Details about Timothy Cogley

Access statistics for papers by Timothy Cogley.

Last updated 2015-06-25. Update your information in the RePEc Author Service.

Short-id: pco39

Working Papers

2020

1. Structural Breaks in an Endogenous Growth Model
   NBER Working Papers, National Bureau of Economic Research, Inc

2015

2. A Case for Incomplete Markets
   Economics Series, Institute for Advanced Studies View citations (13)
   Also in 2014 Meeting Papers, Society for Economic Dynamics (2014) View citations (10)

2014

3. Optimized Taylor Rules for Disinflation When Agents are Learning
   Working Paper, Federal Reserve Bank of Richmond View citations (2)
   See also Journal Article Optimized Taylor rules for disinflation when agents are learning, Journal of Monetary Economics, Elsevier (2015) View citations (25) (2015)

2012

4. Wealth Dynamics in a Bond Economy with Heterogeneous Beliefs
   2012 Meeting Papers, Society for Economic Dynamics View citations (5)
   See also Journal Article Wealth Dynamics in a Bond Economy with Heterogeneous Beliefs, Economic Journal, Royal Economic Society (2014) View citations (14) (2014)

2011

5. A Bayesian approach to optimal monetary policy with parameter and model uncertainty
   Bank of England working papers, Bank of England View citations (31)
   See also Journal Article A Bayesian approach to optimal monetary policy with parameter and model uncertainty, Journal of Economic Dynamics and Control, Elsevier (2011) View citations (27) (2011)
6. Optimal Disinflation Under Learning
   2011 Meeting Papers, Society for Economic Dynamics View citations (10)
   Also in Staff Reports, Federal Reserve Bank of New York (2011) View citations (32)

2008

7. Inflation-Gap Persistence in the U.S
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (31)
   See also Journal Article Inflation-Gap Persistence in the US, American Economic Journal: Macroeconomics, American Economic Association (2010) View citations (328) (2010)
8. Robustness and US Monetary
   2008 Meeting Papers, Society for Economic Dynamics View citations (26)

2006

9. Trend inflation and inflation persistence in the New Keynesian Phillips curve
   Staff Reports, Federal Reserve Bank of New York View citations (29)

2005

10. A search for a structural Phillips curve
    Staff Reports, Federal Reserve Bank of New York View citations (69)
    Also in Computing in Economics and Finance 2004, Society for Computational Economics (2004) View citations (21)
11. Benefits from U.S. Monetary Policy Experimentation in the Days of Samuelson
    2005 Meeting Papers, Society for Economic Dynamics View citations (12)

2003

12. Bayesian fan charts for UK inflation: Forecasting and sources of uncertainty in an evolving monetary system
    CFS Working Paper Series, Center for Financial Studies (CFS) View citations (19)
    See also Journal Article Bayesian fan charts for U.K. inflation: Forecasting and sources of uncertainty in an evolving monetary system, Journal of Economic Dynamics and Control, Elsevier (2005) View citations (153) (2005)
13. Drifts and volatilities: monetary policies and outcomes in the post WWII U.S
    FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta View citations (111)
    Also in Working Papers, Department of Economics, W. P. Carey School of Business, Arizona State University
    See also Journal Article Drift and Volatilities: Monetary Policies and Outcomes in the Post WWII U.S, Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics (2005) View citations (911) (2005)

1998

14. A simple adaptive measure of core inflation
    Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco View citations (6)
    See also Journal Article A Simple Adaptive Measure of Core Inflation, Journal of Money, Credit and Banking, Blackwell Publishing (2002) View citations (174) (2002)
15. Alternative definitions of the business cycle and their implications for business cycle models: a reply to Torben Mark Pederson
    Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco View citations (1)
    See also Journal Article 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, Elsevier (2001) View citations (30) (2001)
16. Idiosyncratic risk and the equity premium: evidence from the Consumer Expenditure Survey
    Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco View citations (2)
    See also Journal Article Idiosyncratic risk and the equity premium: evidence from the consumer expenditure survey, Journal of Monetary Economics, Elsevier (2002) View citations (86) (2002)

1997

17. 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 A Frequency Decomposition of Approximation Errors in Stochastic Discount Factor Models, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2001) View citations (18) (2001)

1996

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

1994

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

1993

20. 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 (92)
    See also Journal Article Effects of the Hodrick-Prescott filter on trend and difference stationary time series Implications for business cycle research, Journal of Economic Dynamics and Control, Elsevier (1995) View citations (565) (1995)
21. Output dynamics in real business cycle models
    Working Papers in Applied Economic Theory, Federal Reserve Bank of San Francisco View citations (180)
    See also Journal Article Output Dynamics in Real-Business-Cycle Models, American Economic Review, American Economic Association (1995) View citations (481) (1995)

1990

22. SPURIOUS BUSINESS CYCLE PHENOMENA IN HP FILERED TIME SERIES
    Working Papers, University of Washington, Department of Economics View citations (6)
    Also in Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington (1990) View citations (3)

