Details about John H. Cochrane

E-mail:
Homepage:	https://www.johnhcochrane.com
Postal address:	434 Galvez Mall Stanford University Stanford, CA 94305-6010
Workplace:	Hoover Institution on War Revolution & Peace, Stanford University, (more information at EDIRC) National Bureau of Economic Research (NBER), (more information at EDIRC) Stanford Institute for Economic Policy Research (SIEPR), Stanford University, (more information at EDIRC) Cato Institute, (more information at EDIRC) Graduate School of Business, Stanford University, (more information at EDIRC)

Access statistics for papers by John H. Cochrane.

Last updated 2021-08-27. Update your information in the RePEc Author Service.

Short-id: pco57

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Working Papers

2022

1. Expectations and the Neutrality of Interest Rates
   NBER Working Papers, National Bureau of Economic Research, Inc
2. Fiscal Histories
   NBER Working Papers, National Bureau of Economic Research, Inc
3. Inflation Past, Present and Future: Fiscal Shocks, Fed Response, and Fiscal Limits
   NBER Working Papers, National Bureau of Economic Research, Inc

2021

4. Portfolios for Long-Term Investors
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)

2020

5. A Fiscal Theory of Monetary Policy with Partially-Repaid Long-Term Debt
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (6)
   See also Journal Article in Review of Economic Dynamics (2022)

2019

6. Rethinking Production Under Uncertainty
   NBER Working Papers, National Bureau of Economic Research, Inc
7. The Fiscal Roots of Inflation
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (5)
   See also Journal Article in Review of Economic Dynamics (2022)
8. The Value of Government Debt
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)

2016

9. Macro-Finance
   NBER Working Papers, National Bureau of Economic Research, Inc
   See also Journal Article in Review of Finance (2017)
10. Stepping on a Rake: the Fiscal Theory of Monetary Policy
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)
11. The Habit Habit
    Economics Working Papers, Hoover Institution, Stanford University View citations (9)

2015

12. A New Structure for U.S. Federal Debt
    Economics Working Papers, Hoover Institution, Stanford University View citations (13)

2014

13. Monetary Policy with Interest on Reserves
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (73)
    See also Journal Article in Journal of Economic Dynamics and Control (2014)

2013

14. A Mean-Variance Benchmark for Intertemporal Portfolio Theory
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
    See also Journal Article in Journal of Finance (2014)
15. Finance: Function Matters, not Size
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (30)
    See also Journal Article in Journal of Economic Perspectives (2013)
16. The New-Keynesian Liquidity Trap
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (31)

2012

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

2011

18. Discount Rates
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (39)

2010

19. Understanding Policy in the Great Recession: Some Unpleasant Fiscal Arithmetic
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (21)
    See also Journal Article in European Economic Review (2011)

2009

20. Can Learnability Save New-Keynesian Models?
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (40)
    See also Journal Article in Journal of Monetary Economics (2009)
21. Decomposing the Yield Curve
    2009 Meeting Papers, Society for Economic Dynamics View citations (33)

2007

22. Determinacy and Identification with Taylor Rules
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (26)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2007) View citations (38)
    See also Journal Article in Journal of Political Economy (2011)

2006

23. The Dog That Did Not Bark: A Defense of Return Predictability
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (22)
    See also Journal Article in Review of Financial Studies (2008)

2005

24. Financial Markets and the Real Economy
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (91)
    See also Journal Article in Foundations and Trends(R) in Finance (2005)

2004

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

2003

27. Where is the Market Going: Uncertain Facts and Novel Theories
    Levine's Working Paper Archive, David K. Levine View citations (6)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1998) View citations (20)
    See also Journal Article in Economic Perspectives (1997)

2002

28. Bond Risk Premia
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (72)
    See also Journal Article in American Economic Review (2005)
29. Stocks as Money: Convenience Yield and the Tech-Stock Bubble
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (45)
30. The Fed and Interest Rates: A High-Frequency Identification
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (277)
    See also Journal Article in American Economic Review (2002)

