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NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Working Papers by James D. Hamilton

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers onlyInformation about this author at RePEc

Working Papers

December 2014Sign Restrictions, Structural Vector Autoregressions, and Useful Prior Information
with Christiane Baumeister: w20741
July 2014The Changing Face of World Oil Markets
w20355
February 2014Effects of Index-Fund Investing on Commodity Futures Prices
with Jing Cynthia Wu: w19892
August 2013Crunch Time: Fiscal Crises and the Role of Monetary Policy
with David Greenlaw, Peter Hooper, Frederic S. Mishkin: w19297
July 2013Off-Balance-Sheet Federal Liabilities
w19253
May 2013Risk Premia in Crude Oil Futures Prices
with Jing Cynthia Wu: w19056

Published: Hamilton, James D. & Wu, Jing Cynthia, 2014. "Risk premia in crude oil futures prices," Journal of International Money and Finance, Elsevier, vol. 42(C), pages 9-37. citation courtesy of

January 2012Oil Prices, Exhaustible Resources, and Economic Growth
w17759

Published: “Oil Prices, Exhaustible Resources, and Economic Growth,” in Handbook on Energy and Climate Change, pp. 29-63, edited by Roger Fouqet, Cheltenham, United Kingdom: Edward Elgar Publishing, 2013.

Identification and Estimation of Gaussian Affine Term Structure Models
with Jing Cynthia Wu: w17772

Published: Hamilton, James D. & Wu, Jing Cynthia, 2012. "Identification and estimation of Gaussian affine term structure models," Journal of Econometrics, Elsevier, vol. 168(2), pages 315-331. citation courtesy of

April 2011The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment
with Jing Cynthia Wu: w16956

Published: James D. Hamilton & Jing Cynthia Wu, 2012. "The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44, pages 3-46, 02. citation courtesy of

Testable Implications of Affine Term Structure Models
with Jing Cynthia Wu: w16931

Published: Hamilton, James D. & Wu, Jing Cynthia, 2014. "Testable implications of affine term structure models," Journal of Econometrics, Elsevier, vol. 178(P2), pages 231-242. citation courtesy of

February 2011Historical Oil Shocks
w16790

Published: “Historical Oil Shocks,” in Routledge Handbook of Major Events in Economic History, pp. 239-265, edited by Randall E. Parker and Robert Whaples, New York: Routledge Taylor and Francis Group, 2013 .

January 2011The Propagation of Regional Recessions
with Michael T. Owyang: w16657

Published: James D. Hamilton & Michael T. Owyang, 2012. "The Propagation of Regional Recessions," The Review of Economics and Statistics, MIT Press, vol. 94(4), pages 935-947, November. citation courtesy of

September 2010Estimating the Market-Perceived Monetary Policy Rule
with Seth Pruitt, Scott Borger: w16412

Published: James D. Hamilton & Seth Pruitt & Scott Borger, 2011. "Estimating the Market-Perceived Monetary Policy Rule," American Economic Journal: Macroeconomics, American Economic Association, vol. 3(3), pages 1-28, July. citation courtesy of

July 2010Nonlinearities and the Macroeconomic Effects of Oil Prices
w16186

Published: Hamilton, James D., 2011. "Nonlinearities And The Macroeconomic Effects Of Oil Prices," Macroeconomic Dynamics, Cambridge University Press, vol. 15(S3), pages 364-378, November. citation courtesy of

Calling Recessions in Real Time
w16162

Published: Hamilton, James D., 2011. "Calling recessions in real time," International Journal of Forecasting, Elsevier, vol. 27(4), pages 1006-1026, October. citation courtesy of

February 2010Sources of Variation in Holding Returns for Fed Funds Futures Contracts
with Tatsuyoshi Okimoto: w15736

Published: “Sources of Variation in Holding Returns for Fed Funds Futur es Con- tracts,” Journal of Futures Markets 31, no. 3 (2011): 205-229 (coauthored with Tatsuyoshi Okimoto).

