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John H. Cochrane

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Personal Details

First Name: John
Middle Name: H.
Last Name: Cochrane
Suffix:

RePEc Short-ID: pco57

Email:
Homepage: http://faculty.chicagobooth.edu/john.cochrane/research/Papers/
Postal Address: 5807 S. Woodlawn Chicago IL 60637
Phone: 773 702 3059

Affiliation

(50%) National Bureau of Economic Research (NBER)
Location: Cambridge, Massachusetts (United States)
Homepage: http://www.nber.org/
Email:
Phone: 617-868-3900
Fax:
Postal: 1050 Massachusetts Avenue, Cambridge, Massachusetts 02138
Handle: RePEc:edi:nberrus (more details at EDIRC)
(50%) Booth School of Business
University of Chicago
Location: Chicago, Illinois (United States)
Homepage: http://www.chicagobooth.edu/
Email:
Phone:
Fax:
Postal: :1101 East 58th Street, Chicago, Illinois 60637
Handle: RePEc:edi:sbuchus (more details at EDIRC)

Lists

This author is featured on the following reading lists, publication compilations or Wikipedia entries:
  1. John H. Cochrane in Wikipedia (English)

Works

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Working papers

  1. John H. Cochrane, 2013. "Finance: Function Matters, not Size," NBER Working Papers 18944, National Bureau of Economic Research, Inc.
  2. John H. Cochrane, 2013. "The New-Keynesian Liquidity Trap," NBER Working Papers 19476, National Bureau of Economic Research, Inc.
  3. John H. Cochrane, 2013. "A Mean-Variance Benchmark for Intertemporal Portfolio Theory," NBER Working Papers 18768, National Bureau of Economic Research, Inc.
  4. John H. Cochrane, 2012. "Continuous-Time Linear Models," NBER Working Papers 18181, National Bureau of Economic Research, Inc.
  5. John H. Cochrane, 2011. "Discount Rates," NBER Working Papers 16972, National Bureau of Economic Research, Inc.
  6. John H. Cochrane, 2010. "Understanding Policy in the Great Recession: Some Unpleasant Fiscal Arithmetic," NBER Working Papers 16087, National Bureau of Economic Research, Inc.
  7. John H. Cochrane, 2009. "Can Learnability Save New-Keynesian Models?," NBER Working Papers 15459, National Bureau of Economic Research, Inc.
  8. Monika Piazzesi & John Cochrane, 2009. "Decomposing the Yield Curve," 2009 Meeting Papers 18, Society for Economic Dynamics.
  9. John H. Cochrane, 2007. "Determinacy and Identification with Taylor Rules," NBER Working Papers 13409, National Bureau of Economic Research, Inc.
  10. John H. Cochrane, 2006. "The Dog That Did Not Bark: A Defense of Return Predictability," NBER Working Papers 12026, National Bureau of Economic Research, Inc.
  11. John Cochrane, 2005. "Financial Markets and the Real Economy," NBER Working Papers 11193, National Bureau of Economic Research, Inc.
  12. Cochrane, John. H. & Longstaff, Francis A. & Santa-Clara, Pedro, 2004. "Two Trees," University of California at Los Angeles, Anderson Graduate School of Management qt6mt207w2, Anderson Graduate School of Management, UCLA.
  13. John H. Cochrane & Francis A. Longstaff & Pedro Santa-Clara, 2003. "Two Trees: Asset Price Dynamics Induced by Market Clearing," Levine's Bibliography 666156000000000355, UCLA Department of Economics.
  14. John H. Cochrane, 2002. "Stocks as Money: Convenience Yield and the Tech-Stock Bubble," NBER Working Papers 8987, National Bureau of Economic Research, Inc.
  15. John H. Cochrane & Monika Piazzesi, 2002. "The Fed and Interest Rates: A High-Frequency Identification," NBER Working Papers 8839, National Bureau of Economic Research, Inc.
  16. John H. Cochrane & Monika Piazzesi, 2002. "Bond Risk Premia," NBER Working Papers 9178, National Bureau of Economic Research, Inc.
  17. John H. Cochrane, 2001. "The Risk and Return of Venture Capital," NBER Working Papers 8066, National Bureau of Economic Research, Inc.
  18. Michael W. Brandt & John H. Cochrane & Pedro Santa-Clara, 2001. "International Risk Sharing is Better Than You Think (or Exchange Rates are Much Too Smooth)," NBER Working Papers 8404, National Bureau of Economic Research, Inc.
