Timothy Cogley, Thomas J. Sargent, Timothy Cogley, Thomas J. Sargent
In 2005 all ECB publications will feature a motif taken from the €50 banknote.
Anticipated Utility and Rational Expectations as Approximations of Bayesian Decion Making (2005)
Timothy Cogley, Thomas J. Sargent
We study a Markov decision problem with unknown transition probabilities. We compute the exact Bayesian decision rule and compare it with two approximations. The first is an infinite-history,...
A Simple Adaptive Measure of Core Inflation (2002)
Journal of Money, Credit, and Banking - Volume 34, Number 1, February 2002
Drifts and volatilities: Monetary policies and outcomes in the post WWII U.S. (2002)
Timothy Cogley, Thomas J. Sargent
For a VAR with drifting coefficients and stochastic volatilities, we present posterior densities for several objects that are of interest for designing and evaluating monetary policy. These include...
Laboratory Experiments with an Expectational Phillips Curve (2001)
Jasmina Arifovic Simon, Thomas J. Sargent, Colin Camerer, Timothy Cogley, Tom Palfrey, Christopher Sims
We pay human subjects to be the policy maker and the public in an expectational Phillips curve model. Policy makers often find ways to achieve the time-inconsistent optimal inflation rate, at least...
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...
Output Dynamics in Real-Business-Cycle Models.
Cogley, Timothy, Nason, James M
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...
Benefits from U.S. Monetary Policy Experimentation in the Days of Samuelson
Timothy Cogley, Thomas Sargent, Riccardo Colacito
experimentation, Bayes law, robustness
Drift and Volatilities: Monetary Policies and Outcomes in the Post WWII U.S.
Timothy Cogley, Thomas J. Sargent
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...
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...
The conquest of US inflation: Learning and robustness to model uncertainty
Timothy Cogley, Thomas J. Sargent
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...
Monetary policy and the great crash of 1929: a bursting bubble or collapsing fundamentals?
Monetary policy ; Stock market
Should the Fed take deliberate steps to deflate asset price bubbles?
On several occasions over the last few years, various economists and policymakers have expressed the opinion that the stock market was overvalued. They often compared the situation with the 1920s and...
Drift and Volatilities: Monetary Policies and Outcomes in the Post WWII U.S.
Timothy Cogley, Thomas J. Sargent
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...
A Frequency Decomposition of Approximation Errors in Stochastic Discount Factor Models.
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...
Timothy Cogley, Sergei Morozov, Thomas J. Sargent
We estimate a Bayesian vector autoregression for the U.K. with drifting coefficients and stochastic volatilities. We use it to characterize posterior densities for several objects that are useful for...
Benefits from U.S. Monetary Policy Experimentation in the Days of Samuelson and Solow and Lucas
TIMOTHY COGLEY, RICCARDO COLACITO, THOMAS J. SARGENT
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....
A frequency decomposition of approximation errors in stochastic discount factor models
This paper extends the work of Hansen and Jagannathan (1997) by showing how to decompose approximation errors in stochastic discount factor models by frequency. This decomposition is applied to a...
Panel evidence on the speed of convergence
Timothy Cogley, Mark M. Spiegel
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...
A Search for a Structural Phillips Curve
Argia M. Sbordone, Timothy Cogley
The central piece of the New Keynesian Phillips curve is a model of price setting with nominal rigidities that implies that the dynamics of inflation is well explained by the evolution of real...
The recession, the recovery, and the productivity slowdown
Business cycles ; Economic conditions - United States ; Econometric models ; Gross national product ; Recessions ; Labor productivity
Interpreting the term structure of interest rates
Interest rates ; Government securities
Monetary policy and long-term real interest rates
Interest rates ; Monetary policy - United States
Monetary policy in a low inflation regime
Inflation (Finance) ; Monetary policy - United States
Should the central bank be responsible for regional stabilization?
Timothy Cogley, Desiree Schaan
Regional economics ; Monetary policy - United States ; California ; Economic stabilization
Financial fragility and the lender of last resort
Desiree Schaan, Timothy Cogley
Lenders of last resort ; Banks and banking, Central
Using consumption to track movements in trend GDP
Timothy Cogley, Desiree Schaan
Gross domestic product ; Monetary policy - United States ; Consumption (Economics)
Why central bank independence helps to mitigate inflationary bias
Banks and banking, Central ; Federal Reserve System - Independence
Why do stock prices sometimes fall in response to good economic news?
Stock - Prices ; Dividends
On the transition to a fully funded Social Security system
Social security ; Retirement
The baby boom, the baby bust, and asset markets
Demography ; Social security ; Retirement ; Population
A simple adaptive measure of core inflation
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 inflation,...
