GSB Logo

Selected Bibliography for John H. Cochrane
AQR Capital Management Distinguished Service Professor of Finance

Professor Cochrane's personal page at Chicago Booth

Accessing Articles
Published Works | Working Papers

Published Works  

"Finance: Function Matters, Not Size." John H. Cochrane; Journal of Economic Perspectives, 2013, 27(2), pp. 29-50.
http://dx.doi.org/10.1257/jep.27.2.29

"Continuous-Time Linear Models." John H. Cochrane; Foundations and Trends in Finance, 2012, 6, pp. 165-219.
http://dx.doi.org/10.1561/0500000037

"Determinacy and Identification with Taylor Rules." John H. Cochrane; Journal of Political Economy, 2011, 119(3), pp. 565-615.
http://dx.doi.org/10.1086/660817

"Presidential Address: Discount Rates." John H. Cochrane; Journal of Finance, 2011, 66(4), pp. 1047-108.
http://dx.doi.org/10.1111/j.1540-6261.2011.01671.x

"How Did Paul Krugman Get It So Wrong?" John H. Cochrane; Economic Affairs, 2011, 31(2), pp. 36-40.
http://dx.doi.org/10.1111/j.1468-0270.2011.02077.x

The Squam Lake Report : Fixing the Financial System; Kenneth R. French, Martin N. Baily, John Y. Campbell, John H. Cochrane, Douglas W. Diamond, Darrell Duffie, Anil K. Kashyap, Frederic S. Mishkin, Raghuram G. Rajan, David S. Scharfstein, Robert J. Shiller, Hyun Song Shin, Matthew J. Slaughter, Jeremy C. Stein and René Stulz; Princeton, NJ, USA: Princeton University Press, 2010
http://site.ebrary.com/lib/uchicago/docDetail.action?docID=10394782

"Understanding Policy in the Great Recession: Some Unpleasant Fiscal Arithmetic." John H. Cochrane; European Economic Review, 2010.
http://dx.doi.org/10.1016/j.euroecorev.2010.11.002

"Health-Status Insurance: How Markets Can Provide Health Security." John H. Cochrane; Policy Analysis, 2009, (633).
http://www.cato.org/pub_display.php?pub_id=9986

"Lessons from the Financial Crisis." John H. Cochrane; Regulation, 2009, 32(4), pp. 34.
http://www.cato.org/pubs/regulation/regv32n4/v32n4-6.pdf

"Can Learnability Save New-Keynesian Models?" John H. Cochrane; Journal of Monetary Economics, 2009, 56(8), pp. 1109-13.
http://dx.doi.org/10.1016/j.jmoneco.2009.10.012

"Financial Markets and the Real Economy," John H. Cochrane, in R. Mehra: Handbook of the Equity Risk Premium. San Diego: Elsevier, 2008, pp. 237-325

"The Dog That Did Not Bark: A Defense of Return Predictability." John H. Cochrane; Review of Financial Studies, 2008, 21(4), pp. 1533-75.
http://rfs.oxfordjournals.org/cgi/content/abstract/21/4/1533

"Two Trees." John H. Cochrane, Francis A. Longstaff and Pedro Santa-Clara; Review of Financial Studies, 2008, 21(1), pp. 347-85.
http://rfs.oxfordjournals.org/cgi/content/abstract/21/1/347

"Commentary on 'Macroeconomic Implications of Changes in the Term Premium'." John H. Cochrane; Federal Reserve Bank of St. Louis Review, 2007, 89(4), pp. 271- 82.
http://research.stlouisfed.org/publications/review/07/07/Cochrane.pdf

Financial Markets and the Real Economy; John H. Cochrane; The International Library of Critical Writings in Financial Economics; Cheltenham, UK ; Northampton, MA Edward Elgar, 2006

"International Risk Sharing Is Better Than You Think, or Exchange Rates Are Too Smooth." Michael W. Brandt, John H. Cochrane and Pedro Santa-Clara; Journal of Monetary Economics, 2006, 53(4), pp. 671-98.
http://dx.doi.org/10.1016/j.jmoneco.2005.02.004

"Money as Stock." John H. Cochrane; Journal of Monetary Economics, 2005, 52(3), pp. 501-28.
http://dx.doi.org/10.1016/j.jmoneco.2004.07.004

Asset Pricing, Revised Edition; John H. Cochrane; Princeton, NJ: Princeton University Press, 2005