  19. John H. Cochrane, 2001. "A Rehabilitation of Stochastic Discount Factor Methodology," NBER Working Papers 8533, National Bureau of Economic Research, Inc.
  20. John H. Cochrane, 2000. "Money as Stock: Price Level Determination with no Money Demand," NBER Working Papers 7498, National Bureau of Economic Research, Inc.
  21. John H. Cochrane, 1999. "Portfolio Advice for a Multifactor World," NBER Working Papers 7170, National Bureau of Economic Research, Inc.
  22. John H. Cochrane, 1999. "New Facts in Finance," NBER Working Papers 7169, National Bureau of Economic Research, Inc.
  23. John Y. Campbell & John H. Cochrane, 1999. "Explaining the Poor Performance of Consumption-Based Asset Pricing Models," NBER Working Papers 7237, National Bureau of Economic Research, Inc.
  24. John H. Cochrane, 1998. "Where is the Market Going? Uncertain Facts and Novel Theories," NBER Working Papers 6207, National Bureau of Economic Research, Inc.
  25. John H. Cochrane, 1998. "A Frictionless View of U.S. Inflation," NBER Working Papers 6646, National Bureau of Economic Research, Inc.
  26. John H. Cochrane, 1998. "Long-term Debt and Optimal Policy in the Fiscal Theory of the Price Level," NBER Working Papers 6771, National Bureau of Economic Research, Inc.
  27. John H. Cochrane & Jesus Saa-Requejo, 1996. "Beyond Arbitrage: "Good-Deal" Asset Price Bounds in Incomplete Markets," NBER Working Papers 5489, National Bureau of Economic Research, Inc.
  28. John H. Cochrane, 1995. "What do the VARs Mean?: Measuring the Output Effects of Monetary Policy," NBER Working Papers 5154, National Bureau of Economic Research, Inc.
  29. John H. Cochrane, 1994. "Shocks," NBER Working Papers 4698, National Bureau of Economic Research, Inc.
  30. John Y. Campbell & John H. Cochrane, 1994. "By force of habit: a consumption-based explanation of aggregate stock market behavior," Working Papers 94-17, Federal Reserve Bank of Philadelphia.
  31. John H. Cochrane & Lars Peter Hansen, 1992. "Asset Pricing Explorations for Macroeconomics," NBER Working Papers 4088, National Bureau of Economic Research, Inc.
  32. John H. Cochrane, 1992. "A Cross-Sectional Test of a Production-Based Asset Pricing Model," NBER Working Papers 4025, National Bureau of Economic Research, Inc.
  33. John H. Cochrane, 1992. "Explaining the Variance of Price Dividend Ratios," NBER Working Papers 3157, National Bureau of Economic Research, Inc.
  34. Cochrane, J.H. & Ickes, B.W., 1991. "Inflation Stabilization in Reforming Socialist Economies : the Myth of the Monetary Overhang," Papers 8-91-2, Pennsylvania State - Department of Economics.
  35. John H. Cochrane, 1991. "Volatility Tests and Efficient Markets: A Review Essay," NBER Working Papers 3591, National Bureau of Economic Research, Inc.
  36. John H. Cochrane, 1990. "Univariate vs. Multivariate Forecasts of GNP Growth and Stock Returns: Evidence and Implications for the Persistence of Shocks, Detrending Methods," NBER Working Papers 3427, National Bureau of Economic Research, Inc.
  37. Cocherane, J. & Ickes, B.W., 1990. "Stopping Inflation in Reforming Socialist Economies: Some Pleasant Socialist Arithmetics," Papers 12-90-1, Pennsylvania State - Department of Economics.
  38. John H. Cochrane, 1989. "Using Production Based Asset Pricing to Explain the Behavior of Stock Returns Over the Business Cycle," NBER Working Papers 3212, National Bureau of Economic Research, Inc.
  39. John H. Cochrane, 1988. "A Test of Consumption Insurance," NBER Working Papers 2642, National Bureau of Economic Research, Inc.
  40. John H. Cochrane, 1988. "The Sensitivity of Tests of the Intertemporal Allocation of Consumption to Near-Rational Alternatives," NBER Working Papers 2730, National Bureau of Economic Research, Inc.
  41. John H. Cochrane, 1988. "Production Based Asset Pricing," NBER Working Papers 2776, National Bureau of Economic Research, Inc.

