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Effects of the Hodrick-Prescott filter on trend and difference stationary time series Implications for business cycle research

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T Cogley… - Journal of Economic Dynamics and control, 1995 - Elsevier
When applied to persistent time series, the Hodrick-Prescott filter can generate business
cycle dynamics even if none are present in the original data. Hence the presence of
business cycles in HP filtered data does not imply that there are business cycles in the ...
Cited by 648 - Related articles - All 9 versions

Output dynamics in real-business-cycle models

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T Cogley… - The American Economic Review, 1995 - JSTOR
The time-series literature reports two stylized facts about output dynamics in the United
States: GNP growth is positively autocorrelated, and GNP appears to have an important
trend-reverting component. This paper investigates whether current real-business-cycle ( ...
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Drifts and volatilities: monetary policies and outcomes in the post WWII US

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T Cogley… - Review of Economic dynamics, 2005 - Elsevier
For a VAR with drifting coefficients and stochastic volatilities, we present posterior densities
for several objects that are pertinent for designing and evaluating monetary policy. These
include measures of inflation persistence, the natural rate of unemployment, a core rate of ...
Cited by 556 - Related articles - Library Search - All 20 versions

[PDF] Evolving post-world war II US inflation dynamics

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T Cogley… - 2002 - nber.org
This paper uses a nonlinear stochastic model to describe inflationunemployment dynamics
in the United States after World War II. The model is a vector autoregression with coefficients
that are random walks with reflecting barriers that keep the VAR stable. The innovations in ...
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Trend inflation, indexation, and inflation persistence in the New Keynesian Phillips curve

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T Cogley… - The American Economic Review, 2008 - ingentaconnect.com
Abstract: Purely forward-looking versions of the New Keynesian Phillips curve (NKPC)
generate too little inflation persistence. Some authors add ad hoc backward-looking terms to
address this shortcoming. We hypothesize that inflation persistence results mainly from ...
Cited by 157 - Related articles - All 25 versions

A simple adaptive measure of core inflation

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T Cogley - Journal of money, credit and banking, 2002 - JSTOR
This paper proposes a new measure of core inflation and compares it with several existing
measures. The new measure is adaptive and is designed to track sudden and persistent
movements in inflation, such as those arising from changes in monetary policy regimes. ...
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The conquest of US inflation: learning and robustness to model uncertainty

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T Cogley… - Review of Economic dynamics, 2005 - Elsevier
Previous studies have interpreted the rise and fall of US inflation after World War II in terms
of the Fed's changing views about the natural rate hypothesis but have left an important
question unanswered. Why was the Fed so slow to implement the low-inflation policy ...
Cited by 140 - Related articles - Library Search - All 44 versions

International evidence on the size of the random walk in output

T Cogley - Journal of Political Economy, 1990 - JSTOR
This paper contributes three extensions of Cochrane's work on measuring the relative
stability of long-term growth. It estimates variance ratios for nine OECD countries over the
period 1871-1985, presents an improved approximation to the distribution of the variance ...
Cited by 130 - Related articles - Get it from MIT Libraries - All 10 versions

Inflation-gap persistence in the US

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T Cogley, G Primiceri… - 2012 - papers.ssrn.com
Abstract: We use Bayesian methods to estimate two models of post WWII US inflation rates
with drifting stochastic volatility and drifting coefficients. One model is univariate, the other a
multivariate autoregression. We define the inflation gap as the deviation of inflation from a ...
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Idiosyncratic risk and the equity premium: Evidence from the consumer expenditure survey

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T Cogley - Journal of Monetary Economics, 2002 - Elsevier
This paper investigates whether uninsured idiosyncratic risk accounts for the equity
premium. Following Mankiw (J. Financial Econ. 17 (1986) 211), the paper develops an
equilibrium factor model in which risk premia depend on the covariance between an ...
Cited by 95 - Related articles - Library Search - All 14 versions

The market price of risk and the equity premium: A legacy of the Great Depression?