"Bond Risk Premia." John H. Cochrane and Monika Piazzesi; American Economic Review, 2005, 95(1), pp. 138.
http://dx.doi.org/10.1257/0002828053828581

"The Risk and Return of Venture Capital." John H. Cochrane; Journal of Financial Economics, 2005, 75(1), pp. 3.
http://dx.doi.org/10.1016/j.jfineco.2004.03.006

"Stocks as Money: Convenience Yield and the Tech-Stock Bubble," John H. Cochrane, in W. C. Hunter, G. G. Kaufman and M. Pomerleano: Asset Price Bubbles: The Implications for Monetary, Regulatory, and International Policies. Cambridge and London: MIT Press, 2003, pp. 175-203

"Time-Consistent Health Insurance," John H. Cochrane, in A. Tabarrok: Entrepreneurial Economics: Bright Ideas from the Dismal Science. Oxford and New York: Oxford University Press, 2002, pp. 53-76

"The Fed and Interest Rates--A High-Frequency Identification." John H. Cochrane and Monika Piazzesi; American Economic Review, 2002, 92(2), pp. 90-95.
http://links.jstor.org/sici?sici=0002-8282%28200205%2992%3A2%3C90%3ATFAIRA%3E2.0.CO%3B2-0

"Review of 'Famous First Bubbles: The Fundamentals of Early Manias'." John H. Cochrane; Journal of Political Economy, 2001, 109(5), pp. 1150.
http://links.jstor.org/sici?sici=0022-3808%28200110%29109%3A5%3C1150%3AFFBTFO%3E2.0.CO%3B2-A

"Long-Term Debt and Optimal Policy in the Fiscal Theory of the Price Level." John H. Cochrane; Econometrica, 2001, 69(1), pp. 69-116.
http://dx.doi.org/10.1111/1468-0262.00179

Asset Pricing; John H. Cochrane; Princeton and Oxford: Princeton University Press, 2001

"Beyond Arbitrage: Good-Deal Asset Price Bounds in Incomplete Markets." John H. Cochrane and Jesus Saa-Requejo; Journal of Political Economy, 2000, 108(1), pp. 79-119.
http://links.jstor.org/sici?sici=0022-3808%28200002%29108%3A1%3C79%3ABAGAPB%3E2.0.CO%3B2-1

"Explaining the Poor Performance of Consumption-Based Asset Pricing Models." John Y. Campbell and John H. Cochrane; Journal of Finance, 2000, 55(6), pp. 2863-78.
http://links.jstor.org/sici?sici=0022-1082%28200012%2955%3A6%3C2863%3AETPPOC%3E2.0.CO%3B2-T

"New Facts in Finance." John H. Cochrane; Economic Perspectives, 1999, 23(3), pp. 36-58.
http://www.chicagofed.org/publications/economicperspectives/1999/ep3Q99_3.pdf

"Portfolio Advice for a Multifactor World." John H. Cochrane; Economic Perspectives, 1999, 23(3), pp. 59-78.
http://www.chicagofed.org/webpages/publications/economic_perspectives/1999/3qepart4.cfm

"Reinsurance for Catastrophes and Cataclysms: Comment," John H. Cochrane, in K. A. Froot: The Financing of Catastrophe Risk. Chicago and London: University of Chicago Press, 1999, pp. 269-74


"By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior." John Y. Campbell and John H. Cochrane; Journal of Political Economy, 1999, 107(2), pp. 205-51.
http://links.jstor.org/sici?sici=0022-3808%28199904%29107%3A2%3C205%3ABFOHAC%3E2.0.CO%3B2-M

"A Frictionless View of U.S. Inflation." John H. Cochrane; NBER Macroeconomics Annual, 1998, 13( 1), pp. 323.
http://www.jstor.org/stable/4623752

"What Do the VARs Mean? Measuring the Output Effects of Monetary Policy." John H. Cochrane; Journal of Monetary Economics, 1998, 41(2), pp. 277-300.
http://dx.doi.org/10.1016/S0304-3932(97)00075-5

"Where Is the Market Going? Uncertain Facts and Novel Theories." John H. Cochrane; Economic Perspectives, 1997, 21(6), pp. 3-37.
http://www.chicagofed.org/publications/economicperspectives/1997/epnov97.pdf

"A Cross-Sectional Test of an Investment-Based Asset Pricing Model." John H. Cochrane; Journal of Political Economy, 1996, 104(3), pp. 572-621.
http://links.jstor.org/sici?sici=0022-3808%28199606%29104%3A3%3C572%3AACTOAI%3E2.0.CO%3B2-7