2001

31. A Rehabilitation of Stochastic Discount Factor Methodology
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (13)
32. 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 (9)
    Also in Working Papers, University of Pennsylvania, Wharton School, Weiss Center (2001) View citations (10)
    NBER Working Papers, National Bureau of Economic Research, Inc (2001) View citations (13)
33. The Risk and Return of Venture Capital
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (28)
    Also in University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA (2000) View citations (1)
    See also Journal Article in Journal of Financial Economics (2005)

2000

34. Explaining the Poor Performance of Consumption-Based Asset Pricing Models
    Scholarly Articles, Harvard University Department of Economics View citations (118)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1999) View citations (16)
    See also Journal Article in Journal of Finance (2000)
35. Money as Stock: Price Level Determination with no Money Demand
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (42)

1999

36. By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior
    Scholarly Articles, Harvard University Department of Economics View citations (2107)
    Also in CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago (1994) View citations (207)
    Working Papers, Federal Reserve Bank of Philadelphia (1994) View citations (17)
    NBER Working Papers, National Bureau of Economic Research, Inc (1995) View citations (113)
    See also Journal Article in Journal of Political Economy (1999)
37. New Facts in Finance
    CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago View citations (111)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1999) View citations (184)
    See also Journal Article in Economic Perspectives (1999)
38. Portfolio Advice for a Multifactor World
    CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago View citations (49)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1999) View citations (69)
    See also Journal Article in Economic Perspectives (1999)

1998

39. A Frictionless View of U.S. Inflation
    CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago View citations (101)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1998) View citations (100)
    See also Chapter (1999)
40. 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 View citations (3)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (1996) View citations (4)
    See also Journal Article in Journal of Political Economy (2000)
41. 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 (18)
    Also in CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago (1998) View citations (29)
    See also Journal Article in Econometrica (2001)

1995

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

1994

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

1992

44. A Cross-Sectional Test of a Production-Based Asset Pricing Model
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (24)
45. Asset Pricing Explorations for Macroeconomics
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (208)
    See also Chapter (1992)

1991

46. 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)
47. Volatility Tests and Efficient Markets: A Review Essay
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (77)
    See also Journal Article in Journal of Monetary Economics (1991)

1990

48. Stopping Inflation in Reforming Socialist Economies: Some Pleasant Socialist Arithmetics
    Working Papers, Pennsylvania State - Department of Economics View citations (1)
49. 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 (11)

1989

50. Explaining the Variance of Price Dividend Ratios
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (38)
    See also Journal Article in Review of Financial Studies (1992)
51. 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

1988

52. A Test of Consumption Insurance
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)
53. Production Based Asset Pricing
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (40)
54. 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 (29)
    See also Journal Article in American Economic Review (1989)

Journal Articles

2022

1. A fiscal theory of monetary policy with partially repaid long-term debt
   Review of Economic Dynamics, 2022, 45, 1-21 View citations (6)
   See also Working Paper (2020)
2. The fiscal root of inflation
   Review of Economic Dynamics, 2022, 45, 22-40
   See also Working Paper (2019)

2020

3. Strategic Review and Beyond: Rethinking Monetary Policy and Independence
   Review, 2020, 102, (2), 99-119 View citations (1)

2017

4. Macro-Finance
   Review of Finance, 2017, 21, (3), 945-985
   See also Working Paper (2016)

2015

5. The Fragile Benefits of Endowment Destruction
   Journal of Political Economy, 2015, 123, (5), 1214 - 1226

2014

6. A Mean-Variance Benchmark for Intertemporal Portfolio Theory
   Journal of Finance, 2014, 69, (1), 1-49 View citations (24)
   See also Working Paper (2013)
7. Challenges for Cost-Benefit Analysis of Financial Regulation
   The Journal of Legal Studies, 2014, 43, (S2), S63 - S105 View citations (19)
8. Monetary policy with interest on reserves
   Journal of Economic Dynamics and Control, 2014, 49, (C), 74-108 View citations (74)
   See also Working Paper (2014)

