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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

Department of Economics
University of California-San Diego (UCSD)
Location: La Jolla, California (United States)
Homepage: http://economics.ucsd.edu/
Email:
Phone: (858) 534-3383
Fax: (858) 534-7040
Postal: 9500 Gilman Drive, La Jolla, CA 92093-0508
Handle: RePEc:edi:deucsus (more details at EDIRC)

Lists

This author is featured on the following reading lists, publication compilations or Wikipedia entries:
  1. James D. Hamilton in Wikipedia (English)
  2. Benutzer:Ephraim33/Nobelpreisträgerprojekt in Wikipedia (German)

Works

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Working papers

  1. James D. Hamilton, 2014. "The Changing Face of World Oil Markets," NBER Working Papers 20355, National Bureau of Economic Research, Inc.
  2. James D. Hamilton & Jing Cynthia Wu, 2014. "Effects of Index-Fund Investing on Commodity Futures Prices," NBER Working Papers 19892, National Bureau of Economic Research, Inc.
  3. James D. Hamilton, 2013. "Off-Balance-Sheet Federal Liabilities," NBER Working Papers 19253, National Bureau of Economic Research, Inc.
  4. David Greenlaw & James D. Hamilton & Peter Hooper & Frederic S. Mishkin, 2013. "Crunch Time: Fiscal Crises and the Role of Monetary Policy," NBER Working Papers 19297, National Bureau of Economic Research, Inc.
  5. James D. Hamilton & Jing Cynthia Wu, 2013. "Risk Premia in Crude Oil Futures Prices," NBER Working Papers 19056, National Bureau of Economic Research, Inc.
  6. James D. Hamilton & Jing Cynthia Wu, 2012. "Identification and Estimation of Gaussian Affine Term Structure Models," NBER Working Papers 17772, National Bureau of Economic Research, Inc.
  7. James D. Hamilton, 2012. "Oil Prices, Exhaustible Resources, and Economic Growth," NBER Working Papers 17759, National Bureau of Economic Research, Inc.
  8. James D. Hamilton & Jing Cynthia Wu, 2011. "The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment," NBER Working Papers 16956, National Bureau of Economic Research, Inc.
  9. James D. Hamilton, 2011. "Historical Oil Shocks," NBER Working Papers 16790, National Bureau of Economic Research, Inc.
  10. James D. Hamilton & Jing Cynthia Wu, 2011. "Testable Implications of Affine Term Structure Models," NBER Working Papers 16931, National Bureau of Economic Research, Inc.
  11. James D. Hamilton, 2010. "Nonlinearities and the Macroeconomic Effects of Oil Prices," NBER Working Papers 16186, National Bureau of Economic Research, Inc.
  12. James D. Hamilton & Seth Pruitt & Scott Borger, 2010. "Estimating the Market-Perceived Monetary Policy Rule," NBER Working Papers 16412, National Bureau of Economic Research, Inc.
  13. James D. Hamilton & Tatsuyoshi Okimoto, 2010. "Sources of Variation in Holding Returns for Fed Funds Futures Contracts," NBER Working Papers 15736, National Bureau of Economic Research, Inc.
  14. James D. Hamilton, 2010. "Calling Recessions in Real Time," NBER Working Papers 16162, National Bureau of Economic Research, Inc.
  15. James D. Hamilton & Michael T. Owyang, 2009. "The propagation of regional recessions," Working Papers 2009-013, Federal Reserve Bank of St. Louis.
  16. James D. Hamilton & Seth Pruitt & Scott C. Borger, 2009. "The market-perceived monetary policy rule," International Finance Discussion Papers 982, Board of Governors of the Federal Reserve System (U.S.).
  17. James D. Hamilton, 2009. "Causes and Consequences of the Oil Shock of 2007-08," NBER Working Papers 15002, National Bureau of Economic Research, Inc.
  18. James D. Hamilton, 2008. "Macroeconomics and ARCH," NBER Working Papers 14151, National Bureau of Economic Research, Inc.
  19. 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.
  20. James D. Hamilton, 2008. "Understanding Crude Oil Prices," NBER Working Papers 14492, National Bureau of Economic Research, Inc.
  21. James D. Hamilton, 2007. "Assessing Monetary Policy Effects Using Daily Fed Funds Futures Contracts," NBER Working Papers 13569, National Bureau of Economic Research, Inc.
  22. James D. Hamilton, 2007. "Daily Changes in Fed Funds Futures Prices," NBER Working Papers 13112, National Bureau of Economic Research, Inc.
  23. James D. Hamilton, 2005. "What's Real About the Business Cycle?," NBER Working Papers 11161, National Bureau of Economic Research, Inc.
  24. Marcelle Chauvet & James D. Hamilton, 2005. "Dating Business Cycle Turning Points," NBER Working Papers 11422, National Bureau of Economic Research, Inc.
  25. James D. Hamilton & Daniel F. Waggoner & Tao Zha, 2004. "Normalization in econometrics," Working Paper 2004-13, Federal Reserve Bank of Atlanta.
  26. 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.
  27. Herrera, Ana Maria & Hamilton, James D., 2001. "Oil Shocks and Aggregate Macroeconomic Behavior: The Role of Monetary Policy," University of California at San Diego, Economics Working Paper Series qt4qp0p0v5, Department of Economics, UC San Diego.
  28. 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.
  29. James D. Hamilton, 2000. "What is an Oil Shock?," NBER Working Papers 7755, National Bureau of Economic Research, Inc.
  30. Hamilton, James D., 1999. "A Parametric Approach to Flexible Nonlinear Inference," University of California at San Diego, Economics Working Paper Series qt68s8157x, Department of Economics, UC San Diego.
  31. James D. Hamilton, 1996. "Measuring the liquidity effect," Working Papers in Applied Economic Theory 96-06, Federal Reserve Bank of San Francisco.
  32. 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.
  33. 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.
  34. James D. Hamilton & Oscar Jorda, . "A model for the federal funds rate target," Department of Economics 99-07, California Davis - Department of Economics.