"Time-Consistent Health Insurance." John H. Cochrane; Journal of Political Economy, 1995, 103(3), pp. 445-73.
http://links.jstor.org/sici?sici=0022-3808%28199506%29103%3A3%3C445%3ATHI%3E2.0.CO%3B2-6

Macroeconomics in Russia; John H. Cochrane and Barry William Ickes; University Park, Pa.: Pennsylvania State University, 1994

"Shocks." John H. Cochrane; Carnegie-Rochester Conference Series on Public Policy, 1994, 41, pp. 295-364.
http://dx.doi.org/10.1016/0167-2231(94)00024-7

"What Ends Recessions? Comment." John H. Cochrane; NBER Macroeconomics Annual, 1994, pp. 58-74.
http://www.jstor.org/stable/3585074

"Permanent and Transitory Components of GNP and Stock Prices." John H. Cochrane; Quarterly Journal of Economics, 1994, 109(1), pp. 241-65.
http://links.jstor.org/sici?sici=0033-5533%28199402%29109%3A1%3C241%3APATCOG%3E2.0.CO%3B2-K

"Asset Pricing Explorations for Macroeconomics." John H. Cochrane and Lars Peter Hansen; NBER Macroeconomics Annual, 1992, pp. 115-65.
http://www.jstor.org/stable/3585001

"Explaining the Variance of Price-Dividend Ratios." John H. Cochrane; Review of Financial Studies, 1992, 5(2), pp. 243-80.
http://links.jstor.org/sici?sici=0893-9454%281992%295%3A2%3C243%3AETVOPR%3E2.0.CO%3B2-O

"Comments on 'the Response of Consumption to Income: A Cross Country Investigation'." John H. Cochrane; European Economic Review, 1991, 35(4), pp. 723.
http://dx.doi.org/10.1016/0014-2921(91)90034-G

"Volatility Tests and Efficient Markets: A Review Essay." John H. Cochrane; Journal of Monetary Economics, 1991, 27(3), pp. 463.
http://dx.doi.org/10.1016/0304-3932(91)90018-J

"Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots: Comment." John H. Cochrane; NBER Macroeconomics Annual, 1991, 6, pp. 201-10.
http://www.jstor.org/stable/3585054

"Inflation Stabilization in Reforming Socialist Economies: The Myth of the Monetary Overhang." John H. Cochrane and Barry W. Ickes; Comparative Economic Studies, 1991, 33(2), pp. 97-122.
http://search.epnet.com/login.aspx?direct=true&db=bth&an=9608070865

"A Critique of the Application of Unit Root Tests." John H. Cochrane; Journal of Economic Dynamics and Control, 1991, 15(2), pp. 275-84.
http://dx.doi.org/10.1016/0165-1889(91)90013-Q

"Production-Based Asset Pricing and the Link between Stock Returns and Economic Fluctuations." John H. Cochrane; Journal of Finance, 1991, 46(1), pp. 209-37.
http://links.jstor.org/sici?sici=0022-1082%28199103%2946%3A1%3C209%3APAPATL%3E2.0.CO%3B2-7

"A Simple Test of Consumption Insurance." John H. Cochrane; Journal of Political Economy, 1991, 99(5), pp. 957-76.
http://links.jstor.org/sici?sici=0022-3808%28199110%2999%3A5%3C957%3AASTOCI%3E2.0.CO%3B2-T

"The Return of the Liquidity Effect: A Study of the Short-Run Relation between Money Growth and Interest Rates." John H. Cochrane; Journal of Business and Economic Statistics, 1989, 7(1), pp. 75-83.
http://links.jstor.org/sici?sici=0735-0015%28198901%297%3A1%3C75%3ATROTLE%3E2.0.CO%3B2-M

"The Sensitivity of Tests of the Intertemporal Allocation of Consumption to near-Rational Alternatives." John H. Cochrane; American Economic Review, 1989, 79(3), pp. 319-37.
http://links.jstor.org/sici?sici=0002-8282%28198906%2979%3A3%3C319%3ATSOTOT%3E2.0.CO%3B2-P

"Multivariate Estimates of the Permanent Components of GNP and Stock Prices." John H. Cochrane and Argia M. Sbordone; Journal of Economic Dynamics and Control, 1988, 12(2-3), pp. 255-96.
http://dx.doi.org/10.1016/0165-1889(88)90042-5

"How Big Is the Random Walk in GNP?" John H. Cochrane; Journal of Political Economy, 1988, 96(5), pp. 893-920.
http://links.jstor.org/sici?sici=0022-3808%28198810%2996%3A5%3C893%3AHBITRW%3E2.0.CO%3B2-P

Essays in Macroeconomics; John Howland Cochrane; Ph.D. Dissertation, University of California, Berkeley, 1986.