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T Cogley… - Journal of Monetary Economics, 2008 - Elsevier
By positing learning and a pessimistic initial prior, we build a model that disconnects a
representative consumer's subjective attitudes toward risk from the high price of risk that a
rational-expectations econometrician would deduce from financial market data. We follow ...
Cited by 82 - Related articles - All 29 versions

[PDF] Should the Fed take deliberate steps to deflate asset price bubbles?

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T Cogley - ECONOMIC REVIEW-FEDERAL RESERVE BANK OF …, 1999 - sf.frb.org
2. Roughly speaking, a concern about bubbles and asset price stabilization can be
motivated by appealing to models with a credit propagation channel, such as in Bernanke
and Gertler (1989) or Kiyotaki and Moore (1997), as well as some mechanism that gives ...
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Bayesian fan charts for UK inflation: Forecasting and sources of uncertainty in an evolving monetary system

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T Cogley, S Morozov… - Journal of Economic Dynamics and …, 2005 - Elsevier
We estimate a Bayesian vector autoregression for the UK with drifting coefficients and
stochastic volatilities. We use it to characterize posterior densities for several objects that are
useful for designing and evaluating monetary policy, including local approximations to the ...
Cited by 66 - Related articles - All 27 versions

Testing the implications of long‐run neutrality for monetary business cycle models

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JM Nason… - Journal of Applied Econometrics, 1994 - Wiley Online Library
Abstract This paper compares sample fluctuations of the US business cycle with those
predicted by a class of equilibrium monetary business cycle models. The predictions of the
models are generated using the longrun neutrality restrictions implicit in the models. By ...
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Benefits from US monetary policy experimentation in the days of Samuelson and Solow and Lucas

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T Cogley, R Colacito… - Journal of Money, Credit …, 2007 - Wiley Online Library
A policy maker knows two models. One implies an exploitable inflation-unemployment trade-
off, the other does not. The policy maker's prior probability over the two models is part of his
state vector. Bayes' law converts the prior probability into a posterior probability and gives ...
Cited by 47 - Related articles - BL Direct - All 38 versions

Impulse dynamics and propagation mechanisms in a real business cycle model

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T Cogley… - Economics Letters, 1993 - Elsevier
Abstract In a typical real business cycle model, we find that output dynamics are determined
primarily by impulse dynamics and that endogenous propagation mechanisms are weak.
Consequently, the model must rely on external sources of dynamics in order to replicate ...
Cited by 45 - Related articles - All 5 versions

ANTICIPATED UTILITY AND RATIONAL EXPECTATIONS AS APPROXIMATIONS OF BAYESIAN DECISION MAKING*

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T Cogley… - International Economic Review, 2008 - Wiley Online Library
Cogley, T. and Sargent, TJ (2008), ANTICIPATED UTILITY AND RATIONAL
EXPECTATIONS AS APPROXIMATIONS OF BAYESIAN DECISION MAKING. International
Economic Review, 49: 185–221. doi: 10.1111/j. 1468-2354.2008. 00477. x
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Trend inflation and inflation persistence in the new Keynesian Phillips curve

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T Cogley… - Federal Reserve Bank of New York Staff …, 2006 - papers.ssrn.com
Abstract: The New Keynesian Phillips curve (NKPC) asserts that inflation depends on
expectations of real marginal costs, but empirical research has shown that purely forward-
looking versions of the model generate too little inflation persistence. In this paper, we ...
Cited by 39 - Related articles - All 25 versions

Changing beliefs and the term structure of interest rates: Cross-equation restrictions with drifting parameters

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T Cogley - Review of Economic Dynamics, 2005 - Elsevier
This paper shows how to estimate a Bayesian VAR with drifting parameters and nonlinear
cross-equation restrictions. The restrictions promote parsimony by reducing the dimension of
the drifting component in conditional mean parameters. As an application, the paper ...
Cited by 33 - Related articles - All 8 versions

Evaluating non-structural measures of the business cycle

T Cogley - Economic Review, 1997 - ideas.repec.org
This paper evaluates a number of non-structural measures of the business cycle. It adopts a
structural definition of the cycle, interprets non-structural measures as noisy approximations,
and seeks a proxy that is reliable across a variety of plausible trend-cycle structures. The ...
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Robustness and us monetary policy experimentation

