downloads View citations (2)
  2. Daily monetary policy shocks and new home sales
    Journal of Monetary Economics, 2008, 55, (7), 1171-1190 Downloads View citations (10)
  3. INSIDE THE ECONOMIST'S MIND
    Macroeconomic Dynamics, 2008, 12, (01), 112-116 Downloads

2007

  1. Housing and the monetary transmission mechanism: commentary
    Proceedings - Economic Policy Symposium - Jackson Hole, 2007, 415-422 Downloads
  2. Normalization in Econometrics
    Econometric Reviews, 2007, 26, (2-4), 221-252 Downloads View citations (24)
    See also Working Paper (2004)

2005

  1. Comment on "Investigating Nonlinearity"
    Studies in Nonlinear Dynamics & Econometrics, 2005, 9, (3), 1-10 Downloads View citations (1)
  2. What's real about the business cycle?
    Review, 2005, (Jul), 435-452 Downloads View citations (12)
    See also Working Paper (2005)

2004

  1. 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 (167)
  2. Regime shifts in a dynamic term structure model of U.S. Treasury bond yields, comments
    Proceedings, 2004, (Mar) Downloads
  3. Why Are Prices Sticky? The Dynamics of Wholesale Gasoline Prices
    Journal of Money, Credit and Banking, 2004, 36, (1), 17-37 View citations (43)
    See also Working Paper (2003)

2003

  1. Comment on "A comparison of two business cycle dating methods"
    Journal of Economic Dynamics and Control, 2003, 27, (9), 1691-1693 Downloads View citations (14)
  2. What is an oil shock?
    Journal of Econometrics, 2003, 113, (2), 363-398 Downloads View citations (410)
    See also Working Paper (2000)

2002

  1. A Model of the Federal Funds Rate Target
    Journal of Political Economy, 2002, 110, (5), 1135-1167 Downloads View citations (54)
    See also Working Paper (2003)
  2. 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 (69)
    See also Working Paper (2000)
  3. New directions in business cycle research and financial analysis
    Empirical Economics, 2002, 27, (2), 149-162 Downloads View citations (13)
  4. On the interpretation of cointegration in the linear-quadratic inventory model
    Journal of Economic Dynamics and Control, 2002, 26, (12), 2037-2049 Downloads View citations (4)

2001

  1. A Parametric Approach to Flexible Nonlinear Inference
    Econometrica, 2001, 69, (3), 537-73 View citations (74)
    See also Working Paper (1999)

2000

  1. Book review
    Econometric Reviews, 2000, 19, (1), 135-137 Downloads View citations (1)

1998

  1. The augmented Solow model and the productivity slowdown
    Journal of Monetary Economics, 1998, 42, (3), 495-509 Downloads View citations (30)
  2. The supply and demand for Federal Reserve deposits
    Carnegie-Rochester Conference Series on Public Policy, 1998, 49, (1), 1-44 Downloads View citations (8)

1997

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

1996

  1. Specification testing in Markov-switching time-series models
    Journal of Econometrics, 1996, 70, (1), 127-157 Downloads View citations (132)
  2. Stock Market Volatility and the Business Cycle
    Journal of Applied Econometrics, 1996, 11, (5), 573-93 Downloads View citations (128)
  3. The Daily Market for Federal Funds
    Journal of Political Economy, 1996, 104, (1), 26-56 Downloads View citations (171)
  4. This is what happened to the oil price-macroeconomy relationship
    Journal of Monetary Economics, 1996, 38, (2), 215-220 Downloads View citations (287)
  5. What Do the Leading Indicators Lead?
    The Journal of Business, 1996, 69, (1), 27-49 Downloads View citations (51)

1994

  1. Autoregressive conditional heteroskedasticity and changes in regime
    Journal of Econometrics, 1994, 64, (1-2), 307-333 Downloads View citations (427)

1992

  1. Was the Deflation during the Great Depression Anticipated? Evidence from the Commodity Futures Market
    American Economic Review, 1992, 82, (1), 157-78 Downloads View citations (28)

1991

  1. A Quasi-Bayesian Approach to Estimating Parameters for Mixtures of Normal Distributions
    Journal of Business & Economic Statistics, 1991, 9, (1), 27-39 View citations (23)
  2. The Quantitative Significance of the Lucas Critique: Comment
    Journal of Business & Economic Statistics, 1991, 9, (4), 388-89
  3. 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 Downloads

1990

  1. Analysis of time series subject to changes in regime
    Journal of Econometrics, 1990, 45, (1-2), 39-70 Downloads View citations (415)
  2. Long Swings in the Dollar: Are They in the Data and Do Markets Know It?
    American Economic Review, 1990, 80, (4), 689-713 Downloads View citations (328)

1989

  1. A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
    Econometrica, 1989, 57, (2), 357-84 Downloads View citations (1705)
  2. The long-run behavior of the velocity of circulation: A review essay
    Journal of Monetary Economics, 1989, 23, (2), 335-344 Downloads View citations (3)

1988

  1. A Neoclassical Model of Unemployment and the Business Cycle
    Journal of Political Economy, 1988, 96, (3), 593-617 Downloads View citations (120)
  2. Are the macroeconomic effects of oil-price changes symmetric?: A comment
    Carnegie-Rochester Conference Series on Public Policy, 1988, 28, (1), 369-378 Downloads View citations (11)
  3. ROLE OF THE INTERNATIONAL GOLD STANDARD IN PROPAGATING THE GREAT DEPRESSION
    Contemporary Economic Policy, 1988, 6, (2), 67-89 Downloads View citations (12)
  4. 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 Downloads View citations (241)

1987

  1. Monetary factors in the great depression
    Journal of Monetary Economics, 1987, 19, (2), 145-169 Downloads View citations (71)

1986

  1. A standard error for the estimated state vector of a state-space model
    Journal of Econometrics, 1986, 33, (3), 387-397 Downloads View citations (38)
  2. Estimation of Unobserved Expected Monthly Inflation Using Kalman Filtering
    Journal of Business & Economic Statistics, 1986, 4, (2), 147-60 View citations (14)
  3. On Testing for Self-fulfilling Speculative Price Bubbles
    International Economic Review, 1986, 27, (3), 545-52 Downloads View citations (13)
  4. On the Limitations of Government Borrowing: A Framework for EmpiricalTesting
    American Economic Review, 1986, 76, (4), 808-19 Downloads View citations (221)
    See also Working Paper (1985)

1985

  1. Historical Causes of Postwar Oil Shocks and Recessions
    The Energy Journal, 1985, Volume 6, (Number 1), 97-116 Downloads View citations (46)
  2. The observable implications of self-fulfilling expectations
    Journal of Monetary Economics, 1985, 16, (3), 353-373 Downloads View citations (60)
  3. Uncovering Financial Market Expectations of Inflation
    Journal of Political Economy, 1985, 93, (6), 1224-41 Downloads View citations (26)

1983

  1. Oil and the Macroeconomy since World War II
    Journal of Political Economy, 1983, 91, (2), 228-48 Downloads View citations (581)

Chapters

1986

  1. State-space models
    Chapter 50 in Handbook of Econometrics, 1986, vol. 4, pp 3039-3080 Downloads View citations (8)

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Page updated 2014-09-22