Articles

  1. James D. Hamilton, 2012. "Import Prices and Inflation," International Journal of Central Banking, International Journal of Central Banking, vol. 8(1), pages 271-279, March.
  2. 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.
  3. Hamilton, James D., 2011. "Nonlinearities And The Macroeconomic Effects Of Oil Prices," Macroeconomic Dynamics, Cambridge University Press, vol. 15(S3), pages 364-378, November.
  4. Hamilton, James D., 2011. "Calling recessions in real time," International Journal of Forecasting, Elsevier, vol. 27(4), pages 1006-1026, October.
  5. 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.
  6. Hamilton, James D., 2011. "Response to comments," International Journal of Forecasting, Elsevier, vol. 27(4), pages 1039-1040, October.
  7. 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.
  8. James D. Hamilton, 2009. "Understanding Crude Oil Prices," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2), pages 179-206.
  9. 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.
  10. Hamilton, James D., 2008. "Daily monetary policy shocks and new home sales," Journal of Monetary Economics, Elsevier, vol. 55(7), pages 1171-1190, October.
  11. Hamilton, James D., 2008. "Inside The Economist'S Mind," Macroeconomic Dynamics, Cambridge University Press, vol. 12(01), pages 112-116, February.
  12. 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.
  13. James D. Hamilton, 2007. "Housing and the monetary transmission mechanism: commentary," Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 415-422.
  14. James D. Hamilton & Daniel F. Waggoner & Tao Zha, 2007. "Normalization in Econometrics," Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 221-252.
  15. James D. Hamilton, 2005. "What's real about the business cycle?," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 435-452.
  16. Hamilton James D., 2005. "Comment on "Investigating Nonlinearity"," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 9(3), pages 1-10, September.
  17. 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.
  18. 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.
  19. 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.
  20. 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.
  21. Hamilton, James D., 2003. "What is an oil shock?," Journal of Econometrics, Elsevier, vol. 113(2), pages 363-398, April.
  22. 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.
  23. 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.
  24. James D. Hamilton & Baldev Raj, 2002. "New directions in business cycle research and financial analysis," Empirical Economics, Springer, vol. 27(2), pages 149-162.
  25. 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.
  26. Hamilton, James D, 2001. "A Parametric Approach to Flexible Nonlinear Inference," Econometrica, Econometric Society, vol. 69(3), pages 537-73, May.
  27. James Hamilton, 2000. "Book review," Econometric Reviews, Taylor & Francis Journals, vol. 19(1), pages 135-137.
  28. 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.
  29. 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.
  30. Hamilton, James D, 1997. "Comment on "U.S. Oil Consumption, Oil Prices, and the Macroeconomy."," Empirical Economics, Springer, vol. 22(1), pages 153-56.
  31. Hamilton, James D, 1997. "Measuring the Liquidity Effect," American Economic Review, American Economic Association, vol. 87(1), pages 80-97, March.
  32. 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.
  33. Hamilton, James D., 1996. "Specification testing in Markov-switching time-series models," Journal of Econometrics, Elsevier, vol. 70(1), pages 127-157, January.
  34. Hamilton, James D & Perez-Quiros, Gabriel, 1996. "What Do the Leading Indicators Lead?," The Journal of Business, University of Chicago Press, vol. 69(1), pages 27-49, January.
  35. 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.
  36. 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.
  37. Hamilton, James D. & Susmel, Raul, 1994. "Autoregressive conditional heteroskedasticity and changes in regime," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 307-333.
  38. 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.
  39. 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.
  40. 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.
  41. 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.
  42. Hamilton, James D., 1990. "Analysis of time series subject to changes in regime," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 39-70.
  43. 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.
  44. 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.
  45. 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.
  46. 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.
  47. 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.
  48. 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.
  49. 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.
  50. Hamilton, James D., 1987. "Monetary factors in the great depression," Journal of Monetary Economics, Elsevier, vol. 19(2), pages 145-169, March.
  51. 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.
  52. 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.
  53. 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.
  54. 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.
  55. 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.
  56. 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.
  57. James D. Hamilton, 1985. "Historical Causes of Postwar Oil Shocks and Recessions," The Energy Journal, International Association for Energy Economics, vol. 0(Number 1), pages 97-116.
  58. 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.

