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Timothy Cogley

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Personal Details

First Name: Timothy
Middle Name:
Last Name: Cogley
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RePEc Short-ID: pco39

Email:
Homepage: http://homepages.nyu.edu/~tc60
Postal Address: Department of Economics New York University 19 W. 4th St., 6FL New York, NY 10012
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Works

| Working papers | Articles | Chapters | Editor | Access and download statistics | Citations (if any)| NEP Fields |
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Working papers

  1. Timothy Cogley & Giorgio E. Primiceri & Thomas J. Sargent, 2008. "Inflation-Gap Persistence in the U.S," NBER Working Papers 13749, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  2. Timothy Cogley & Argia M. Sbordone, 2006. "Trend inflation and inflation persistence in the New Keynesian Phillips Curve," Staff Reports 270, Federal Reserve Bank of New York. [Downloadable!]

  3. Cogley, Timothy W. & Sargent, Thomas J., 2005. "The Market Price of Risk and the Equity Premium," Working Papers 05-22, University of California at Davis, Department of Economics. [Downloadable!]

  4. Timothy Cogley & Thomas Sargent & Riccardo Colacito, 2005. "Benefits from U.S. Monetary Policy Experimentation in the Days of Samuelson," 2005 Meeting Papers 791, Society for Economic Dynamics. [Downloadable!]

  5. Cogley, Timothy W. & Sargent, Thomas J., 2005. "Anticipated Utility and Rational Expectations as Approximations of Bayesian Decision Making," Working Papers 05-23, University of California at Davis, Department of Economics. [Downloadable!]
    Published as:

  6. Timothy Cogley & Thomas J. Sargent, 2005. "The conquest of U.S. inflation: learning and robustness to model uncertainty," Working Paper Series 478, European Central Bank. [Downloadable!]
    Published as:

  7. Argia M. Sbordone & Timothy Cogley, 2004. "A Search for a Structural Phillips Curve," Computing in Economics and Finance 2004 291, Society for Computational Economics.
    Other versions:

  8. Cogley, Tim, 2003. "An Exploration of Evolving Term Structure Relations," Working Papers 03-6, University of California at Davis, Department of Economics.

  9. Cogley, Tim, 2003. "Drifts and Volatilities: Monetary Policies and Outcomes in the Post War U.S," Working Papers 03-5, University of California at Davis, Department of Economics.

  10. Timothy Cogley & Sergei Morozov & Thomas J. Sargent, 2003. "Bayesian Fan Charts for U.K. Inflation: Forecasting and Sources of Uncertainty in an Evolving Monetary System," CFS Working Paper Series 2003/44, Center for Financial Studies. [Downloadable!]
    Published as:

  11. Timothy Cogley & Thomas J. Sargent, 2003. "Drifts and volatilities: monetary policies and outcomes in the post WWII U.S," Working Paper 2003-25, Federal Reserve Bank of Atlanta. [Downloadable!]
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    Published as:

  12. Timothy Cogley, 1998. "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 and Econometrics 98-08, Federal Reserve Bank of San Francisco. [Downloadable!]
    Published as:

  13. Timothy Cogley, 1998. "Idiosyncratic risk and the equity premium: evidence from the Consumer Expenditure Survey," Working Papers in Applied Economic Theory and Econometrics 98-07, Federal Reserve Bank of San Francisco. [Downloadable!]
    Published as:

  14. Timothy Cogley, 1998. "A simple adaptive measure of core inflation," Working Papers in Applied Economic Theory and Econometrics 98-06, Federal Reserve Bank of San Francisco. [Downloadable!]
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  15. Timothy Cogley & Mark M. Spiegel, 1997. "Panel evidence on the speed of convergence," Working Papers in Applied Economic Theory 97-01, Federal Reserve Bank of San Francisco.

  16. Timothy Cogley, 1997. "A frequency decomposition of approximation errors in stochastic discount factor models," Working Papers in Applied Economic Theory 97-04, Federal Reserve Bank of San Francisco.
    Published as:

  17. Timothy Cogley, 1996. "Estimating dynamic rational expectations models when the trend specification is uncertain," Working Papers in Applied Economic Theory 96-01, Federal Reserve Bank of San Francisco. [Downloadable!]

  18. Timothy Cogley, 1994. "Maximum likelihood estimation with HP filtered data: an invariance theorem," Working Papers in Applied Economic Theory 94-12, Federal Reserve Bank of San Francisco.

