NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Working Papers by John H. Cochrane

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Working Papers

September 2013The New-Keynesian Liquidity Trap
w19476
April 2013Finance: Function Matters, not Size.
w18944

Published: John H. Cochrane, 2013. "Finance: Function Matters, Not Size," Journal of Economic Perspectives, American Economic Association, vol. 27(2), pages 29-50, Spring.

February 2013A Mean-Variance Benchmark for Intertemporal Portfolio Theory
w18768
June 2012Continuous-Time Linear Models
w18181

Published: Cochrane, John H., 2012. "Continuous-Time Linear Models," Foundations and Trends(R) in Finance, now publishers, vol. 6(3), pages 165-219, November.

April 2011Discount Rates
w16972

Published: Discount Rates: American Finance Association Presidential Address . Journal of Finance, 66, 1047 - 1108 , A ugust 2011.

June 2010Understanding Policy in the Great Recession: Some Unpleasant Fiscal Arithmetic
w16087

Published: Cochrane, John H., 2011. "Understanding policy in the great recession: Some unpleasant fiscal arithmetic," European Economic Review, Elsevier, vol. 55(1), pages 2-30, January.

October 2009Can Learnability Save New-Keynesian Models?
w15459

Published: Cochrane, John H., 2009. "Can learnability save new-Keynesian models?," Journal of Monetary Economics, Elsevier, vol. 56(8), pages 1109-1113, November.

September 2007Determinacy and Identification with Taylor Rules
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Published: John H. Cochrane, 2011. "Determinacy and Identification with Taylor Rules," Journal of Political Economy, University of Chicago Press, vol. 119(3), pages 565 - 615.

Determinacy and Identification with Taylor Rules
w13410

Published: John H. Cochrane, 2011. "Determinacy and Identification with Taylor Rules," Journal of Political Economy, University of Chicago Press, vol. 119(3), pages 565 - 615.

February 2006The Dog That Did Not Bark: A Defense of Return Predictability
w12026

Published: Cochrane, John. "The Dog That Did Not Bark: A Defense of Return Predictability.” Review of Financial Studies 21, 4 (2008): 1533-1575.

March 2005Financial Markets and the Real Economy
w11193

Published:

  • Cochrane, John (ed.) Financial Markets and the Real Economy Volume 18 of the International Library of Critical Writings in Financial Economics. London: Edward Elgar, March 2006. ,
  • Cochrane, John H., 2005. "Financial Markets and the Real Economy," Foundations and Trends(R) in Finance, now publishers, vol. 1(1), pages 1-101, July.

November 2003Two Trees: Asset Price Dynamics Induced by Market Clearing
with Francis A. Longstaff, Pedro Santa-Clara: w10116

Published: Cochrane, John, Francis A Longstaff, and Pedro Santa-Clara. "Two Trees." Review of Financial Studies 21 (2008): 247-385.

September 2002Bond Risk Premia
with Monika Piazzesi: w9178

Published: Cochrane, John H. and Monika Piazzesi. "Bond Risk Premia," American Economic Review, 2005, v95(1,Mar), 138-160.

June 2002Stocks as Money: Convenience Yield and the Tech-Stock Bubble
w8987

Published: Hunter, William C., George G. Kaufman, and Michael Pomerleano (eds.) Asset price bubbles: The implications for monetary, regulatory, and international policies. Cambridge and London: MIT Press, 2003.

March 2002The Fed and Interest Rates: A High-Frequency Identification
with Monika Piazzesi: w8839

Published: Cochrane, John H. and Monica Piazzesi. "The Fed And Interest Rates - A High-Frequency Identification," American Economic Review, 2002, v92(2,May), 90-91.

October 2001A Rehabilitation of Stochastic Discount Factor Methodology
w8533
July 2001International Risk Sharing is Better Than You Think (or Exchange Rates are Much Too Smooth)
with Michael W. Brandt, Pedro Santa-Clara: w8404

Published: Brandt, Michael W., John H. Cochrane and Pedro Santa-Clara. "International Risk Sharing Is Better Than You Think, Or Exchange Rates Are Too Smooth," Journal of Monetary Economics, 2006, v53(4,May), 671-698.

