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James Hamilton

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Personal Details

First Name: James
Middle Name:
Last Name: Hamilton
Suffix:

RePEc Short-ID: pha60

Email:
Homepage: http://www.econ.ucsd.edu/~jhamilto/
Postal Address: Department of Economics, 0508 UCSD La Jolla, CA 92093-0508
Phone: 858-534-3383

Affiliation

(in no particular order)

Lists

This author is among the top 5% authors according to these criteria:
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  20. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
  21. h, where author has written h papers that have each been cited at least h times.
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  27. Number of Journal Pages, Weighted by Number of Authors
  28. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
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  30. Number of Abstract Views in RePEc Services over the past 12 months
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  34. Wu-Index

Works

| Working papers | Articles | Chapters | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. James D. Hamilton, 2009. "Causes and Consequences of the Oil Shock of 2007-08," NBER Working Papers 15002, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  2. James D. Hamilton, 2008. "Macroeconomics and ARCH," NBER Working Papers 14151, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  3. James D. Hamilton, 2008. "Daily Monetary Policy Shocks and the Delayed Response of New Home Sales," NBER Working Papers 14223, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  4. James D. Hamilton, 2008. "Understanding Crude Oil Prices," NBER Working Papers 14492, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  5. James D. Hamilton, 2007. "Assessing Monetary Policy Effects Using Daily Fed Funds Futures Contracts," NBER Working Papers 13569, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  6. James D. Hamilton, 2007. "Daily Changes in Fed Funds Futures Prices," NBER Working Papers 13112, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Published as:

  7. James D. Hamilton, 2005. "What's Real About the Business Cycle?," NBER Working Papers 11161, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Published as:

  8. Marcelle Chauvet & James D. Hamilton, 2005. "Dating Business Cycle Turning Points," NBER Working Papers 11422, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  9. James D. Hamilton & Daniel F. Waggoner & Tao Zha, 2004. "Normalization in econometrics," Working Paper 2004-13, Federal Reserve Bank of Atlanta. [Downloadable!]
    Published as:

  10. Michael C. Davis & James D. Hamilton, 2003. "Why Are Prices Sticky? The Dynamics of Wholesale Gasoline Prices," NBER Working Papers 9741, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Published as:

  11. Ana Maria Herrera & James Hamilton, 2001. "Oil Shocks and Aggregate Macroeconomic Behavior: The Role of Monetary Policy," University of California at San Diego, Economics Working Paper Series 2001-10, Department of Economics, UC San Diego. [Downloadable!]

  12. James D. Hamilton, 2000. "What is an Oil Shock?," NBER Working Papers 7755, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Published as:

  13. James D. Hamilton & Dong Heon Kim, 2000. "A Re-examination of the Predictability of Economic Activity Using the Yield Spread," NBER Working Papers 7954, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
    Published as:

  14. James D. Hamilton, 1999. "A Parametric Approach to Flexible Nonlinear Inference," University of California at San Diego, Economics Working Paper Series 99-03, Department of Economics, UC San Diego. [Downloadable!]
    Other versions:
    Published as:

  15. James D. Hamilton & Josefina Monteagudo, 1997. "The Augmented Solow Model and the Productivity Slowdown," University of California at San Diego, Economics Working Paper Series 97-28, Department of Economics, UC San Diego. [Downloadable!]
    Published as:

  16. James D. Hamilton, 1997. "The Supply and Demand for Federal Reserve Deposits," University of California at San Diego, Economics Working Paper Series 97-27, Department of Economics, UC San Diego. [Downloadable!]
    Published as:

  17. James D. Hamilton, 1996. "Measuring the Liquidity Effect," University of California at San Diego, Economics Working Paper Series 96-19, Department of Economics, UC San Diego.
    Other versions:
    Published as:

  18. James D. Hamilton & Gang Lin, 1996. "Stock Market Volatility and The Business Cycle," University of California at San Diego, Economics Working Paper Series 96-18, Department of Economics, UC San Diego. [Downloadable!]
    Published as:

  19. James D. Hamilton & Gabriel Perez-Quiros, 1995. "What do the Leading Indicators Lead?," University of California at San Diego, Economics Working Paper Series 95-22, Department of Economics, UC San Diego.
    Published as:

  20. James D. Hamilton, 1995. "This is what happened to the Oil Price-Macroeconomy Relationship," University of California at San Diego, Economics Working Paper Series 95-36, Department of Economics, UC San Diego.
    Published as:

  21. James D. Hamilton, 1995. "Specification Testing in Markov-Switching Time Series Models," University of California at San Diego, Economics Working Paper Series 95-34, Department of Economics, UC San Diego.
    Published as:

  22. James D. Hamilton, 1995. "The Daily Market for Federal Funds," University of California at San Diego, Economics Working Paper Series 95-09, Department of Economics, UC San Diego.
    Published as:

  23. James D. Hamilton, 1994. "Rational Expectations and the Economic Consequences of Changes in Regime," University of California at San Diego, Economics Working Paper Series 94-24, Department of Economics, UC San Diego.

