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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 debt matters. For example, it determines whether news...
Persistent link: https://www.econbiz.de/10013220940
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2
Money as Stock : Price Level Determination with No Money Demand
Cochrane, John H.
-
2021
I show that a determinate, finite price level can be achieved in an economy with no monetary frictions, and no commodity standard or other explicit redemption commitment. I make one small modification to a standard cash in advance model: I reopen the security market at the end of the day. With...
Persistent link: https://www.econbiz.de/10013221860
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3
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
Exchange rates depreciate by the difference between the domestic and foreign marginal utility growths. Exchange rates vary a lot , as much as 10% per year. However, equity premia imply that marginal utility growths vary much more, by at least 50% per year. This means that marginal utility...
Persistent link: https://www.econbiz.de/10013222977
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4
Univariate vs. Multivariate Forecasts of Gnp Growth and Stock Returns : Evidence and Implications for the Persistence of Shocks, Detrending Methods
Cochrane, John H.
-
2021
Lagged GNP growth rates are poor forecasts of future GNP growth rates in postwar US data, leading to the impression that GNP is nearly a random walk. However, other variables, and especially the lagged consumption/GNP ratio, do forecast long-horizon GNP growth, and show that GNP has temporary...
Persistent link: https://www.econbiz.de/10013228027
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5
A Test of Consumption Insurance
Cochrane, John H.
-
2021
Are individuals effectively insured against idiosyncratic shocks to income or wealth by either formal or informal mechanisms? This paper shows that under perfect insurance, marginal utility should grow at the same rate for all consumers, and that the distribution of measured consumption growth...
Persistent link: https://www.econbiz.de/10013238724
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6
Understanding Policy in the Great Recession : Some Unpleasant Fiscal Arithmetic
Cochrane, John H.
-
2010
I use the valuation equation of government debt to understand fiscal and monetary policy in and following the great recession of 2008-2009, to think about fiscal pressures on US inflation, and what sequence of events might surround such an inflation. I emphasize that a fiscal inflation can come...
Persistent link: https://www.econbiz.de/10013142092
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7
Continuous-Time Linear Models
Cochrane, John H.
-
2012
I translate familiar concepts of discrete-time time-series to contnuous-time equivalent. I cover lag operators, ARMA models, the relation between levels and differences, integration and cointegration, and the Hansen-Sargent prediction formulas
Persistent link: https://www.econbiz.de/10013104725
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8
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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9
Finance : Function Matters, Not Size
Cochrane, John H.
-
2013
I address the controversy over whether the financial services industry is "too big." We should be asking whether the finance industry is functioning properly instead. The facts suggest that demand for financial services increased, perhaps temporarily, rather than suggesting a changing distortion...
Persistent link: https://www.econbiz.de/10013083800
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10
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, in place of one-period returns. This description is especially useful when returns are not independent over time and investors have non-marketed income. Investors hedge their...
Persistent link: https://www.econbiz.de/10013087433
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