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T Cogley, R Colacito, LP Hansen… - Journal of Money, …, 2008 - Wiley Online Library
... Robustness and US Monetary Policy Experimentation. TIMOTHY COGLEY 1 ,; RICCARDO
COLACITO 2 ,; LARS PETER HANSEN 3 ,; THOMAS J. SARGENT 4. ... Author Information. 1 Timothy
Cogley is from University of California, Davis (E-mail: twcogley@ucdavis.edu). 2 ...
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[CITATION] Alternative definitions of the business cycle and their implications for business cycle models: A reply to Torben Mark Pederson

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T Cogley - Journal of Economic Dynamics and Control, 2001 - ideas.repec.org
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further problems read the IDEAS help page. Note that these files are not on the IDEAS site ...
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How fast can the new economy grow? A Bayesian analysis of the evolution of trend growth

T Cogley - Journal of macroeconomics, 2005 - Elsevier
This paper develops a Bayesian filtering strategy for estimating trend growth in the new
economy. The filtering strategy involves three elements. Consumption data are used to help
disentangle changes in the trend from ordinary cyclical movements. Drifting parameters ...
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Estimating and testing rational expectations models when the trend specification is uncertain

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T Cogley - Journal of Economic Dynamics and Control, 2001 - Elsevier
This paper explores various strategies for estimating and testing rational expectations
models when the trend specification is uncertain. One approach seeks to make estimators
and tests robust to trend misspecification by reducing the influence of low frequency ...
Cited by 18 - Related articles - All 6 versions

[CITATION] Do Real Business Cycles Models Pass the Nelson-Plosser Test?

T Cogley… - UBC Departmental Archives, 1992 - ideas.repec.org
No abstract is available for this item. ... To our knowledge, this item is not available for
download. To find whether it is available, there are three options: 1. Check below under "Related
research" whether another version of this item is available online. 2. Check on the ...
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How fast can the New Economy grow? A Bayesian analysis of the evolution of trend growth

T Cogley - 2001 - papers.ssrn.com
Abstract: This paper uses consumption data to estimate the trend growth rate for the" new
economy." The analysis starts with the assumption that a trend break in GDP should be
accompanied by a trend break in consumption. But because consumption is forward ...
Cited by 11 - Related articles - All 7 versions

A frequency decomposition of approximation errors in stochastic discount factor models

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T Cogley - International Economic Review, 2001 - Wiley Online Library
2. Abstract This article extends the work of Hansen and Jagannathan by showing how to
decompose approximation errors in stochastic discount factor models by frequency. This
decomposition is applied to a number of consumption-based discount factor models in ...
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Diverse Beliefs, Survival and the Market Price of Risk*

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T Cogley… - The Economic Journal, 2009 - Wiley Online Library
We study prices and allocations in a complete-markets, pure-exchange economy in which
there are two types of agents with different priors over infinite sequences of the aggregate
endowment. Aggregate consumption growth evolves exogenously according to a two- ...
Cited by 10 - Related articles - All 13 versions

A Bayesian approach to optimal monetary policy with parameter and model uncertainty

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T Cogley, B De Paoli, C Matthes, K Nikolov… - Journal of Economic …, 2011 - Elsevier
This paper undertakes a Bayesian analysis of optimal monetary policy for the UK We
estimate a suite of monetary-policy models that include both forward-and backward-looking
representations as well as large-and small-scale models. We find an optimal simple ...
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Empirical evidence on nominal wage and price flexibility

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T Cogley - The Quarterly Journal of Economics, 1993 - qje.oxfordjournals.org
Abstract This paper tests a necessary condition for the neutrality of money in a framework
that imposes only weak restrictions on the money supply process. It extends Bernanke's
[1986] work by weakening the set of just-identifying restrictions and by providing a ...
Cited by 10 - Related articles - BL Direct - All 10 versions

Adapting to instability in money demand: forecasting money growth with a time-varying parameter model