  24. James D. Hamilton, 1993. "State-Space Models," University of California at San Diego, Economics Working Paper Series 93-29, Department of Economics, UC San Diego.
    Published as:
    • Hamilton, James D., 1986. "State-space models," Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 50, pages 3039-3080 Elsevier. [Downloadable!] (restricted)

  25. James D. Hamilton & Raul Susmel, 1993. "Autoregressive Conditional Heteroskedasticity and Changes in Regime," University of California at San Diego, Economics Working Paper Series 93-28, Department of Economics, UC San Diego.
    Published as:

  26. Charles Engel & James D. Hamilton, 1989. "Long Swings in the Exchange Rate: Are they in the Data and Do Markets Know It?," NBER Working Papers 3165, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  27. James D. Hamilton & Marjorie A. Flavin, 1985. "On the Limitations of Government Borrowing: A Framework for Empirical Testing," NBER Working Papers 1632, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Published as:

  28. RePEc:fip:fedlwp:2009-13 is not listed on IDEAS

  29. James D. Hamilton & Oscar Jorda, . "A model for the federal funds rate target," Department of Economics 99-07, California Davis - Department of Economics. [Downloadable!]
    Other versions:
    Published as:

Articles

  1. 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. [Downloadable!] (restricted)
    Other versions:

  2. Hamilton, James D., 2008. "Inside The Economist'S Mind," Macroeconomic Dynamics, Cambridge University Press, vol. 12(01), pages 112-116, February. [Downloadable!]

  3. James D. Hamilton, 2008. "Assessing monetary policy effects using daily federal funds futures contracts," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 377-394. [Downloadable!]

  4. Hamilton, James D., 2008. "Daily monetary policy shocks and new home sales," Journal of Monetary Economics, Elsevier, vol. 55(7), pages 1171-1190, October. [Downloadable!] (restricted)

  5. James D. Hamilton, 2007. "Housing and the monetary transmission mechanism: commentary," Proceedings, Federal Reserve Bank of Kansas City, pages 415-422. [Downloadable!]

  6. James D. Hamilton & Daniel F. Waggoner & Tao Zha, 2007. "Normalization in Econometrics," Econometric Reviews, Taylor and Francis Journals, vol. 26(2-4), pages 221-252. [Downloadable!] (restricted)
    Other versions:

  7. James D. Hamilton, 2005. "What's real about the business cycle?," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 435-452. [Downloadable!]
    Other versions:

  8. Davis, Michael C & Hamilton, James D, 2004. "Why Are Prices Sticky? The Dynamics of Wholesale Gasoline Prices," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 36(1), pages 17-37, February.
    Other versions:

  9. James Hamilton, 2004. "Regime shifts in a dynamic term structure model of U.S. Treasury bond yields, comments," Proceedings, Federal Reserve Bank of San Francisco, issue Mar. [Downloadable!]

  10. Hamilton, James D & Herrera, Ana Maria, 2004. "Oil Shocks and Aggregate Macroeconomic Behavior: The Role of Monetary Policy: Comment," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 36(2), pages 265-86, April.

  11. Hamilton, James D., 2003. "Comment on "A comparison of two business cycle dating methods"," Journal of Economic Dynamics and Control, Elsevier, vol. 27(9), pages 1691-1693, July. [Downloadable!] (restricted)

  12. Hamilton, James D., 2003. "What is an oil shock?," Journal of Econometrics, Elsevier, vol. 113(2), pages 363-398, April. [Downloadable!] (restricted)
    Other versions:

  13. James D. Hamilton & Oscar Jorda, 2002. "A Model of the Federal Funds Rate Target," Journal of Political Economy, University of Chicago Press, vol. 110(5), pages 1135-1167, October. [Downloadable!] (restricted)
    Other versions:

