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Stepping on a Rake : The Fiscal Theory of Monetary Policy
Cochrane, John H. - 2016
The fiscal theory of the price level can describe monetary policy. Governments can set interest rate targets and …
Persistent link: https://www.econbiz.de/10012976990
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Two Trees : Asset Price Dynamics Induced by Market Clearing
Cochrane, John H. - 2010
If stocks go up, investors may want to rebalance their portfolios. But investors cannot all rebalance. Expected returns may need to change so that the average investor is still happy to hold the market portfolio despite its changed composition. In this way, simple market clearing can give rise...
Persistent link: https://www.econbiz.de/10012762707
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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/10013044987
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A Mean-Variance Benchmark for Intertemporal Portfolio Theory
Cochrane, John H. - 2013
Mean-variance portfolio theory can apply to the streams of payoffs such as dividends following an initial investment … an indexed perpetuity - the risk-free payoff - and a long-run mean-variance efficient payoff. "Long-run" moments sum over …
Persistent link: https://www.econbiz.de/10013087433
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Can Learnability Save New-Keynesian Models?
Cochrane, John H. - 2010
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/10013150432
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Long-Term Debt and Optimal Policy in the Fiscal Theory of the Price Level
Cochrane, John H. - 2021
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/10013220940
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International Risk Sharing is Better than You Think (or Exchange Rates are Much Too Smooth)
Brandt, Michael W.; Cochrane, John H.; Santa-Clara, Pedro - 2021
risk sharing is better than you think. Conversely, if risks really are not shared internationally, exchange rates should … vary more than they do -- exchange rates are much too smooth. We calculate an index of international risk sharing that … formalizes this intuition in the context of both complete and incomplete capital markets. Our results suggest that risk sharing …
Persistent link: https://www.econbiz.de/10013222977
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A Fiscal Theory of Monetary Policy with Partially-Repaid Long-Term Debt
Cochrane, John H. - 2022
I construct a simple model with sticky prices and interest rate targets, closed by fiscal theory of the price level …
Persistent link: https://www.econbiz.de/10013314319