T Cogley - Economic Review, 1993 - ideas.repec.org
Conventional money demand models appear to be unstable, and this complicates the
problem of conducting monetary policy. One way to deal with parameter instability is to learn
how to adapt quickly when parameters shift. This paper applies a time-varying-parameter ...
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[PDF] Are DSGE approximating models invariant to shifts in policy

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T Cogley… - The BE Journal of Macroeconomics, 2010 - files.nyu.edu
Abstract Bayesian and maximum-likelihood estimates of structural parameters in DSGE
approximating models are invariant to shifts in policy only when the model is correctly
specified. Since DSGE models are approximations, strict invariance is unattainable. ...
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[CITATION] Inflation Dynamics

T Cogley - Prepared for the Palgrave Dictionary of Economics, 2005
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[CITATION] The evolution of postwar US inflation dynamics

T Cogley… - NBER macroeconomics annual, 2001
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[CITATION] Should the central bank be responsible for regional stabilization?

T Cogley… - FRBSF Economic Letter, 1994 - ideas.repec.org
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A Search for a Structural Phillips curve

A Sbordone… - FRB of New York Research Paper Staff …, 2005 - papers.ssrn.com
Abstract: The foundation of the New Keynesian Phillips curve (NKPC) is a model of price
setting with nominal rigidities that implies that the dynamics of inflation are well explained by
the evolution of real marginal costs. In this paper, we analyze whether this is a structurally ...
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[CITATION] sThe Conquest of US Inflation: Learning

T Cogley… - Model Uncertainty, and Robustness. tWorking Paper, …, 2003
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[CITATION] Why central bank independence helps to mitigate inflationary bias

T Cogley - FRBSF Economic Letter, 1996 - ideas.repec.org
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[CITATION] Monetary policy and long-term real interest rates

T Cogley - FRBSF Economic Letter, 1993 - econpapers.repec.org
... EconPapers has moved to http://EconPapers.repec.org! Please update your
bookmarks. Monetary policy and long-term real interest rates. Timothy Cogley ().
FRBSF Economic Letter, 1993, issue Dec 3. Keywords: Interest rates ...
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[CITATION] The baby boom, the baby bust, and asset markets

T Cogley… - FRBSF Economic Letter, 1998 - econpapers.repec.org
By Timothy Cogley and Heather North Royer; The baby boom, the baby bust, and asset markets.
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[PDF] Comment on" How Structural Are Structural Parameters?"

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T Cogley - 2008 - nber.org
... Chapter Title: Comment on "How Structural Are Structural Parameters?" Chapter Author: Timothy
Cogley Chapter URL: http://www.nber.org/chapters/c4088 Chapter pages in book: (p. 139 - 147)
Page 2. Comment Timothy Cogley, University of California, Davis 1 Introduction ...
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[CITATION] VEvolving Post% World War II US Inflation Dynamics. V In NBER Macroeconomics Annual 2001, ed. Ben S. Bernanke and Kenneth Rogoff, 331% 73

T Cogley… - 2002 - Cambridge, MA: MIT Press
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[CITATION] The conquest of US inflation: learning, model uncertainty, and robustness

T Cogley… - University of California, Davis, 2004
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[CITATION] A Search for a Structural Phillips Curve. Computing in Economics and Finance 291

T Cogley… - Society for Computational Economics
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[CITATION] Drift and volatilities: Monetary policies and outcomes in the post wwii us Review of Economic Dynamics, 8 (2): 262–302

T Cogley… - 2005 - April
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[CITATION] Monetary policy and the great crash of 1929: a bursting bubble or collapsing fundamentals?

T Cogley - FRBSF Economic Letter, 1999 - ideas.repec.org
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Optimal disinflation under learning

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T Cogley, C Matthes… - 2011 - papers.ssrn.com
Abstract: We model transitional dynamics that emerge after the adoption of a new monetary
policy rule. We assume that private agents learn about the new policy via Bayesian
updating, and we study how learning affects the nature of the transition and the choice of a ...
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Inflation uncertainty and excess returns on stocks and banks

T Cogley - Economic Review, 1995 - ideas.repec.org
This paper investigates the relation between inflation uncertainty and excess returns on
stocks and bonds. It quantifies the effect of inflation uncertainty by comparing actual excess
returns with those expected by a hypothetical naive investor who treats inflation forecasts ...
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[CITATION] Inflation-Gap Persistence in the US” forthcoming in American Economic Journal: Macroeconomics

T Cogley, GE Primiceri… - 2008
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[CITATION] What is the optimal rate of inflation?