Business cycles ; Time-series analysis
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...
Inflation uncertainty and excess returns on stocks and banks
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...
Evaluating non-structural measures of the business cycle
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...
Timothy Cogley, James M. Nason
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...
Output dynamics in real business cycle models
Timothy Cogley, James M. Nason
The time series literature reports two stylized facts about output dynamics in the United States. GNP growth is positively autocorrelated over short horizons and negatively autocorrelated over longer...
Maximum likelihood estimation with HP filtered data: an invariance theorem
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...
Estimating dynamic rational expectations models when the trend specification is uncertain
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...
Drifts and volatilities: monetary policies and outcomes in the post WWII U.S.
Timothy Cogley, Thomas J. Sargent
For a VAR with drifting coefficients and stochastic volatilities, the authors present posterior densities for several objects that are of interest for designing and evaluating monetary policy. These...
A Simple Adaptive Measure of Core Inflation.
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,...
Trend inflation and inflation persistence in the New Keynesian Phillips Curve
Timothy Cogley, Argia M. Sbordone
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...
ANTICIPATED UTILITY AND RATIONAL EXPECTATIONS AS APPROXIMATIONS OF BAYESIAN DECISION MAKING
Timothy Cogley, Thomas J. Sargent
We study a Markov decision problem with unknown transition probabilities. We compute the exact Bayesian decision rule and compare it with two approximations. The first is an infinite-history,...
The conquest of U.S. inflation: learning and robustness to model uncertainty
Timothy Cogley, Thomas J. Sargent
Previous studies have interpreted the rise and fall of U.S. in ation after World War II in terms of the Fed's changing views about the natural rate hypothesis but have left an important question...
Idiosyncratic risk and the equity premium: evidence from the Consumer Expenditure Survey
This paper uses household consumption data to investigate whether uninsurable idiosyncratic risk accounts for the equity premium. The analysis complements and extends prior empirical work by relaxing...
Evolving Post-World War II U.S. Inflation Dynamics
Timothy Cogley, Thomas Sargent
This paper uses a nonlinear stochastic model to describe inflation-unemployment dynamics in the U.S. after World War II. The model is a vector autoregression with coefficients that are random walks...
How Fast Can the New Economy Grow? A Bayesian Analysis of the Evolution of Trend Growth
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...
Drifts and Volatilities: Monetary Policies and Outcomes in the Post WWII US
Timothy Cogley, Thomas Sargent
For a VAR with drifting coefficients and stochastic volatilities, we present posterior densities for several objects that are of interest for designing and evaluating monetary policy. These include...
Testing the Implications of Long-Run Neutrality for Monetary Business Cycle Models.
Nason, James M, Cogley, Timothy
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...
Effects of the Hodrick-Prescott filter on integrated time series
Timothy Cogley, James M. Nason
Time-series analysis ; Business cycles
A search for a structural Phillips curve
Timothy Cogley, Argia M. Sbordone
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...
Empirical Evidence on Nominal Wage and Price Flexibility.
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 B. Bernanke's (1986) work by weakening...
The market price of risk and the equity premium: A legacy of the Great Depression?
Cogley, Timothy, Sargent, Thomas J.
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...
Inflation-Gap Persistence in the U.S.
Timothy Cogley, Giorgio E. Primiceri, Thomas J. Sargent
We use Bayesian methods to estimate two models of post WWII U.S. inflation rates with drifting stochastic volatility and drifting coefficients. One model is univariate, the other a multivariate...
International Evidence on the Size of the Random Walk in Output.
This paper contributes three extensions of John H. Cochrane's work on measuring the relative stability of long-term growth. It estimates variance ratios for nine OECD countries over the period...
Robustness and U.S. Monetary Policy Experimentation
TIMOTHY COGLEY, RICCARDO COLACITO, LARS PETER HANSEN, THOMAS J. SARGENT
We study how a concern for robustness modifies a policymaker's incentive to experiment. A policymaker has a prior over two submodels of inflation-unemployment dynamics. One submodel implies an...
Trend Inflation, Indexation, and Inflation Persistence in the New Keynesian Phillips Curve
Timothy Cogley, Argia M. Sbordone
Purely forward-looking versions of the New Keynesian Phillips curve (NKPC) generate too little inflation persistence. Some authors add ad hoc backwardlooking terms to address this shortcoming. We...
Is the market price of risk infinite?
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...
Benefits from U.S. monetary policy experimentation in the days of Samuelson and Solow and Lucas
Timothy Cogley, Riccardo Colacito, Thomas J. Sargent
Inflation (Finance) ; Econometric models