  14. Hamilton, James D., 2002. "On the interpretation of cointegration in the linear-quadratic inventory model," Journal of Economic Dynamics and Control, Elsevier, vol. 26(12), pages 2037-2049, October. [Downloadable!] (restricted)

  15. Hamilton, James D & Kim, Dong Heon, 2002. "A Reexamination of the Predictability of Economic Activity Using the Yield Spread," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 34(2), pages 340-60, May.
    Other versions:

  16. James D. Hamilton & Baldev Raj, 2002. "New directions in business cycle research and financial analysis," Empirical Economics, Springer, vol. 27(2), pages 149-162. [Downloadable!] (restricted)

  17. Hamilton, James D, 2001. "A Parametric Approach to Flexible Nonlinear Inference," Econometrica, Econometric Society, vol. 69(3), pages 537-73, May.
    Other versions:

  18. James Hamilton, 2000. "Book review," Econometric Reviews, Taylor and Francis Journals, vol. 19(1), pages 135-137. [Downloadable!] (restricted)

  19. Hamilton, James D. & Monteagudo, Josefina, 1998. "The augmented Solow model and the productivity slowdown," Journal of Monetary Economics, Elsevier, vol. 42(3), pages 495-509, October. [Downloadable!] (restricted)
    Other versions:

  20. Hamilton, James D., 1998. "The supply and demand for Federal Reserve deposits," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 49(1), pages 1-44, December. [Downloadable!] (restricted)
    Other versions:

  21. Hamilton, James D, 1997. "Comment on "U.S. Oil Consumption, Oil Prices, and the Macroeconomy."," Empirical Economics, Springer, vol. 22(1), pages 153-56.

  22. Hamilton, James D, 1997. "Measuring the Liquidity Effect," American Economic Review, American Economic Association, vol. 87(1), pages 80-97, March. [Downloadable!] (restricted)
    Other versions:

  23. Hamilton, James D., 1996. "This is what happened to the oil price-macroeconomy relationship," Journal of Monetary Economics, Elsevier, vol. 38(2), pages 215-220, October. [Downloadable!] (restricted)
    Other versions:

  24. Hamilton, James D & Perez-Quiros, Gabriel, 1996. "What Do the Leading Indicators Lead?," Journal of Business, University of Chicago Press, vol. 69(1), pages 27-49, January. [Downloadable!] (restricted)
    Other versions:

  25. Hamilton, James D & Gang, Lin, 1996. "Stock Market Volatility and the Business Cycle," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(5), pages 573-93, Sept.-Oct. [Downloadable!] (restricted)
    Other versions:

  26. Hamilton, James D., 1996. "Specification testing in Markov-switching time-series models," Journal of Econometrics, Elsevier, vol. 70(1), pages 127-157, January. [Downloadable!] (restricted)
    Other versions:

  27. Hamilton, James D, 1996. "The Daily Market for Federal Funds," Journal of Political Economy, University of Chicago Press, vol. 104(1), pages 26-56, February. [Downloadable!] (restricted)
    Other versions:

  28. Hamilton, James D. & Susmel, Raul, 1994. "Autoregressive conditional heteroskedasticity and changes in regime," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 307-333. [Downloadable!] (restricted)
    Other versions:

  29. Hamilton, James D, 1992. "Was the Deflation during the Great Depression Anticipated? Evidence from the Commodity Futures Market," American Economic Review, American Economic Association, vol. 82(1), pages 157-78, March. [Downloadable!] (restricted)

  30. Hamilton, James D, 1991. "The Sustainability of Budget Deficits with Lump-Sum and with Income-Based Taxation: Comment," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 23(3), pages 608-12, August. [Downloadable!] (restricted)

  31. Hamilton, James D, 1991. "The Quantitative Significance of the Lucas Critique: Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 9(4), pages 388-89, October.

  32. Hamilton, James D, 1991. "A Quasi-Bayesian Approach to Estimating Parameters for Mixtures of Normal Distributions," Journal of Business & Economic Statistics, American Statistical Association, vol. 9(1), pages 27-39, January.