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.

NEP Fields

27 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BAN: Banking (1) 2011-04-23
  2. NEP-BEC: Business Economics (5) 2005-06-27 2009-05-30 2009-08-02 2010-07-24 2011-01-16. Author is listed
  3. NEP-CBA: Central Banking (14) 2007-05-26 2008-07-05 2008-08-21 2009-05-30 2009-08-02 2009-11-21 2010-02-20 2010-07-10 2010-07-24 2011-01-16 2011-04-16 2011-04-23 2012-02-01 2013-09-28. Author is listed
  4. NEP-CMP: Computational Economics (1) 2005-06-27
  5. NEP-DGE: Dynamic General Equilibrium (1) 2005-03-06
  6. NEP-ECM: Econometrics (5) 2004-08-09 2008-07-05 2009-08-02 2010-07-10 2012-02-01. Author is listed
  7. NEP-ENE: Energy Economics (8) 2000-07-03 2008-11-18 2009-05-30 2010-07-24 2011-02-26 2012-02-01 2013-05-24 2014-08-09. Author is listed
  8. NEP-ETS: Econometric Time Series (5) 2000-07-03 2004-08-09 2005-06-27 2008-07-05 2010-07-10. Author is listed
  9. NEP-GEO: Economic Geography (1) 2011-01-16
  10. NEP-HIS: Business, Economic & Financial History (4) 2000-07-03 2011-02-26 2012-02-01 2014-08-09
  11. NEP-HPE: History & Philosophy of Economics (1) 2004-08-09
  12. NEP-MAC: Macroeconomics (17) 2005-03-06 2005-06-27 2007-05-26 2007-11-10 2008-07-05 2008-08-21 2009-05-30 2009-08-02 2009-11-21 2010-02-20 2010-07-10 2010-07-24 2011-01-16 2011-02-26 2011-04-16 2011-04-23 2013-09-28. Author is listed
  13. NEP-MON: Monetary Economics (5) 2007-11-10 2008-08-21 2009-11-21 2011-04-23 2013-09-28. Author is listed
  14. NEP-OPM: Open Economy Macroeconomics (1) 2010-07-24
  15. NEP-ORE: Operations Research (1) 2010-07-24
  16. NEP-SOG: Sociology of Economics (1) 2014-02-15
  17. NEP-UPT: Utility Models & Prospect Theory (1) 2013-05-24
  18. NEP-URE: Urban & Real Estate Economics (1) 2008-08-21

Statistics

This author is among the top 5% authors according to these criteria:
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  7. Number of Distinct Works, Weighted by Number of Authors and Simple Impact Factors
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  12. Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
  13. Number of Citations, Weighted by Recursive Impact Factor
  14. Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
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  19. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
  20. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
  21. h-index
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  24. Number of Journal Pages
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  26. Number of Journal Pages, Weighted by Recursive Impact Factor
  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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