T Cogley - FRBSF Economic Letter, 1997 - econpapers.repec.org
... EconPapers has moved to http://EconPapers.repec.org! Please update your bookmarks.
What is the optimal rate of inflation? Timothy Cogley (). FRBSF Economic Letter, 1997,
issue Sep 19. Keywords: Inflation; (Finance) (search ...
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Is the market price of risk infinite?

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T Cogley - Economics Letters, 2009 - Elsevier
In a Bayesian model, a rational-expectations Euler equation involves a learning wedge that
disconnects the consumer's IMRS from the rational-expectations pricing kernel. The wedge
is extremely volatile and explains the high volatility of the rational-expectations pricing ...
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The Market Price of Risk and the Equity Premium

TW Cogley… - Working Papers, 2005 - ideas.repec.org
Downloadable! Friedman and Schwartz hypothesized that the Great Depression created
exaggerated fears of economic instability. We quantify their idea by using a robustness calculation
to shatter a representative consumer's initial confidence in the parameters of a two-state Markov ...
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[CITATION] Inflation-Gap Persistence

TW Cogley… - US Federal Reserve Bank of New York Staff Reports, 2007
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[CITATION] A Laboratory for Exploring Anticipated-Utility Models of Learning and Decision Making

T Cogley… - Unpublished manuscript. UC Davis and NYU, 2004
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[CITATION] Sbordone (2004),“A Search for a Structural Phillips Curve,”

T Cogley - Manuscript
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[CITATION] Why do stock prices sometimes fall in response to good economic news?

T Cogley - FRBSF Economic Letter, 1996 - ideas.repec.org
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Effects of the Hodrick-Prescott filter on trend and difference stationary time series: implications for business cycle research

T Cogley… - INTERNATIONAL LIBRARY OF …, 2002 - en.scientificcommons.org
Abstract This paper studies the effects of applying the Hodrick-Prescott filter to trend and
difference stationary time series. Applying the Hodrick-Prescott filter to an integrated process
is similar to detrending a random walk. When the data are difference stationary, the ...
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[CITATION] Inflation Gap Persistence in the US (5.7 MB PDF)

T Cogley… - University of California, Davis, working paper, January, 2007
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[CITATION] 'Slow Convergence'Results from Time-Series Methods: Confidence Intervals for Convergence Rates

T Cogley… - Federal Reserve Bank of San Francisco, March, rnimeo, 1996
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[CITATION] Out-of-sample predictive power of dividend yield regressions

T Cogley - Unpublished manuscript, University of Washington, 1991
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Maximum likelihood estimation with HP filtered data: an invariance theorem

T Cogley - Working Papers in Applied Economic Theory, 1994 - ideas.repec.org
Applying the Hodrick-Prescott filter to both the approximating model and the data adds a
constant to the log-likelihood function. Thus, maximum likelihood estimates and likelihood
ratio statistics are invariant to symmetric HP filtering.
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[PDF] The Return of the Gibson Paradox

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T Cogley, TJ Sargent… - 2011 - files.nyu.edu
Abstract Before World War I, nominal interest rates were approximately uncorrelated with
inflation, a fact known as Gibson's paradox. This correlation increased after World War II,
however, and the paradox vanished during the Great Inflation of the 1970s. By estimating ...
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Estimating dynamic rational expectations models when the trend specification is uncertain

T Cogley - Working Papers in Applied Economic Theory, 1996 - ideas.repec.org
This paper explores various strategies for estimating rational expectations models when the
trend specification is uncertain. One approach modified the likelihood function in order to
reduce the influence of low-frequency dynamics. Hansen and Sargent (1993) conjectured ...
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[CITATION] Do Real Business Cycle Pass the Nelson-Plosser That?