  19. Nason, J.M. & Cogley, T., 1994. "Technical Appendix: Testing the Implications of the Long Run Neutrality for Monetary Business Cycle Models," UBC Departmental Archives 94-27, UBC Department of Economics.

  20. Nason, J.M. & Cogley, T., 1994. "Testing the Implications of Long Run Neutrality for Monetary Business Cycle Models," UBC Departmental Archives 94-26, UBC Department of Economics.
    Published as:

  21. Nason, J.M. & Cogley, T., 1994. "Technical Appendix: Output Dynamics in rRal Business Cycle Models," UBC Departmental Archives 94-29, UBC Department of Economics.

  22. Timothy Cogley & James M. Nason, 1993. "Effects of the Hodrick-Prescott filter on trend and difference stationary time series: implications for business cycle research," Working Papers in Applied Economic Theory 93-01, Federal Reserve Bank of San Francisco.
    Published as:

  23. Timothy Cogley & James M. Nason, 1993. "Output dynamics in real business cycle models," Working Papers in Applied Economic Theory 93-10, Federal Reserve Bank of San Francisco.
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  24. Cogley, T. & Nason, J.M., 1992. "Do Real Business Cycles Models Pass the Nelson-Plosser Test?," UBC Departmental Archives 92-24, UBC Department of Economics.

  25. Cogley, T. & Nason, J.M., 1992. "Effects of Hodrick-Prescott Filter on Trend and Difference Stationary Time Series : Implications for Business Cycle Research," UBC Departmental Archives 92-23, UBC Department of Economics.

  26. Cogley, T., 1990. "Spurious Business Cycle Phenomena In Hp Filered Time Series," Discussion Papers in Economics at the University of Washington 90-21, Department of Economics at the University of Washington.
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  27. Cogley, T., 1989. "Empirical Evidence On Nominal Wage And Price Flexibility," Discussion Papers in Economics at the University of Washington 89-15, Department of Economics at the University of Washington.
    Other versions:
    Published as:

  28. Cogley, T., 1989. "International Evidence On The Size Of The Random Walk In Output," Discussion Papers in Economics at the University of Washington 89-02, Department of Economics at the University of Washington.
    Other versions:
    Published as:

  29. Timothy Cogley & Thomas Sargent, . "Evolving Post-World War II U.S. Inflation Dynamics," Working Papers 2132872, Department of Economics, W. P. Carey School of Business, Arizona State University. [Downloadable!]
    Published as:

  30. Timothy Cogley, . "How Fast Can the New Economy Grow? A Bayesian Analysis of the Evolution of Trend Growth," Working Papers 2133301, Department of Economics, W. P. Carey School of Business, Arizona State University. [Downloadable!]
    Published as:

Articles

  1. Cogley, Timothy, 2009. "Is the market price of risk infinite?," Economics Letters, Elsevier, vol. 102(1), pages 13-16, January. [Downloadable!] (restricted)

  2. Timothy Cogley & ThomasJ. Sargent, 2009. "Diverse Beliefs, Survival and the Market Price of Risk," Economic Journal, Royal Economic Society, vol. 119(536), pages 354-376, 03. [Downloadable!] (restricted)

  3. Timothy Cogley & Thomas J. Sargent, 2008. "Anticipated Utility And Rational Expectations As Approximations Of Bayesian Decision Making," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 49(1), pages 185-221, 02. [Downloadable!] (restricted)
    Other versions:

  4. Cogley, Timothy & Durlauf, Steven N. & Nason, James M., 2008. "Introduction: Journal of Econometrics special issue honoring the research contributions of Charles R. Nelson," Journal of Econometrics, Elsevier, vol. 146(2), pages 199-201, October. [Downloadable!] (restricted)

  5. Timothy Cogley & Riccardo Colacito & Lars Peter Hansen & Thomas J. Sargent, 2008. "Robustness and U.S. Monetary Policy Experimentation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(8), pages 1599-1623, December. [Downloadable!] (restricted)

  6. Timothy W. Cogley, 2008. "Commentary on "Optimal monetary policy under uncertainty: a Markov jump-linear-quadratic approach"," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 295-300. [Downloadable!]

  7. Timothy Cogley & Argia M. Sbordone, 2008. "Trend Inflation, Indexation, and Inflation Persistence in the New Keynesian Phillips Curve," American Economic Review, American Economic Association, vol. 98(5), pages 2101-26, December. [Downloadable!]