Articles

  1. John H. Cochrane, 2014. "A Mean-Variance Benchmark for Intertemporal Portfolio Theory," Journal of Finance, American Finance Association, vol. 69(1), pages 1-49, 02.
  2. Martin N. Baily & John Y. Campbell & John H. Cochrane & Douglas W. Diamond & Darrell Duffie & Kenneth R. French & Anil K. Kashyap & Frederic S. Mishkin & Raghuram Rajan & David S. Scharfstein & Robert, 2013. "Aligning Incentives at Systemically Important Financial Institutions: A Proposal by the Squam Lake Group," Journal of Applied Corporate Finance, Morgan Stanley, vol. 25(4), pages 37-40, December.
  3. John H. Cochrane, 2013. "Finance: Function Matters, Not Size," Journal of Economic Perspectives, American Economic Association, vol. 27(2), pages 29-50, Spring.
  4. Cochrane, John H., 2012. "Continuous-Time Linear Models," Foundations and Trends(R) in Finance, now publishers, vol. 6(3), pages 165-219, November.
  5. 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.
  6. John H. Cochrane, 2011. "Presidential Address: Discount Rates," Journal of Finance, American Finance Association, vol. 66(4), pages 1047-1108, 08.
  7. John H. Cochrane, 2011. "Determinacy and Identification with Taylor Rules," Journal of Political Economy, University of Chicago Press, vol. 119(3), pages 565 - 615.
  8. John H. Cochrane, 2011. "HOW DID PAUL KRUGMAN GET IT SO WRONG?-super-1," Economic Affairs, Wiley Blackwell, vol. 31(2), pages 36-40, 06.
  9. Kenneth French & Martin Baily & John Campbell & John Cochrane & Douglas Diamond & Darrell Duffie & Anil Kashyap & Frederic Mishkin & Raghuram Rajan & David Scharfstein & Robert Shiller & Hyun Song Shi, 2010. "The Squam Lake Report: Fixing the Financial System," Journal of Applied Corporate Finance, Morgan Stanley, vol. 22(3), pages 8-21.
  10. Cochrane, John H., 2009. "Can learnability save new-Keynesian models?," Journal of Monetary Economics, Elsevier, vol. 56(8), pages 1109-1113, November.
  11. John H. Cochrane & Francis A. Longstaff & Pedro Santa-Clara, 2008. "Two Trees," Review of Financial Studies, Society for Financial Studies, vol. 21(1), pages 347-385, January.
  12. John H. Cochrane, 2008. "The Dog That Did Not Bark: A Defense of Return Predictability," Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1533-1575, July.
  13. John H. Cochrane, 2007. "Commentary on "Macroeconomic implications of changes in the term premium"," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 271-282.
  14. Brandt, Michael W. & Cochrane, John H. & Santa-Clara, Pedro, 2006. "International risk sharing is better than you think, or exchange rates are too smooth," Journal of Monetary Economics, Elsevier, vol. 53(4), pages 671-698, May.
  15. John Cochrane, 2006. "Prediction and impulse responses in linear systems (in Russian)," Quantile, Quantile, issue 1, pages 21-26, September.
  16. Cochrane, John H., 2005. "The risk and return of venture capital," Journal of Financial Economics, Elsevier, vol. 75(1), pages 3-52, January.
  17. John H. Cochrane & Monika Piazzesi, 2005. "Bond Risk Premia," American Economic Review, American Economic Association, vol. 95(1), pages 138-160, March.
  18. 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.
  19. Cochrane, John H., 2005. "Money as stock," Journal of Monetary Economics, Elsevier, vol. 52(3), pages 501-528, April.
  20. Monika Piazzesi, 2002. "The Fed and Interest Rates - A High-Frequency Identification," American Economic Review, American Economic Association, vol. 92(2), pages 90-95, May.
  21. John H. Cochrane, 2001. "Review of Peter M. Garber, Famous First Bubbles: The Fundamentals of Early Manias," Journal of Political Economy, University of Chicago Press, vol. 109(5), pages 1150-1179, October.
  22. Cochrane, John H, 2001. "Long-Term Debt and Optimal Policy in the Fiscal Theory of the Price Level," Econometrica, Econometric Society, vol. 69(1), pages 69-116, January.