T Cogley… - 1992 - mimeo, August
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[PDF] Wealth Dynamics in a Bond Economy with Heterogeneous Beliefs

[PDF] from nyu.edu
T Cogley, TJ Sargent… - 2011 - files.nyu.edu
Abstract We study an economy in which two types of agents have diverse beliefs about the
law of motion for an exogenous endowment. One type knows the true law of motion, and the
other learns about it via Bayes's theorem. Financial markets are incomplete, the only ...
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[CITATION] Interpreting the term structure of interest rates

T Cogley - FRBSF Economic Letter, 1993 - econpapers.repec.org
... EconPapers has moved to http://EconPapers.repec.org! Please update your bookmarks.
Interpreting the term structure of interest rates. Timothy Cogley (). FRBSF Economic Letter,
1993, issue Apr 16. Keywords: Interest rates; Government ...
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Panel evidence on the speed of convergence

T Cogley… - Working Papers in Applied Economic …, 1997 - ideas.repec.org
Estimates of the speed of convergence vary widely and depend on the methodology
employed. While cross-sectional regressions typically find slow convergence, time series
estimates suggest that incomes converge rapidly. This paper uses panel methods to ...
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[CITATION] Proposals for reforming Social Security

T Cogley… - FRBSF Economic Letter, 1997 - econpapers.repec.org
By Timothy Cogley and Heather North Royer; Proposals for reforming Social Security.
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[CITATION] Monetary policy in a low inflation regime

T Cogley - FRBSF Economic Letter, 1994 - econpapers.repec.org
... Please update your bookmarks. Monetary policy in a low inflation regime. Timothy Cogley ().
FRBSF Economic Letter, 1994, issue Apr 1. Keywords: Inflation (Finance); Monetary policy - United
States (search for similar items in EconPapers) Date: 1994 Track citations by RSS feed ...
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Monetary Policy and the Great Crash of 1929: A Bursting Bubble or Collapsing Fundamentals?

T Cogley - PUBLIC ADMINISTRATION AND PUBLIC POLICY, 2002 - books.google.com
In recent years, a number of economists have expressed concern that the stock market is
overvalued. Some have compared the situation with the 1920s, warning that the market may
be headed for a similar collapse. Indeed, some suggest that lax monetary policy ...
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[CITATION] Appendices for 'Optimal Disinflation Under Learning'

T Cogley, C Matthes… - 2011
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[CITATION] On the transition to a fully funded Social Security system

T Cogley - FRBSF Economic Letter, 1998 - ideas.repec.org
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[CITATION] YVES BALASKO

Full text - MIT Libraries
S TURNOVSKY, G CHOW, R CRAINE… - Journal of economic …, 1998

[PDF] A comment on “Closed-Form Estimates of the NKPC with Time-Varying Trend Inflation”

[PDF] from nyu.edu
M Barnes, F Gumbau-Brisa, D Lie, G Olivei… - 2010 - files.nyu.edu
In a recent paper, Barnes, Gumba, Lie and Olivei (2009, BGLO in what follows) present
estimates of the new Keynesian Phillips curve (NKPC) with time-varying trend inflation, in
part replicating work in Cogley and Sbordone (2008, CS in what follows). Their paper has ...
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[CITATION] Commentary on" Optimal monetary policy under uncertainty: a Markov jump-linear-quadratic approach"

TW Cogley - Review, 2008 - ideas.repec.org
... Timothy W. Cogley Additional information is available for the following registered author(s):
Timothy Cogley. Abstract. No abstract is available for this item. ... 4(2), pages 103-124, April.
[Downloadable!] (restricted); Timothy Cogley & Riccardo Colacito & Thomas J. Sargent, 2007. ...
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[CITATION] Benefits from US Monetary Policy Experimentation in the Days of Samuelson

T Cogley, T Sargent… - 2005 Meeting Papers, 2005 - econpapers.repec.org
By Timothy Cogley, Thomas Sargent and Riccardo Colacito; Benefits from US
Monetary Policy Experimentation in the Days of Samuelson.
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Royal Economic Society