May 2009Causes and Consequences of the Oil Shock of 2007-08
w15002

Published: James D. Hamilton, 2009. "Causes and Consequences of the Oil Shock of 2007-08," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 40(1 (Spring), pages 215-283. citation courtesy of

November 2008Understanding Crude Oil Prices
w14492

Published: James D. Hamilton, 2009. "Understanding Crude Oil Prices," The Energy Journal, International Association for Energy Economics, vol. 30(2), pages 179-206. citation courtesy of

August 2008Daily Monetary Policy Shocks and the Delayed Response of New Home Sales
w14223

Published: Hamilton, James D., 2008. "Daily monetary policy shocks and new home sales," Journal of Monetary Economics, Elsevier, vol. 55(7), pages 1171-1190, October.

June 2008Macroeconomics and ARCH
w14151

Published: Macroeconomics and ARCH, in Festschrift in Honor of Robert F. Engle, pp. 79-96, edited by Tim Bollerslev, Jeffry R. Russell and Mark Watson, Oxford University Press, 2010.

November 2007Assessing Monetary Policy Effects Using Daily Fed Funds Futures Contracts
w13569

Published: Assessing Monetary Policy Effects Using Daily Federal Funds Futures Contracts by James D. Hamilton in Federal Reserve Bank of St. Louis Review, July/August 2008 Vol. 90, No. 4, pp. 377-394

May 2007Daily Changes in Fed Funds Futures Prices
w13112

Published: James D. Hamilton, 2009. "Daily Changes in Fed Funds Futures Prices," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(4), pages 567-582, 06. citation courtesy of

June 2005Dating Business Cycle Turning Points
with Marcelle Chauvet: w11422

Published: Milas, Costas, Philip Rothman, and Dick van Dijk (eds.) Nonlinear Time Series Analysis of Business Cycles. The Netherlands: Elsevier, 2006.

February 2005What's Real About the Business Cycle?
w11161

Published: Hamilton, James D. "What's Real About The Business Cycle?," FRB St. Louis - Review, 2005, v87(4,Jul/Aug), 435-452. citation courtesy of

June 2003Why Are Prices Sticky? The Dynamics of Wholesale Gasoline Prices
with Michael C. Davis: w9741

Published: Davis, Michael C. and James D. Hamilton. "Why Are Prices Sticky? The Dynamics Of Wholesale Gasoline Prices," Journal of Money, Credit and Banking, 2004, v36(1,Feb), 17-37. citation courtesy of

October 2000A Re-examination of the Predictability of Economic Activity Using the Yield Spread
with Dong Heon Kim: w7954

Published: Hamilton, James D. and Dong Heon Kim. "A Reexamination Of The Predictability Of Economic Activity Using The Yield Spread," Journal of Money, Credit and Banking, 2002, v34(2,May), 340-360. citation courtesy of

August 2000A Model for the Federal Funds Rate Target
with Oscar Jorda: w7847

Published: Hamilton, James D. and Oscar Jorda. "A Model Of The Federal Funds Rate Target," Journal of Political Economy, 2002, v110(5,Oct), 1135-1167. citation courtesy of

June 2000What is an Oil Shock?
w7755

Published: Hamilton, James D., 2003. "What is an oil shock?," Journal of Econometrics, Elsevier, vol. 113(2), pages 363-398, April. citation courtesy of

November 1989Long Swings in the Exchange Rate: Are they in the Data and Do Markets Know It?
with Charles Engel: w3165

Published: "Long Swings in the Dollar: Are they in the Data and Do Markets Know It?" American Economic Review, Volume 80, September 1990, 689-713

June 1985On the Limitations of Government Borrowing: A Framework for Empirical Testing
with Marjorie A. Flavin: w1632

Published: Hamilton, James D. and Marjorie Flavin,"On the Limitations of Governemnt Borrowing: A Framework for Empirical Testing,"American Economic Review, Vol. 76, No. 4, September 1986. citation courtesy of

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers onlyInformation about this author at RePEc

 
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