  23. John H. Cochrane & Jesus Saa-Requejo, 2000. "Beyond Arbitrage: Good-Deal Asset Price Bounds in Incomplete Markets," Journal of Political Economy, University of Chicago Press, vol. 108(1), pages 79-119, February.
  24. John Y. Campbell & John H. Cochrane, 2000. "Explaining the Poor Performance of Consumption-based Asset Pricing Models," Journal of Finance, American Finance Association, vol. 55(6), pages 2863-2878, December.
  25. John Y. Campbell & John Cochrane, 1999. "Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior," Journal of Political Economy, University of Chicago Press, vol. 107(2), pages 205-251, April.
  26. John H. Cochrane, 1999. "Portfolio advice of a multifactor world," Economic Perspectives, Federal Reserve Bank of Chicago, issue Q III, pages 59-78.
  27. John H. Cochrane, 1999. "New facts in finance," Economic Perspectives, Federal Reserve Bank of Chicago, issue Q III, pages 36-58.
  28. Cochrane, John H., 1998. "What do the VARs mean? Measuring the output effects of monetary policy," Journal of Monetary Economics, Elsevier, vol. 41(2), pages 277-300, April.
  29. John H. Cochrane, 1997. "Where is the market going? Uncertain facts and novel theories," Economic Perspectives, Federal Reserve Bank of Chicago, issue Nov, pages 3-37.
  30. Cochrane, John H, 1996. "A Cross-Sectional Test of an Investment-Based Asset Pricing Model," Journal of Political Economy, University of Chicago Press, vol. 104(3), pages 572-621, June.
  31. Cochrane, John H, 1995. "Time-Consistent Health Insurance," Journal of Political Economy, University of Chicago Press, vol. 103(3), pages 445-73, June.
  32. Cochrane, John H., 1994. "Shocks," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 41(1), pages 295-364, December.
  33. Cochrane, John H, 1994. "Permanent and Transitory Components of GNP and Stock Prices," The Quarterly Journal of Economics, MIT Press, vol. 109(1), pages 241-65, February.
  34. Cochrane, John H, 1992. "Explaining the Variance of Price-Dividend Ratios," Review of Financial Studies, Society for Financial Studies, vol. 5(2), pages 243-80.
  35. Cochrane, John H., 1991. "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, Elsevier, vol. 35(4), pages 757-764, May.
  36. Cochrane, John H, 1991. " Production-Based Asset Pricing and the Link between Stock Returns and Economic Fluctuations," Journal of Finance, American Finance Association, vol. 46(1), pages 209-37, March.
  37. John H Cochrane & Barry W Ickes, 1991. "Inflation Stabilization in Reforming Socialist Economies: The Myth of the Monetary Overhang," Comparative Economic Studies, Palgrave Macmillan, vol. 33(2), pages 97-122, July.
  38. Cochrane, John H, 1991. "A Simple Test of Consumption Insurance," Journal of Political Economy, University of Chicago Press, vol. 99(5), pages 957-76, October.
  39. Cochrane, John H., 1991. "A critique of the application of unit root tests," Journal of Economic Dynamics and Control, Elsevier, vol. 15(2), pages 275-284, April.
  40. Cochrane, John H., 1991. "Volatility tests and efficient markets : A review essay," Journal of Monetary Economics, Elsevier, vol. 27(3), pages 463-485, June.
  41. Cochrane, John H, 1989. "The Sensitivity of Tests of the Intertemporal Allocation of Consumption to Near-Rational Alternatives," American Economic Review, American Economic Association, vol. 79(3), pages 319-37, June.
  42. Cochrane, John H, 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, American Statistical Association, vol. 7(1), pages 75-83, January.
  43. Cochrane, John H. & Sbordone, Argia M., 1988. "Multivariate estimates of the permanent components of GNP and stock prices," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 255-296.
  44. Cochrane, John H, 1988. "How Big Is the Random Walk in GNP?," Journal of Political Economy, University of Chicago Press, vol. 96(5), pages 893-920, October.