T Cogley… - The Economic Journal, 2008 - res.org.uk
We study prices and allocations in a complete-markets, pure-exchange economy in which
there are two types of agents with different priors over infinite sequences of the aggregate
endowment. Aggregate consumption growth evolves exogenously according to a two- ...
Cached - Get it from MIT Libraries - All 2 versions

[PDF] Market Prices of Risk with Diverse Beliefs, Learning, and Catastrophes

[PDF] from nyu.edu
T Cogley, TJ Sargent… - files.nyu.edu
We compare market prices of risk in economies with identical patterns of endowments,
priors, and information flows, but two different market structures, one with complete markets,
another in which consumers can trade only a single risk-free bond. We study how ...
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[CITATION] Technical Appendix: Output Dynamics in rRal Business Cycle Models

JM Nason… - UBC Departmental Archives, 1994 - ideas.repec.org
No abstract is available for this item. ... To our knowledge, this item is not available for
download. To find whether it is available, there are three options: 1. Check below under "Related
research" whether another version of this item is available online. 2. Check on the ...
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[CITATION] Essays on Money and Business Cycles

TW Cogley - 1988 - University of California, Berkeley
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Empirical Economics Acknowledges the Cooperation of

D Acemoglu, L Ackert, J Antel, G Arminger… - Springer
Page 1. Empirical Economics Acknowledges the Cooperation of: Acemoglu, Daron,
Massachusetts Institute of Technology (MIT), Cambridge, USA Ackert, Lucy, Wilfrid
Laurier University, Canada Antel, John, University of Houston ...

[CITATION] Bayesian Fan Charts for UK Inflation: Forecasting and Sources of Uncertainty in an Evolving Monetary System

T Cogley, S Morozov…
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[PDF] Measuring Business Cycles in Economic Time Series

[PDF] from amstat.org
Full text - MIT Libraries
T Cogley - Journal of the American Statistical Association, 2002 - ASA
This book studies the Hodrick–Prescott (HP) filter, one of the tools economists use to
measure business cycles. Indeed, the book can be regarded as a user's manual for the HP
filter, discussing the filter's characteristics, presenting a variety of equivalent derivations, ...
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Anticipated utility and rational expectations as approximations of Bayesian decision making PDF Logo

[PDF] from econstor.eu
TW Cogley… - econstor.eu
... ucdavis.edu/working_search.cfm Page 2. Anticipated Utility and Rational Expectations
as Approximations of Bayesian Decision Making ∗ Timothy Cogley† Thomas J. Sargent‡
Revised: March 2005 Abstract For a Markov decision ...
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[CITATION] Supplement to “Inflation-Gap Persistence in the US”

T Cogley, GE Primiceri
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[CITATION] Introduction: Journal of Econometrics special issue honoring the research contributions of Charles R. Nelson

Full text - MIT Libraries
T Cogley, SN Durlauf… - Journal of Econometrics, 2008 - econpapers.repec.org
By Timothy Cogley, Steven N. Durlauf and James Nason; Introduction: Journal of Econometrics
special issue honoring the research contributions of Charles R. Nelson. ...
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The market price of risk and the equity premium PDF Logo

[PDF] from econstor.eu
TW Cogley… - econstor.eu
... The Market Price of Risk and the Equity Premium: A Legacy of the Great Depression? ∗ Timothy
Cogley† Thomas J. Sargent‡ Revised: March 2005 Abstract Friedman and Schwartz hypothesized
that the Great Depression created ex- aggerated fears of economic instability. ...
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Excellence in Refereeing Award

VV Acharya, SN Ali, J Apesteguia, P Arcidiacono… - 209.197.108.139
The American Economic Association would like to congratulate its 2010 American Economic
Review Excellence in Refereeing Award recipients. The award recognizes the outstanding
work of those referees whose service and dedication have contributed to the high quality ...
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[PDF] Financial fragility and the lender of last resort

[PDF] from aw.com
D Schaan… - FRBSF Economic Letter, 1995 - wps.aw.com
Financial crises, such as banking panics and stock market crashes, were a common
occurrence in the US economy before World War II. Since then, financial crises have been
less common. However, events of the past decade have led to renewed concerns about ...
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[PDF] Second Thoughts on Evolving Inflation Dynamics: Drifting Parameters and Stochastic Volatility

