Details about John H. Cochrane
Access statistics for papers by John H. Cochrane.
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Short-id: pco57
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Working Papers
2022
- Expectations and the Neutrality of Interest Rates
NBER Working Papers, National Bureau of Economic Research, Inc
- Fiscal Histories
NBER Working Papers, National Bureau of Economic Research, Inc
- Inflation Past, Present and Future: Fiscal Shocks, Fed Response, and Fiscal Limits
NBER Working Papers, National Bureau of Economic Research, Inc
2021
- Portfolios for Long-Term Investors
NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
2020
- 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
- Rethinking Production Under Uncertainty
NBER Working Papers, National Bureau of Economic Research, Inc
- 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)
- The Value of Government Debt
NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
2016
- Macro-Finance
NBER Working Papers, National Bureau of Economic Research, Inc 
See also Journal Article in Review of Finance (2017)
- Stepping on a Rake: the Fiscal Theory of Monetary Policy
NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)
- The Habit Habit
Economics Working Papers, Hoover Institution, Stanford University View citations (9)
2015
- A New Structure for U.S. Federal Debt
Economics Working Papers, Hoover Institution, Stanford University View citations (13)
2014
- 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
- 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)
- 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)
- The New-Keynesian Liquidity Trap
NBER Working Papers, National Bureau of Economic Research, Inc View citations (31)
2012
- 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
- Discount Rates
NBER Working Papers, National Bureau of Economic Research, Inc View citations (39)
2010
- 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
- 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)
- Decomposing the Yield Curve
2009 Meeting Papers, Society for Economic Dynamics View citations (33)
2007
- 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
- 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
- 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
- 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)
- 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
- 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
- Bond Risk Premia
NBER Working Papers, National Bureau of Economic Research, Inc View citations (72)
See also Journal Article in American Economic Review (2005)
- Stocks as Money: Convenience Yield and the Tech-Stock Bubble
NBER Working Papers, National Bureau of Economic Research, Inc View citations (45)
- 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
- A Rehabilitation of Stochastic Discount Factor Methodology
NBER Working Papers, National Bureau of Economic Research, Inc View citations (13)
- 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)
- 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
- 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)
- Money as Stock: Price Level Determination with no Money Demand
NBER Working Papers, National Bureau of Economic Research, Inc View citations (42)
1999
- 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)
- 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)
- 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
- 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)
- 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)
- 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
- 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
- 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
- A Cross-Sectional Test of a Production-Based Asset Pricing Model
NBER Working Papers, National Bureau of Economic Research, Inc View citations (24)
- Asset Pricing Explorations for Macroeconomics
NBER Working Papers, National Bureau of Economic Research, Inc View citations (208)
See also Chapter (1992)
1991
- 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)
- 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
- Stopping Inflation in Reforming Socialist Economies: Some Pleasant Socialist Arithmetics
Working Papers, Pennsylvania State - Department of Economics View citations (1)
- 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
- 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)
- 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
- A Test of Consumption Insurance
NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)
- Production Based Asset Pricing
NBER Working Papers, National Bureau of Economic Research, Inc View citations (40)
- 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
- 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)
- The fiscal root of inflation
Review of Economic Dynamics, 2022, 45, 22-40 
See also Working Paper (2019)
2020
- Strategic Review and Beyond: Rethinking Monetary Policy and Independence
Review, 2020, 102, (2), 99-119 View citations (1)
2017
- Macro-Finance
Review of Finance, 2017, 21, (3), 945-985 
See also Working Paper (2016)
2015
- The Fragile Benefits of Endowment Destruction
Journal of Political Economy, 2015, 123, (5), 1214 - 1226
2014
- A Mean-Variance Benchmark for Intertemporal Portfolio Theory
Journal of Finance, 2014, 69, (1), 1-49 View citations (24)
See also Working Paper (2013)
- Challenges for Cost-Benefit Analysis of Financial Regulation
The Journal of Legal Studies, 2014, 43, (S2), S63 - S105 View citations (19)
- 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
- 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)
- Finance: Function Matters, Not Size
Journal of Economic Perspectives, 2013, 27, (2), 29-50 View citations (30)
See also Working Paper (2013)
2012
- Continuous-Time Linear Models
Foundations and Trends(R) in Finance, 2012, 6, (3), 165-219 View citations (1)
See also Working Paper (2012)
2011
- Determinacy and Identification with Taylor Rules
Journal of Political Economy, 2011, 119, (3), 565 - 615 View citations (287)
See also Working Paper (2007)
- HOW DID PAUL KRUGMAN GET IT SO WRONG?-super-1
Economic Affairs, 2011, 31, (2), 36-40 View citations (26)
- Presidential Address: Discount Rates
Journal of Finance, 2011, 66, (4), 1047-1108 View citations (565)
- 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
- 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
- Can learnability save new-Keynesian models?