  8. Cogley, Timothy & Sargent, Thomas J., 2008. "The market price of risk and the equity premium: A legacy of the Great Depression?," Journal of Monetary Economics, Elsevier, vol. 55(3), pages 454-476, April. [Downloadable!] (restricted)

  9. Timothy Cogley & Riccardo Colacito & Thomas J. Sargent, 2007. "Benefits from U.S. Monetary Policy Experimentation in the Days of Samuelson and Solow and Lucas," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(s1), pages 67-99, 02. [Downloadable!] (restricted)

  10. Timothy Cogley & Thomas J. Sargent, 2005. "Drift and Volatilities: Monetary Policies and Outcomes in the Post WWII U.S," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 8(2), pages 262-302, April. [Downloadable!] (restricted)
    Other versions:

  11. Cogley, Timothy, 2005. "How fast can the new economy grow? A Bayesian analysis of the evolution of trend growth," Journal of Macroeconomics, Elsevier, vol. 27(2), pages 179-207, June. [Downloadable!] (restricted)
    Other versions:

  12. Timothy Cogley, 2005. "Changing Beliefs and the Term Structure of Interest Rates: Cross-Equation Restrictions with Drifting Parameters," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 8(2), pages 420-451, April. [Downloadable!] (restricted)

  13. Timothy Cogley & Thomas J. Sargent, 2005. "The conquest of US inflation: Learning and robustness to model uncertainty," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 8(2), pages 528-563, April. [Downloadable!] (restricted)
    Other versions:

  14. Cogley, Timothy & Morozov, Sergei & Sargent, Thomas J., 2005. "Bayesian fan charts for U.K. inflation: Forecasting and sources of uncertainty in an evolving monetary system," Journal of Economic Dynamics and Control, Elsevier, vol. 29(11), pages 1893-1925, November. [Downloadable!] (restricted)
    Other versions:

  15. Cogley, Timothy, 2002. "Idiosyncratic risk and the equity premium: evidence from the consumer expenditure survey," Journal of Monetary Economics, Elsevier, vol. 49(2), pages 309-334, March. [Downloadable!] (restricted)
    Other versions:

  16. Cogley, Timothy, 2002. "A Simple Adaptive Measure of Core Inflation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 34(1), pages 94-113, February.
    Other versions:

  17. Cogley, Timothy, 2001. "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, vol. 42(2), pages 473-503, May.
    Other versions:

  18. Cogley, Timothy, 2001. "Estimating and testing rational expectations models when the trend specification is uncertain," Journal of Economic Dynamics and Control, Elsevier, vol. 25(10), pages 1485-1525, October. [Downloadable!] (restricted)

  19. Cogley, Timothy, 2001. "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, vol. 25(8), pages 1103-1107, August. [Downloadable!] (restricted)
    Other versions:

  20. Timothy Cogley, 1999. "Should the Fed take deliberate steps to deflate asset price bubbles?," Economic Review, Federal Reserve Bank of San Francisco, pages 42-52. [Downloadable!]

  21. Timothy Cogley, 1999. "Monetary policy and the great crash of 1929: a bursting bubble or collapsing fundamentals?," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue Mar 26. [Downloadable!]

  22. Timothy Cogley, 1998. "On the transition to a fully funded Social Security system," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue Mar 13. [Downloadable!]

  23. Timothy Cogley & Heather Royer, 1998. "The baby boom, the baby bust, and asset markets," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue Jun 26. [Downloadable!]

  24. Timothy Cogley, 1997. "Evaluating non-structural measures of the business cycle," Economic Review, Federal Reserve Bank of San Francisco, pages 3-21. [Downloadable!]

  25. Timothy Cogley & Heather Royer, 1997. "Proposals for reforming Social Security," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue May 9. [Downloadable!]

  26. Timothy Cogley, 1997. "What is the optimal rate of inflation?," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue Sep 19. [Downloadable!]

  27. Timothy Cogley, 1996. "Why do stock prices sometimes fall in response to good economic news?," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue Dec 13. [Downloadable!]

  28. Timothy Cogley, 1996. "Why central bank independence helps to mitigate inflationary bias," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue Feb 23. [Downloadable!]