"Monte Carlo Study of the Scanning Problem with a Visibility Distribution." J. H. Cochrane, G. F. Gieraltowski and L. G. Hyman; Nuclear Instruments and Methods, 1979, 160(3), pp. 503-10.
http://dx.doi.org/10.1016/0029-554x(79)90207-6

Working Papers  

Continuous-Time Linear Models; John H. Cochrane; NBER Working Paper Series No. 18181; Cambridge: National Bureau of Economic Research, 2012.
http://www.nber.org/papers/w18181

Understanding Policy in the Great Recession: Some Unpleasant Fiscal Arithmetic; John H. Cochrane; NBER Working Paper Series No. 16087; Cambridge: National Bureau of Economic Research, 2010.
http://www.nber.org/papers/w16087

Can Learnability Save New-Keynesian Models?; John H. Cochrane; NBER Working Paper Series No. 15459; Cambridge: National Bureau of Economic Research, 2009.
http://www.nber.org/papers/w15459

Inflation Determination with Taylor Rules: A Critical Review; John H. Cochrane; NBER Working Paper Series no. 13409; Cambridge: National Bureau of Economic Research, 2007.
http://www.nber.org/papers/w13409

Determinacy and Identification with Taylor Rules; John H. Cochrane; NBER Working Paper Series no. 13410; Cambridge: National Bureau of Economic Research, 2007.
http://www.nber.org/papers/w13410

The Dog That Did Not Bark: A Defense of Return Predictability; John H. Cochrane; NBER working paper series ; no. w12026; Cambridge, Mass.: National Bureau of Economic Research, 2006.
http://www.nber.org/papers/w12026

Financial Markets and the Real Economy; John H. Cochrane; NBER Working Papers Series no. 11193; Cambridge: National Bureau of Economic Research, 2005.
http://papers.nber.org/papers/W11193

Two Trees : Asset Price Dynamics Induced by Market Clearing; John H. Cochrane, Francis A. Longstaff and Pedro Santa-Clara; NBER working paper series no. 10116; Cambridge: National Bureau of Economic Research, 2003.
http://www.nber.org/papers/W10116

Stocks as Money : Convenience Yield and the Tech-Stock Bubble; John H. Cochrane; NBER working paper series no. 8987; Cambridge: National Bureau of Economic Research, 2002.
http://papers.nber.org/papers/W8987

Bond Risk Premia; John H. Cochrane and Monika Piazzesi; NBER working paper series no. 9178; Cambridge: National Bureau of Economic Research, 2002.
http://www.nber.org/papers/W9178

The Fed and Interest Rates: A High-Frequency Identification; John H. Cochrane and Monika Piazzesi; NBER working paper series no. 8839; Cambridge: National Bureau of Economic Research, 2002.
http://papers.nber.org/papers/8839

The Risk and Return of Venture Capital; John H. Cochrane; NBER working paper series no. 8066; Cambridge: National Bureau of Economic Research, 2001.
http://www.nber.org/papers/W8066

International Risk Sharing Is Better Than You Think : Or Exchange Rates Are Much Too Smooth; Michael W. Brandt, John H. Cochrane and Pedro Santa Clara; NBER working paper series no. 8404; Cambridge: National Bureau of Economic Research, 2001.
http://papers.nber.org/papers/W8404

A Rehabilitation of Stochastic Discount Factor Methodology; John H. Cochrane; NBER working paper series no. 8533; Cambridge: National Bureau of Economic Research, 2001.
http://www.nber.org/papers/W8533

Money as Stock : Price Level Determination with No Money Demand; John H. Cochrane; NBER working paper series no. 7498; Cambridge: National Bureau of Economic Research, 2000.
http://www.nber.org/papers/W7498

Portfolio Advice for a Multifactor World; John H. Cochrane; NBER working paper series working paper 7170; Cambridge: National Bureau of Economic Research, 1999.
http://papers.nber.org/papers/w7170

Explaining the Poor Performance of Consumption-Based Asset Pricing Models; John Y. Campbell and John H. Cochrane; NBER working paper series working paper 7237; Cambridge: National Bureau of Economic Research, 1999.
http://papers.nber.org/papers/w7237