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T Cogley… - 2001 - sims.princeton.edu
This paper extends the model of Cogley and Sargent (2001) to incorporate stochastic
volatility and then reestimates it for post World War II US data in order to shed light on the
following questions. Have aggregate time series responded via timeinvariant linear ...
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[CITATION] The recession, the recovery, and the productivity slowdown

T Cogley - FRBSF Economic Letter, 1993 - econpapers.repec.org
... EconPapers has moved to http://EconPapers.repec.org! Please update your bookmarks.
The recession, the recovery, and the productivity slowdown. Timothy Cogley (). FRBSF
Economic Letter, 1993, issue Jan 8. Keywords: Business ...
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[CITATION] Using consumption to track movements in trend GDP

T Cogley… - FRBSF Economic Letter, 1995 - econpapers.repec.org
... EconPapers has moved to http://EconPapers.repec.org! Please update your bookmarks.
Using consumption to track movements in trend GDP. Timothy Cogley () and Desiree
Schaan. FRBSF Economic Letter, 1995, issue Sep 1. ...
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Royal Economic Society

HS Shin, E Fehr, M Brown, C Zehnder… - The Economic …, 2008 - res.org.uk
A widespread opinion before the credit crisis of 2007/8 was that securitisation enhances
financial stability by dispersing credit risk. After the credit crisis, securitisation was blamed for
allowing the'hot potato'of bad loans to be passed to unsuspecting investors. Both views ...
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[PDF] Brock, William, 300, 301, 307 Bufman, Gill, 366n16, 404n41 Buiter, Willem H., 211 Bullard, James B., 202, 239, 240, 241

[PDF] from nber.org
J Bulow, R Barro, S Basu, N Batini, J Benhabib… - nber.org
Gaspar, Vitor, 225 Gavin, William T., 175n6, 187 Gertler, Mark, 7, 20n2, 21n4, 23n7, 27, 52,
70, 85, 96, 107, 124, 125, 134, 205n5, 212, 225, 301, 321n7, 425 Giannoni, Marc P., 3, 22,
36, 37, 37n22, 38n24, 94, 94n2, 96, 96n3, 105n14, 109, 109n16, 109n17, 112nn20, 21, ...
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[PDF] Appendices to “The Market Price of Risk and the Equity Premium: A Legacy of the Great Depression?”

[PDF] from nyu.edu
T Cogley… - files.nyu.edu
Cecchetti et al.(2000) study a model involving a hidden Markov process. In their model,
agents can observe the state, although econometricians cannot. In that case, suppressing
the noise term has only a slight effect on asset prices. With a constant discount factor, the ...
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Journal Report

E Bairam, R Bewley, C Blyth, J Borland… - New Zealand …, 1996 - Taylor & Francis
Page 1. New Zealand Economic Papers, 30(1), 1996, 127-128 Journal Report 127
After an initial screening, all submitted papers are sent to at least two referees for
assessment. Despite the increasing demands on their scarce ...
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Bayesian fan charts for UK inflation: forecasting and sources of uncertainty in an evolving monetary system PDF Logo

[PDF] from econstor.eu
TW Cogley, S Morozov… - econstor.eu
... No. 2003/44 Bayesian Fan Charts for UK Inflation: Forecasting and Sources of Uncertainty in
an Evolving Monetary System Timothy Cogley, Sergei Morozov, Thomas J. Sargent Page 2. ...
Evolving Monetary System∗ Timothy Cogley University of California, Davis Sergei Morozov ...
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Monetary Policy and the Great Crash of 1929

T Cogley - Handbook of Monetary and Fiscal Policy, 2001 - books.google.com
In recent years, a number of economists have expressed concern that the stock market is
overvalued. Some have compared the situation with the 1920s, warning that the market may
be headed for a similar collapse. Indeed, some suggest that lax monetary policy ...
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[CITATION] WP Carey School of Business (Arizona State University (ASU))

A Blakemore…
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