1989

23. EMPIRICAL EVIDENCE ON NOMINAL WAGE AND PRICE FLEXIBILITY
    Working Papers, University of Washington, Department of Economics
    Also in Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington (1989)
24. INTERNATIONAL EVIDENCE ON THE SIZE OF THE RANDOM WALK IN OUTPUT
    Working Papers, University of Washington, Department of Economics
    Also in Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington (1989) View citations (2)
    See also Journal Article International Evidence on the Size of the Random Walk in Output, Journal of Political Economy, University of Chicago Press (1990) View citations (95) (1990)

Undated

25. Evolving Post-World War II U.S. Inflation Dynamics
    Working Papers, Department of Economics, W. P. Carey School of Business, Arizona State University
    See also Chapter Evolving Post-World War II US Inflation Dynamics, NBER Chapters, National Bureau of Economic Research, Inc (2002) View citations (74) (2002)
26. 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
    See also Journal Article How fast can the new economy grow? A Bayesian analysis of the evolution of trend growth, Journal of Macroeconomics, Elsevier (2005) View citations (39) (2005)

Journal Articles

2015

1. Asset Princes and Wealth Dynamics with Heterogeneous Beliefs - Varlýk Fiyatlarý ve Heterojen Düþünceler ile Servet Dinamikleri
   Journal of Economics Bibliography, 2015, 2, (1), 29-34
2. Optimized Taylor rules for disinflation when agents are learning
   Journal of Monetary Economics, 2015, 72, (C), 131-147 View citations (25)
   See also Working Paper Optimized Taylor Rules for Disinflation When Agents are Learning, Working Paper (2014) View citations (2) (2014)
3. Price-level uncertainty and instability in the United Kingdom
   Journal of Economic Dynamics and Control, 2015, 52, (C), 1-16 View citations (11)

2014

4. Wealth Dynamics in a Bond Economy with Heterogeneous Beliefs
   Economic Journal, 2014, 124, (575), 1-30 View citations (14)
   See also Working Paper Wealth Dynamics in a Bond Economy with Heterogeneous Beliefs, 2012 Meeting Papers (2012) View citations (5) (2012)

2012

5. Market Prices of Risk with Diverse Beliefs, Learning, and Catastrophes
   American Economic Review, 2012, 102, (3), 141-46 View citations (4)

2011

6. A Bayesian approach to optimal monetary policy with parameter and model uncertainty
   Journal of Economic Dynamics and Control, 2011, 35, (12), 2186-2212 View citations (27)
   See also Working Paper A Bayesian approach to optimal monetary policy with parameter and model uncertainty, Bank of England working papers (2011) View citations (31) (2011)

2010

7. Are DSGE Approximating Models Invariant to Shifts in Policy?
   The B.E. Journal of Macroeconomics, 2010, 10, (1), 33 View citations (24)
8. Inflation-Gap Persistence in the US
   American Economic Journal: Macroeconomics, 2010, 2, (1), 43-69 View citations (328)
   See also Working Paper Inflation-Gap Persistence in the U.S, NBER Working Papers (2008) View citations (31) (2008)

2009

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

2008

11. ANTICIPATED UTILITY AND RATIONAL EXPECTATIONS AS APPROXIMATIONS OF BAYESIAN DECISION MAKING
    International Economic Review, 2008, 49, (1), 185-221 View citations (98)
12. Commentary on \\"Optimal monetary policy under uncertainty: a Markov jump-linear-quadratic approach\\"
    Review, 2008, 90, (Jul), 295-300
13. Introduction: Journal of Econometrics special issue honoring the research contributions of Charles R. Nelson
    Journal of Econometrics, 2008, 146, (2), 199-201
14. Robustness and U.S. Monetary Policy Experimentation
    Journal of Money, Credit and Banking, 2008, 40, (8), 1599-1623 View citations (67)
15. The market price of risk and the equity premium: A legacy of the Great Depression?
    Journal of Monetary Economics, 2008, 55, (3), 454-476 View citations (136)
16. Trend Inflation, Indexation, and Inflation Persistence in the New Keynesian Phillips Curve
    American Economic Review, 2008, 98, (5), 2101-26 View citations (379)

2007

17. 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 View citations (26)
    Also in Proceedings, 2005 (2005) View citations (15)

2005

18. 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 View citations (153)
    See also Working Paper Bayesian fan charts for UK inflation: Forecasting and sources of uncertainty in an evolving monetary system, CFS Working Paper Series (2003) View citations (19) (2003)
19. Changing Beliefs and the Term Structure of Interest Rates: Cross-Equation Restrictions with Drifting Parameters
    Review of Economic Dynamics, 2005, 8, (2), 420-451 View citations (38)
20. Drift and Volatilities: Monetary Policies and Outcomes in the Post WWII U.S
    Review of Economic Dynamics, 2005, 8, (2), 262-302 View citations (911)
    See also Working Paper Drifts and volatilities: monetary policies and outcomes in the post WWII U.S, FRB Atlanta Working Paper (2003) View citations (111) (2003)
21. How fast can the new economy grow? A Bayesian analysis of the evolution of trend growth
    Journal of Macroeconomics, 2005, 27, (2), 179-207 View citations (39)
    See also Working Paper How Fast Can the New Economy Grow? A Bayesian Analysis of the Evolution of Trend Growth, Working Papers
22. The conquest of US inflation: Learning and robustness to model uncertainty
    Review of Economic Dynamics, 2005, 8, (2), 528-563 View citations (186)