Journal of Monetary Economics, 2009, 56, (8), 1109-1113 View citations (39)
See also Working Paper (2009)
2008
- 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)
- Two Trees
Review of Financial Studies, 2008, 21, (1), 347-385 View citations (19)
See also Working Paper (2004)
2007
- Commentary on \\"Macroeconomic implications of changes in the term premium\\"
Review, 2007, 89, (Jul), 271-282 View citations (2)
2006
- 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)
- Prediction and impulse responses in linear systems (in Russian)
Quantile, 2006, (1), 21-26
2005
- Bond Risk Premia
American Economic Review, 2005, 95, (1), 138-160 View citations (596)
See also Working Paper (2002)
- 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)
- Money as stock
Journal of Monetary Economics, 2005, 52, (3), 501-528 View citations (125)
- 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
- 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
- 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)
- 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
- 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)
- 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
- 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)
- New facts in finance
Economic Perspectives, 1999, 23, (Q III), 36-58 View citations (119)
See also Working Paper (1999)
- Portfolio advice of a multifactor world
Economic Perspectives, 1999, 23, (Q III), 59-78 View citations (27)
See also Working Paper (1999)
1998
- 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
- 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
- A Cross-Sectional Test of an Investment-Based Asset Pricing Model
Journal of Political Economy, 1996, 104, (3), 572-621 View citations (392)
1995
- Time-Consistent Health Insurance
Journal of Political Economy, 1995, 103, (3), 445-73 View citations (109)
1994
- Permanent and Transitory Components of GNP and Stock Prices
The Quarterly Journal of Economics, 1994, 109, (1), 241-265 View citations (322)
- Shocks
Carnegie-Rochester Conference Series on Public Policy, 1994, 41, (1), 295-364 
See also Working Paper (1994)
1992
- 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
- A Simple Test of Consumption Insurance
Journal of Political Economy, 1991, 99, (5), 957-76 View citations (591)
- A critique of the application of unit root tests
Journal of Economic Dynamics and Control, 1991, 15, (2), 275-284 View citations (160)
- 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)
- Production-Based Asset Pricing and the Link between Stock Returns and Economic Fluctuations
Journal of Finance, 1991, 46, (1), 209-37 View citations (430)
- 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)
- 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
- 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)
- 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
- How Big Is the Random Walk in GNP?
Journal of Political Economy, 1988, 96, (5), 893-920 View citations (648)
- 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
- 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
- The Fama Portfolio
University of Chicago Press Economics Books, University of Chicago Press View citations (4)
2006
- Financial Markets and the Real Economy
Books, Edward Elgar Publishing View citations (64)
Chapters
2017
- 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
- Conclusions and Solutions
Chapter 7 in Inequality & Economic Policy, 2015
2014
- Toward a Run-free Financial System
Chapter 10 in Across the Great Divide: New Perspectives on the Financial Crisis, 2014 View citations (19)
2012
- Restoring Sound Economic Policy - Three Views
Chapter 8 in Government Policies and the Delayed Economic Recovery, 2012
2010
- Introduction
A chapter in The Squam Lake Report: Fixing the Financial System, 2010
2009
- 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
- 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
- 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)
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