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Cochrane, John H. - 1998

Financial innovation challenges the foundations of monetary theory, and standard monetary theory has not been very … U.S. inflation using a framework that ignores monetary frictions? The fiscal theory of the price level allows us to … nominal government debt with the present value of surpluses. I describe the theory, and I argue that it is a return to pre …

Persistent link: https://www.econbiz.de/10012472164

Expectations and the Neutrality of Interest Rates

Cochrane, John H. - National Bureau of Economic Research - 2022

We finally have a complete theory of inflation under interest rate targets, that mirrors the long-run neutrality and … frictionless limit of monetary theory: Inflation can be stable and determinate under interest rate targets, including a k percent …

Persistent link: https://www.econbiz.de/10013388824

Inflation Past, Present and Future : Fiscal Shocks, Fed Response, and Fiscal Limits

Cochrane, John H. - National Bureau of Economic Research - 2022

Our current inflation stemmed from a fiscal shock. The Fed is slow to react. Why? Will the Fed's slow reaction spur more inflation? I write a simple model that encompasses the Fed's mild projections and its slow reaction, and traditional views that inflation will surge without swift rate rises....

Persistent link: https://www.econbiz.de/10013210124

Monetary Policy with Interest on Reserves

Cochrane, John H. - 2014

determine inflation in this regime, so I base the analysis on the fiscal theory of the price level. I find that monetary policy …

Persistent link: https://www.econbiz.de/10012458052

Can Learnability Save New-Keynesian Models?

Cochrane, John H. - 2009

Bennett McCallum (2009), applying Evans and Honkapohja's (2001) results, argues that "learnability" can save New-Keynesian models from their indeterminacies. He claims the unique bounded equilibrium is learnable, and the explosive equilibria are not. However, he assumes that agents can directly...

Persistent link: https://www.econbiz.de/10012463190

Long-term Debt and Optimal Policy in the Fiscal Theory of the Price Level

Cochrane, John H. - 1998

The fiscal theory says that the price level is determined by the ratio of nominal debt to the present value of real … primary surpluses. I analyze long-term debt and optimal policy in the fiscal theory. I find that the maturity structure of the …

Persistent link: https://www.econbiz.de/10012472043

Beyond Arbitrage : "Good-Deal" Asset Price Bounds in Incomplete Markets

Cochrane, John H. - 1996

It is often useful to price assets and other random payoffs by reference to other observed prices rather than construct full-fledged economic asset pricing models. This approach breaks down if one cannot find a perfect replicating portfolio. We impose weak economic restrictions to derive...

Persistent link: https://www.econbiz.de/10012473370

By Force of Habit : A Consumption-Based Explanation of Aggregate Stock Market Behavior

Campbell, John Y. - 1995

We present a consumption-based model that explains the procyclical variation of stock prices, the long-horizon predictability of excess stock returns, and the countercyclical variation of stock market volatility. Our model has an i.i.d. consumption growth driving process, and adds a slow-moving...

Persistent link: https://www.econbiz.de/10012473903

Volatility Tests and Efficient Markets : A Review Essay

Cochrane, John H. - 1991

This essay examines what volatility tests tell us about the data and what implications we should derive from them. It argues that volatility tests do not tell us that "prices are too volatile", implying that "markets are inefficient", but rather that "(discounted) returns are forecastable",...

Persistent link: https://www.econbiz.de/10012475429

Explaining the Variance of Price Dividend Ratios

Cochrane, John H. - 1989

This paper presents a bound on the variance of the price-dividend ratio and a decomposition of the variance of the price-dividend ratio into components that reflect variation in expected future discount rates and variation in expected future dividend growth. Unobserved discount rates needed to...

Persistent link: https://www.econbiz.de/10012475884