2013

9. Aligning Incentives at Systemically Important Financial Institutions: A Proposal by the Squam Lake Group
   Journal of Applied Corporate Finance, 2013, 25, (4), 37-40 View citations (6)
10. Finance: Function Matters, Not Size
    Journal of Economic Perspectives, 2013, 27, (2), 29-50 View citations (30)
    See also Working Paper (2013)

2012

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

2011

12. Determinacy and Identification with Taylor Rules
    Journal of Political Economy, 2011, 119, (3), 565 - 615 View citations (287)
    See also Working Paper (2007)
13. HOW DID PAUL KRUGMAN GET IT SO WRONG?-super-1
    Economic Affairs, 2011, 31, (2), 36-40 View citations (26)
14. Presidential Address: Discount Rates
    Journal of Finance, 2011, 66, (4), 1047-1108 View citations (565)
15. Understanding policy in the great recession: Some unpleasant fiscal arithmetic
    European Economic Review, 2011, 55, (1), 2-30 View citations (154)
    See also Working Paper (2010)

2010

16. The Squam Lake Report: Fixing the Financial System
    Journal of Applied Corporate Finance, 2010, 22, (3), 8-21 View citations (116)
    See also Book (2010)

2009

17. Can learnability save new-Keynesian models?
    Journal of Monetary Economics, 2009, 56, (8), 1109-1113 View citations (39)
    See also Working Paper (2009)

2008

18. The Dog That Did Not Bark: A Defense of Return Predictability
    Review of Financial Studies, 2008, 21, (4), 1533-1575 View citations (422)
    See also Working Paper (2006)
19. Two Trees
    Review of Financial Studies, 2008, 21, (1), 347-385 View citations (19)
    See also Working Paper (2004)

2007

20. Commentary on \\"Macroeconomic implications of changes in the term premium\\"
    Review, 2007, 89, (Jul), 271-282 View citations (2)

2006

21. 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 (153)
22. Prediction and impulse responses in linear systems (in Russian)
    Quantile, 2006, (1), 21-26

2005

23. Bond Risk Premia
    American Economic Review, 2005, 95, (1), 138-160 View citations (596)
    See also Working Paper (2002)
24. Financial Markets and the Real Economy
    Foundations and Trends(R) in Finance, 2005, 1, (1), 1-101 View citations (93)
    See also Working Paper (2005)
25. Money as stock
    Journal of Monetary Economics, 2005, 52, (3), 501-528 View citations (125)
26. The risk and return of venture capital
    Journal of Financial Economics, 2005, 75, (1), 3-52 View citations (262)
    See also Working Paper (2001)

2002

27. The Fed and Interest Rates - A High-Frequency Identification
    American Economic Review, 2002, 92, (2), 90-95 View citations (280)
    See also Working Paper (2002)

2001

28. Long-Term Debt and Optimal Policy in the Fiscal Theory of the Price Level
    Econometrica, 2001, 69, (1), 69-116 View citations (240)
    See also Working Paper (1998)
29. Review of Peter M. Garber, Famous First Bubbles: The Fundamentals of Early Manias
    Journal of Political Economy, 2001, 109, (5), 1150-1179 View citations (2)

2000

30. Beyond Arbitrage: Good-Deal Asset Price Bounds in Incomplete Markets
    Journal of Political Economy, 2000, 108, (1), 79-119 View citations (183)
    See also Working Paper (1998)
31. Explaining the Poor Performance of Consumption‐based Asset Pricing Models
    Journal of Finance, 2000, 55, (6), 2863-2878 View citations (92)
    See also Working Paper (2000)

1999

32. Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior
    Journal of Political Economy, 1999, 107, (2), 205-251 View citations (2051)
    See also Working Paper (1999)
33. New facts in finance
    Economic Perspectives, 1999, 23, (Q III), 36-58 View citations (119)
    See also Working Paper (1999)
34. Portfolio advice of a multifactor world
    Economic Perspectives, 1999, 23, (Q III), 59-78 View citations (27)
    See also Working Paper (1999)