Chapters

  1. Alan Greenspan & George P. Shultz & John H. Cochrane, 2012. "Restoring Sound Economic Policy - Three Views," Book Chapters, in: Lee E. Ohanian & John B. Taylor & Ian J. Wright (ed.), Government Policies and the Delayed Economic Recovery, chapter 8 Hoover Institution, Stanford University.
  2. John H. Cochrane, 2009. "Comment on "On the Need for a New Approach to Analyzing Monetary Policy"," NBER Chapters, in: NBER Macroeconomics Annual 2008, Volume 23, pages 427-448 National Bureau of Economic Research, Inc.
  3. John H. Cochrane, 1999. "A Frictionless View of U.S. Inflation," NBER Chapters, in: NBER Macroeconomics Annual 1998, volume 13, pages 323-421 National Bureau of Economic Research, Inc.
  4. John H. Cochrane & Lars Peter Hansen, 1992. "Asset Pricing Explorations for Macroeconomics," NBER Chapters, in: NBER Macroeconomics Annual 1992, Volume 7, pages 115-182 National Bureau of Economic Research, Inc.

NEP Fields

24 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BEC: Business Economics (1) 2006-02-26
  2. NEP-CBA: Central Banking (5) 2007-09-24 2007-09-24 2009-10-31 2010-06-26 2011-04-30. Author is listed
  3. NEP-CFN: Corporate Finance (4) 1999-07-28 1999-07-28 1999-07-28 2005-03-20
  4. NEP-DGE: Dynamic General Equilibrium (2) 2004-08-02 2005-03-20
  5. NEP-ECM: Econometrics (1) 2012-07-01
  6. NEP-ETS: Econometric Time Series (1) 2012-07-01
  7. NEP-FIN: Finance (8) 1999-07-28 1999-07-28 1999-07-28 2002-06-13 2003-11-30 2004-08-02 2005-03-20 2006-02-26. Author is listed
  8. NEP-FMK: Financial Markets (2) 2002-06-13 2002-09-21
  9. NEP-FOR: Forecasting (2) 2006-02-26 2012-07-01
  10. NEP-HIS: Business, Economic & Financial History (1) 2004-12-21
  11. NEP-HPE: History & Philosophy of Economics (1) 2005-03-20
  12. NEP-IFN: International Finance (1) 2001-07-30
  13. NEP-MAC: Macroeconomics (7) 2003-11-16 2005-03-20 2007-09-24 2007-09-24 2009-10-31 2010-06-26 2013-10-02. Author is listed
  14. NEP-MON: Monetary Economics (5) 2000-01-24 2002-04-15 2007-09-24 2007-09-24 2010-06-26. Author is listed
  15. NEP-PUB: Public Finance (1) 1998-11-20
  16. NEP-RMG: Risk Management (3) 2002-09-21 2003-11-30 2006-02-26

Statistics

This author is among the top 5% authors according to these criteria:
  1. Average Rank Score
  2. Number of Works
  3. Number of Distinct Works, Weighted by Simple Impact Factor
  4. Number of Distinct Works, Weighted by Recursive Impact Factor
  5. Number of Distinct Works, Weighted by Number of Authors
  6. Number of Distinct Works, Weighted by Number of Authors and Simple Impact Factors
  7. Number of Distinct Works, Weighted by Number of Authors and Recursive Impact Factors
  8. Number of Citations
  9. Number of Citations, Discounted by Citation Age
  10. Number of Citations, Weighted by Simple Impact Factor
  11. Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
  12. Number of Citations, Weighted by Recursive Impact Factor
  13. Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
  14. Number of Citations, Weighted by Number of Authors
  15. Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
  16. Number of Citations, Weighted by Number of Authors and Simple Impact Factors
  17. Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
  18. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
  19. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
  20. h-index
  21. Number of Registered Citing Authors
  22. Number of Registered Citing Authors, Weighted by Rank (Max. 1 per Author)
  23. Number of Journal Pages
  24. Number of Journal Pages, Weighted by Simple Impact Factor
  25. Number of Journal Pages, Weighted by Recursive Impact Factor
  26. Number of Journal Pages, Weighted by Number of Authors
  27. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
  28. Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors
  29. Number of Abstract Views in RePEc Services over the past 12 months
  30. Number of Downloads through RePEc Services over the past 12 months
  31. Number of Abstract Views in RePEc Services over the past 12 months, Weighted by Number of Authors
  32. Number of Downloads through RePEc Services over the past 12 months, Weighted by Number of Authors
  33. Breadth of citations across fields
  34. Wu-Index
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