  29. Cogley, Timothy & Nason, James M., 1995. "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, vol. 19(1-2), pages 253-278. [Downloadable!] (restricted)
    Other versions:

  30. Timothy Cogley, 1995. "Inflation uncertainty and excess returns on stocks and banks," Economic Review, Federal Reserve Bank of San Francisco, pages 21-29. [Downloadable!]

  31. Desiree Schaan & Timothy Cogley, 1995. "Financial fragility and the lender of last resort," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue May 26. [Downloadable!]

  32. Timothy Cogley & Desiree Schaan, 1995. "Using consumption to track movements in trend GDP," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue Sep 1. [Downloadable!]

  33. Cogley, Timothy & Nason, James M, 1995. "Output Dynamics in Real-Business-Cycle Models," American Economic Review, American Economic Association, vol. 85(3), pages 492-511, June. [Downloadable!] (restricted)
    Other versions:

  34. Timothy Cogley, 1994. "Monetary policy in a low inflation regime," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue Apr 1. [Downloadable!]

  35. Nason, James M & Cogley, Timothy, 1994. "Testing the Implications of Long-Run Neutrality for Monetary Business Cycle Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 9(S), pages S37-70, Suppl. De. [Downloadable!] (restricted)
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  36. Timothy Cogley & Desiree Schaan, 1994. "Should the central bank be responsible for regional stabilization?," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue Jul 15. [Downloadable!]

  37. Timothy Cogley, 1993. "The recession, the recovery, and the productivity slowdown," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue Jan 8. [Downloadable!]

  38. Cogley, Timothy, 1993. "Empirical Evidence on Nominal Wage and Price Flexibility," The Quarterly Journal of Economics, MIT Press, vol. 108(2), pages 475-91, May. [Downloadable!] (restricted)
    Other versions:

  39. Timothy Cogley, 1993. "Adapting to instability in money demand: forecasting money growth with a time-varying parameter model," Economic Review, Federal Reserve Bank of San Francisco, pages 35-41. [Downloadable!]

  40. Cogley, Timothy & Nason, James M., 1993. "Impulse dynamics and propagation mechanisms in a real business cycle model," Economics Letters, Elsevier, vol. 43(1), pages 77-81. [Downloadable!] (restricted)

  41. Timothy Cogley, 1993. "Monetary policy and long-term real interest rates," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue Dec 3. [Downloadable!]

  42. Timothy Cogley, 1993. "Interpreting the term structure of interest rates," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue Apr 16. [Downloadable!]

  43. Timothy Cogley & James M. Nason, 1991. "Effects of the Hodrick-Prescott filter on integrated time series," Proceedings, Federal Reserve Bank of San Francisco, issue Nov.

  44. Cogley, Timothy, 1990. "International Evidence on the Size of the Random Walk in Output," Journal of Political Economy, University of Chicago Press, vol. 98(3), pages 501-18, June. [Downloadable!] (restricted)
    Other versions:

Chapters

  1. Timothy Cogley, 2007. "Comment on "How Structural Are Structural Parameters?"," NBER Chapters, in: NBER Macroeconomics Annual 2007, Volume 22, pages 139-147 National Bureau of Economic Research, Inc.

  2. Timothy Cogley & Thomas J. Sargent, 2002. "Evolving Post-World War II U.S. Inflation Dynamics," NBER Chapters, in: NBER Macroeconomics Annual 2001, Volume 16, pages 331-388 National Bureau of Economic Research, Inc. [Downloadable!]
    Other versions:

Editor

  1. Journal of Economic Dynamics and Control, Elsevier.

NEP Fields

10 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BEC: Business Economics (1) 2005-05-14
  2. NEP-CBA: Central Banking (3) 2005-05-14 2006-12-16 2008-01-26 Author is listed
  3. NEP-ECM: Econometrics (1) 1999-11-28
  4. NEP-ETS: Econometric Time Series (2) 1999-11-28 2004-02-23
  5. NEP-HIS: Business, Economic & Financial History (1) 2005-10-04
  6. NEP-MAC: Macroeconomics (5) 2004-02-23 2005-05-14 2005-05-23 2005-10-04 2008-01-26 Author is listed
  7. NEP-MIC: Microeconomics (1) 2004-02-23
  8. NEP-MON: Monetary Economics (6) 2004-02-23 2004-05-16 2005-05-14 2005-10-04 2006-12-16 2008-01-26 Author is listed
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