January 2001The Risk and Return of Venture Capital
w8066

Published: Cochrane, John H. "The Risk And Return Of Venture Capital," Journal of Financial Economics, 2005, v75(1,Jan), 3-52.

January 2000Money as Stock: Price Level Determination with no Money Demand
w7498
July 1999Explaining the Poor Performance of Consumption-Based Asset Pricing Models
with John Y. Campbell: w7237

Published: Campbell, John Y. and John H. Cochrane. "Explaining The Poor Performance Of Consumption-Based Asset Pricing Models," Journal of Finance, 2000, v55(6,Dec), 2863-2878.

June 1999New Facts in Finance
w7169

Published: Economic Perspectives, Federal Reserve Bank of Chicago, Vol. 23, no. 3 (1999): 36-58

Portfolio Advice for a Multifactor World
w7170

Published: Economic Perspectives, Federal Reserve Bank of Chicago, Vol. 23, no. 3(1999): 59-78.

October 1998Long-term Debt and Optimal Policy in the Fiscal Theory of the Price Level
w6771

Published: Cochrane, John H. "Long-Term Debt And Optimal Policy In The Fiscal Theory Of The Price Level," Econometrica, 2001, v69(1,Jan), 69-116.

July 1998A Frictionless View of U.S. Inflation
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Published: A Frictionless View of U.S. Inflation, John H. Cochrane. in NBER Macroeconomics Annual 1998, volume 13, Bernanke and Rotemberg. 1999

February 1998Where is the Market Going? Uncertain Facts and Novel Theories
w6207

Published: Economic Perspectives XXI: 6 (November/December 1997) Federal Reserve Bankof Chicago.

March 1996Beyond Arbitrage: "Good-Deal" Asset Price Bounds in Incomplete Markets
with Jesus Saa-Requejo: w5489

Published: Journal of Political Economy (February 2000 Revision of W5489, March 1996)

June 1995What do the VARs Mean?: Measuring the Output Effects of Monetary Policy
w5154

Published: Journal of Monetary Economics, Vol. 41, no. 2 (April 1998): 277-300.

January 1995By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior
with John Y. Campbell: w4995

Published: Journal of Political Economy, Vol.107 (April 1999): 205-251.

April 1994Shocks
w4698

Published: Carnegie-Rochester Conference Series on Public Policy, vol. 41, (1994),pp. 295-364, (December 1994).

July 1992Explaining the Variance of Price Dividend Ratios
w3157

Published: The Review of Financial Studies, Vol. 5, No. 2, pp. 243-280, (1992).

June 1992Asset Pricing Explorations for Macroeconomics
with Lars Peter Hansen: w4088

Published:

March 1992A Cross-Sectional Test of a Production-Based Asset Pricing Model
w4025

Published: Journal of Political Economy, vol. 104, no. 3, pp. 572-621, 1996.

January 1991Volatility Tests and Efficient Markets: A Review Essay
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Published: Journal of Monetary Economics, Vol. 27, pp.463-485, (1991).

September 1990Univariate vs. Multivariate Forecasts of GNP Growth and Stock Returns: Evidence and Implications for the Persistence of Shocks, Detrending Methods
w3427

Published: "Permanent and Transitory Components of GNP and Stock Prices," Quarterly Journal of Economics, pp. 241-265 (February 1994).

December 1989Using Production Based Asset Pricing to Explain the Behavior of Stock Returns Over the Business Cycle
w3212

Published: "Production-Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations." From The Journal of Finance, Vol. 46, No. 1, pp. 209-2 37, (March 1991).

November 1988Production Based Asset Pricing
w2776

Published:

  • (1991): 209-238. ,
  • Published as "A Cross-Sectional Test of an Investment-Based Asset Pricing Model", Journal of Political Economy, Vol. 104, no. 3 (June 1996): 572-621. Published as "Production-Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations", Journal of Finance, Vol. 46, no. 1

October 1988The Sensitivity of Tests of the Intertemporal Allocation of Consumption to Near-Rational Alternatives
w2730

Published: The American Economic Review, Vol. 79, No. 3, pp. 319-337, (June 1989).

July 1988A Test of Consumption Insurance
w2642

Published: "A Simple Test of Consumption Insurance." From Journal of Political Economy, Vol. 99, No. 5, pp. 957-976, (October 1991).

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