New Facts in Finance; John H. Cochrane; NBER working paper series working paper 7169; Cambridge: National Bureau of Economic Research, 1999.
http://papers.nber.org/papers/w7169

A Frictionless View of U.S. Inflation; John H. Cochrane; NBER working paper series working paper 6646; Cambridge: National Bureau of Economic Research, 1998.
http://www.nber.org/papers/w6646

Long-Term Debt and Optimal Policy in the Fiscal Theory of the Price Level; John H. Cochrane; NBER working paper series working paper 6771; Cambridge: National Bureau of Economic Research, 1998.
http://www.nber.org/papers/w6771

Where Is the Market Going? : Uncertain Facts and Novel Theories; John H. Cochrane; NBER working paper series no. 6207; Cambridge: National Bureau of Economic Research, 1997.
http://papers.nber.org/papers/6207

Beyond Arbitrage : "Good-Deal" Asset Price Bounds in Incomplete Markets; John H. Cochrane and Jesus Saa-Requejo; NBER working paper series working paper 5489; Cambridge: National Bureau of Economic Research, 1996.
http://www.nber.org/papers/W5489

By Force of Habit : A Consumption-Based Explanation of Aggregate Stock Market Behavior; John Y. Campbell and John H. Cochrane; NBER working paper series working paper no. 4995; Cambridge: National Bureau of Economic Research, 1995.
http://www.nber.org/papers/W4995

What do the VARs Mean?: Measuring the Output Effects of Monetary Policy; John H. Cochrane; NBER Working Papers series no. 5154; Cambridge: National Bureau of Economic Research, 1995.
http://papers.nber.org/papers/5157

Shocks; John H. Cochrane; NBER working paper series no. 4698; Cambridge: National Bureau of Economic Research, 1994.
http://papers.nber.org/papers/4698

Asset Pricing Explorations for Macroeconomics; John H. Cochrane and Lars Peter Hansen; NBER working papers series working paper no. 4088; Cambridge: National Bureau of Economic Research, 1992.
http://papers.nber.org/papers/W4088

A Cross-Sectional Test of a Production-Based Asset Pricing Model; John H. Cochrane; NBER working papers series working paper no. 4025; Cambridge: National Bureau of Economic Research, 1992.
http://papers.nber.org/papers/4025

Stopping Inflation in Reforming Socialist Economies : Some Pleasant Socialist Arithmetic; John H. Cochrane and Barry William Ickes; Department of Economics Papers 12-90-1; University Park: Pennsylvania State University, 1991.

Volatility Tests and Efficient Markets : A Review Essay; John H. Cochrane; NBER working papers series working paper no. 3591; Cambridge: National Bureau of Economic Research, 1991.
http://papers.nber.org/papers/3591

Univariate vs. Multivariate Forecasts of GNP Growth and Stock Returns : Evidence and Implications for the Persistence of Shocks, Detrending Methods, and Tests of the Permanent Income Hypothesis; John H. Cochrane; NBER working paper series working paper no. 3427; Cambridge: National Bureau of Economic Research, 1990.
http://papers.nber.org/papers/3427

Explaining the Variance of Price Dividend Ratios; John H. Cochrane; NBER working paper series ; working paper no. 3157; Cambridge: National Bureau of Economic Research, 1989.
http://papers.nber.org/papers/3157

Using Production Based Asset Pricing to Explain the Behavior of Stock Returns over the Business Cycle; John H. Cochrane; NBER working paper series ; working paper no. 3212; Cambridge: National Bureau of Economic Research, 1989.
http://papers.nber.org/papers/3212

A Test of Consumption Insurance; John H. Cochrane; NBER working paper series ; working paper no. 2642; Cambridge: National Bureau of Economic Research, 1988.
http://papers.nber.org/papers/2642

Production Based Asset Pricing; John H. Cochrane; NBER working paper series ; working paper no. 2776; Cambridge: National Bureau of Economic Research, 1988.
http://papers.nber.org/papers/2776

The Sensitivity of Tests of the Intertemporal Allocation of Consumption to near-Rational Alternatives; John H. Cochrane; NBER working paper series ; working paper no. 2730; Cambridge: National Bureau of Economic Research, 1988.
http://papers.nber.org/papers/2730

Accessing Linked Articles  

Links to articles are, in most cases, to University of Chicago subscription databases. University of Chicago users who are off-campus will need to use IT Services' ProxyIt bookmarklet to authenticate themselves as authorized users. Vistors to our site may be able to get access through a local library; contact your local library for assistance.