2002

23. A Simple Adaptive Measure of Core Inflation
    Journal of Money, Credit and Banking, 2002, 34, (1), 94-113 View citations (174)
    See also Working Paper A simple adaptive measure of core inflation, Working Papers in Applied Economic Theory (1998) View citations (6) (1998)
24. Idiosyncratic risk and the equity premium: evidence from the consumer expenditure survey
    Journal of Monetary Economics, 2002, 49, (2), 309-334 View citations (86)
    See also Working Paper Idiosyncratic risk and the equity premium: evidence from the Consumer Expenditure Survey, Working Papers in Applied Economic Theory (1998) View citations (2) (1998)

2001

25. A Frequency Decomposition of Approximation Errors in Stochastic Discount Factor Models
    International Economic Review, 2001, 42, (2), 473-503 View citations (18)
    See also Working Paper A frequency decomposition of approximation errors in stochastic discount factor models, Working Papers in Applied Economic Theory (1997) View citations (1) (1997)
26. 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 View citations (30)
    See also Working Paper Alternative definitions of the business cycle and their implications for business cycle models: a reply to Torben Mark Pederson, Working Papers in Applied Economic Theory (1998) View citations (1) (1998)
27. Estimating and testing rational expectations models when the trend specification is uncertain
    Journal of Economic Dynamics and Control, 2001, 25, (10), 1485-1525 View citations (25)

1999

28. Monetary policy and the great crash of 1929: a bursting bubble or collapsing fundamentals?
    FRBSF Economic Letter, 1999, (mar26)
29. Should the Fed take deliberate steps to deflate asset price bubbles?
    Economic Review, 1999, 42-52 View citations (43)

1998

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

1997

31. Evaluating non-structural measures of the business cycle
    Economic Review, 1997, 3-21 View citations (19)
32. Proposals for reforming Social Security
    FRBSF Economic Letter, 1997, (may9)
33. What is the optimal rate of inflation?
    FRBSF Economic Letter, 1997, (sep19) View citations (2)

1996

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

1995

36. 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 View citations (565)
    See also Working Paper Effects of the Hodrick-Prescott filter on trend and difference stationary time series: implications for business cycle research, Working Papers in Applied Economic Theory (1993) View citations (92) (1993)
37. Financial fragility and the lender of last resort
    FRBSF Economic Letter, 1995, (may26)
38. Output Dynamics in Real-Business-Cycle Models
    American Economic Review, 1995, 85, (3), 492-511 View citations (481)
    See also Working Paper Output dynamics in real business cycle models, Working Papers in Applied Economic Theory (1993) View citations (180) (1993)
39. Using consumption to track movements in trend GDP
    FRBSF Economic Letter, 1995, (sep1)

1994

40. Monetary policy in a low inflation regime
    FRBSF Economic Letter, 1994, (apr1)
41. Should the central bank be responsible for regional stabilization?
    FRBSF Economic Letter, 1994, (jul15)
42. Testing the Implications of Long-Run Neutrality for Monetary Business Cycle Models
    Journal of Applied Econometrics, 1994, 9, (S), S37-70 View citations (48)

1993

43. Adapting to instability in money demand: forecasting money growth with a time-varying parameter model
    Economic Review, 1993, 35-41 View citations (4)
44. Impulse dynamics and propagation mechanisms in a real business cycle model
    Economics Letters, 1993, 43, (1), 77-81 View citations (38)
45. Interpreting the term structure of interest rates
    FRBSF Economic Letter, 1993, (apr16) View citations (1)
46. The recession, the recovery, and the productivity slowdown
    FRBSF Economic Letter, 1993, (jan8)

1991

47. Effects of the Hodrick-Prescott filter on integrated time series
    Proceedings, 1991, (Nov) View citations (16)

1990

48. International Evidence on the Size of the Random Walk in Output
    Journal of Political Economy, 1990, 98, (3), 501-18 View citations (95)
    See also Working Paper INTERNATIONAL EVIDENCE ON THE SIZE OF THE RANDOM WALK IN OUTPUT, Working Papers (1989) (1989)

Chapters

2008

1. Comment on "How Structural Are Structural Parameters?"
   A chapter in NBER Macroeconomics Annual 2007, Volume 22, 2008, pp 139-147 View citations (3)

2002

2. Evolving Post-World War II US Inflation Dynamics
   A chapter in NBER Macroeconomics Annual 2001, Volume 16, 2002, pp 331-388 View citations (74)
   See also Working Paper Evolving Post-World War II U.S. Inflation Dynamics, Department of Economics, W. P. Carey School of Business, Arizona State University

Editor

1. Journal of Economic Dynamics and Control
   Elsevier