1998

35. What do the VARs mean? Measuring the output effects of monetary policy
    Journal of Monetary Economics, 1998, 41, (2), 277-300 View citations (126)
    See also Working Paper (1995)

1997

36. Where is the market going? Uncertain facts and novel theories
    Economic Perspectives, 1997, 21, (Nov), 3-37 View citations (69)
    See also Working Paper (2003)

1996

37. A Cross-Sectional Test of an Investment-Based Asset Pricing Model
    Journal of Political Economy, 1996, 104, (3), 572-621 View citations (392)

1995

38. Time-Consistent Health Insurance
    Journal of Political Economy, 1995, 103, (3), 445-73 View citations (109)

1994

39. Permanent and Transitory Components of GNP and Stock Prices
    The Quarterly Journal of Economics, 1994, 109, (1), 241-265 View citations (322)
40. Shocks
    Carnegie-Rochester Conference Series on Public Policy, 1994, 41, (1), 295-364
    See also Working Paper (1994)

1992

41. Explaining the Variance of Price-Dividend Ratios
    Review of Financial Studies, 1992, 5, (2), 243-80 View citations (169)
    See also Working Paper (1989)

1991

42. A Simple Test of Consumption Insurance
    Journal of Political Economy, 1991, 99, (5), 957-76 View citations (591)
43. A critique of the application of unit root tests
    Journal of Economic Dynamics and Control, 1991, 15, (2), 275-284 View citations (160)
44. Inflation Stabilization in Reforming Socialist Economies: The Myth of the Monetary Overhang
    Comparative Economic Studies, 1991, 33, (2), 97-122 View citations (3)
    See also Working Paper (1991)
45. Production-Based Asset Pricing and the Link between Stock Returns and Economic Fluctuations
    Journal of Finance, 1991, 46, (1), 209-37 View citations (430)
46. 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 (5)
47. Volatility tests and efficient markets: A review essay
    Journal of Monetary Economics, 1991, 27, (3), 463-485 View citations (96)
    See also Working Paper (1991)

1989

48. 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 (50)
49. The Sensitivity of Tests of the Intertemporal Allocation of Consumption to Near-Rational Alternatives
    American Economic Review, 1989, 79, (3), 319-37 View citations (132)
    See also Working Paper (1988)

1988

50. How Big Is the Random Walk in GNP?
    Journal of Political Economy, 1988, 96, (5), 893-920 View citations (648)
51. 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 (42)

Books

2010

1. The Squam Lake Report: Fixing the Financial System
   Economics Books, Princeton University Press View citations (105)
   See also Journal Article in Journal of Applied Corporate Finance (2010)

Edited books

2017

1. The Fama Portfolio
   University of Chicago Press Economics Books, University of Chicago Press View citations (4)

2006

2. Financial Markets and the Real Economy
   Books, Edward Elgar Publishing View citations (64)

Chapters

2017

1. Michelson-Morley, Fisher, and Occam: The Radical Implications of Stable Quiet Inflation at the Zero Bound
   A chapter in NBER Macroeconomics Annual 2017, volume 32, 2017, pp 113-226 View citations (32)

2015

2. Conclusions and Solutions
   Chapter 7 in Inequality & Economic Policy, 2015

2014

3. Toward a Run-free Financial System
   Chapter 10 in Across the Great Divide: New Perspectives on the Financial Crisis, 2014 View citations (19)

2012

4. Restoring Sound Economic Policy - Three Views
   Chapter 8 in Government Policies and the Delayed Economic Recovery, 2012

2010

5. Introduction
   A chapter in The Squam Lake Report: Fixing the Financial System, 2010

2009

6. 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

1999

7. A Frictionless View of US Inflation
   A chapter in NBER Macroeconomics Annual 1998, volume 13, 1999, pp 323-421 View citations (22)
   See also Working Paper (1998)

1992

8. Asset Pricing Explorations for Macroeconomics
   A chapter in NBER Macroeconomics Annual 1992, Volume 7, 1992, pp 115-182 View citations (208)
   See also Working Paper (1992)