  33. Hamilton, James D., 1990. "Analysis of time series subject to changes in regime," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 39-70. [Downloadable!] (restricted)

  34. Engel, Charles & Hamilton, James D, 1990. "Long Swings in the Dollar: Are They in the Data and Do Markets Know It?," American Economic Review, American Economic Association, vol. 80(4), pages 689-713, September. [Downloadable!] (restricted)

  35. Hamilton, James D., 1989. "The long-run behavior of the velocity of circulation : A review essay," Journal of Monetary Economics, Elsevier, vol. 23(2), pages 335-344, March. [Downloadable!] (restricted)

  36. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March. [Downloadable!] (restricted)

  37. Hamilton, James D., 1988. "Rational-expectations econometric analysis of changes in regime : An investigation of the term structure of interest rates," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 385-423. [Downloadable!] (restricted)

  38. Hamilton, James D., 1988. "Are the macroeconomic effects of oil-price changes symmetric? : A comment," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 28(1), pages 369-378, January. [Downloadable!] (restricted)

  39. Hamilton, James D, 1988. "A Neoclassical Model of Unemployment and the Business Cycle," Journal of Political Economy, University of Chicago Press, vol. 96(3), pages 593-617, June. [Downloadable!] (restricted)

  40. James D. Hamilton, 1988. "Role Of The International Gold Standard In Propagating The Great Depression," Contemporary Economic Policy, Western Economic Association International, vol. 6(2), pages 67-89, 04. [Downloadable!] (restricted)

  41. Hamilton, James D., 1987. "Monetary factors in the great depression," Journal of Monetary Economics, Elsevier, vol. 19(2), pages 145-169, March. [Downloadable!] (restricted)

  42. Burmeister, Edwin & Wall, Kent D & Hamilton, James D, 1986. "Estimation of Unobserved Expected Monthly Inflation Using Kalman Filtering," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(2), pages 147-60, April.

  43. Hamilton, James D & Flavin, Marjorie A, 1986. "On the Limitations of Government Borrowing: A Framework for EmpiricalTesting," American Economic Review, American Economic Association, vol. 76(4), pages 808-19, September. [Downloadable!] (restricted)
    Other versions:

  44. Hamilton, James D., 1986. "A standard error for the estimated state vector of a state-space model," Journal of Econometrics, Elsevier, vol. 33(3), pages 387-397, December. [Downloadable!] (restricted)

  45. Hamilton, James D, 1986. "On Testing for Self-fulfilling Speculative Price Bubbles," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 27(3), pages 545-52, October. [Downloadable!] (restricted)

  46. Hamilton, James D, 1985. "Uncovering Financial Market Expectations of Inflation," Journal of Political Economy, University of Chicago Press, vol. 93(6), pages 1224-41, December. [Downloadable!] (restricted)

  47. Hamilton, James D. & Whiteman, Charles H., 1985. "The observable implications of self-fulfilling expectations," Journal of Monetary Economics, Elsevier, vol. 16(3), pages 353-373, November. [Downloadable!] (restricted)

  48. Hamilton, James D, 1983. "Oil and the Macroeconomy since World War II," Journal of Political Economy, University of Chicago Press, vol. 91(2), pages 228-48, April. [Downloadable!] (restricted)

  49. RePEc:bep:sndecm:9:2005:3:1286-1286 is not listed on IDEAS

Chapters

  1. Hamilton, James D., 1986. "State-space models," Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 50, pages 3039-3080 Elsevier. [Downloadable!] (restricted)
    Other versions:

NEP Fields

12 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BEC: Business Economics (3) 2005-06-27 2009-04-18 2009-05-30 Author is listed
  2. NEP-CBA: Central Banking (5) 2007-05-26 2008-07-05 2008-08-21 2009-04-18 2009-05-30 Author is listed
  3. NEP-CMP: Computational Economics (1) 2005-06-27
  4. NEP-DGE: Dynamic General Equilibrium (1) 2005-03-06
  5. NEP-ECM: Econometrics (3) 2004-08-09 2008-07-05 2009-04-18 Author is listed
  6. NEP-ENE: Energy Economics (3) 2000-07-03 2008-11-18 2009-05-30 Author is listed
  7. NEP-ETS: Econometric Time Series (4) 2000-07-03 2004-08-09 2005-06-27 2008-07-05 Author is listed
  8. NEP-HIS: Business, Economic & Financial History (1) 2000-07-03
  9. NEP-HPE: History & Philosophy of Economics (1) 2004-08-09
  10. NEP-MAC: Macroeconomics (8) 2005-03-06 2005-06-27 2007-05-26 2007-11-10 2008-07-05 2008-08-21 2009-04-18 2009-05-30 Author is listed
  11. NEP-MON: Monetary Economics (2) 2007-11-10 2008-08-21
  12. NEP-URE: Urban & Real Estate Economics (1) 2008-08-21
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This page was last updated on 2009-11-10.

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