John H. Cochrane

Senior Fellow
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Biography: 

John H. Cochrane is a senior fellow at the Hoover Institution. He is currently the AQR Capital Management Distinguished Service Professor of Finance at the University of Chicago’s Booth School of Business. He is also a research associate of the National Bureau of Economic Research and an adjunct scholar of the CATO Institute.

Before joining the Booth School in 1994, Cochrane was at the Economics Department of the University of Chicago. Cochrane earned a bachelor’s degree in physics at MIT and his PhD in economics at the University of California at Berkeley. He was a junior staff economist on the Council of Economic Advisers (1982–83).

Cochrane’s recent publications include the book Asset Pricing and articles on dynamics in stock and bond markets, the volatility of exchange rates, the term structure of interest rates, the returns to venture capital, liquidity premiums in stock prices, the relation between stock prices and business cycles, and option pricing when investors can’t perfectly hedge. His monetary economics publications include articles on the relationship between deficits and inflation, the effects of monetary policy, and the fiscal theory of the price level. He has also written articles on macroeconomics, health insurance, time-series econometrics, financial regulation, and other topics. He was a coauthor of The Squam Lake Report.

Cochrane frequently contributes editorial opinion essays to the Wall Street Journal, Bloomberg.com, and other publications. He maintains the Grumpy Economist blog.

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Recent Commentary

Blogs

Unit Roots In English And Pictures

by John H. Cochrane via Grumpy Economist
Monday, April 27, 2015

The "unit root" is most plausible and verified in the data for log GDP. Recessions and expansions have a lot of transitory component that will come back. But there are permanent movements too. Unemployment, being a ratio, strikes me as one that eventually must come back. But it can take a longer time than we usually think, which is interesting.

Blogs

Unit Roots, Redux

by John H. Cochrane via Grumpy Economist
Friday, April 24, 2015

Log GDP has both random walk and stationary components. Consumption is a pretty good indicator of the random walk component. This is also what the standard stochastic growth model predicts: a random walk technology shock induces a random walk component in output but there are transitory dynamics around that value.

Featured Commentary

The Right To Herd

by John H. Cochrane via Grumpy Economist
Wednesday, April 22, 2015

Who are these traders who respond to spoofing orders by placing their own orders? Why is it a crucial goal of law and public policy to prevent Mr. Sarao from plucking their pockets?

Keynesians in Retreat

by John H. Cochrane via Hoover Digest
Monday, April 20, 2015

They’ve been too wrong for far too long.

Blogs

Consumption-Based Model And Value Premium

by John H. Cochrane via Grumpy Economist
Monday, April 20, 2015

Sure, the consumption-based model won't work at a 5 minute interval. But is there some essence of truth in it, that stocks which fall more in business cycles, as measured by consumption, must pay a higher rate of return?

Dishonest Demands

by John H. Cochrane via Hoover Digest
Monday, April 20, 2015

The “inequality warriors” don’t really care about enhancing the nation’s prosperity. What they really want is power.

Blogs

Macro Handbook 2

by John H. Cochrane via Grumpy Economist
Friday, April 17, 2015

Last week I attended the first half of the conference on the Handbook of Macroeconomics Volume 2, organized by John Taylor and Harald Uhlig, held at Hoover. The conference program and most of the papers are here.

Blogs

Banking At The IRS

by John H. Cochrane via Grumpy Economist
Thursday, April 16, 2015

A while ago in two blog posts here and here I suggested many ways other than currency to get a zero interest rate if the government tries to lower rates below zero.

Athens, Greece
Featured Commentary

Gdefault Needs Not Grexit

by John H. Cochrane via Grumpy Economist
Wednesday, April 15, 2015

The little grumpy cartoon usually represents me pounding my coffee down in agreement as the WSJ exposes some idiocy. Last week, alas, I spilled my grumpy coffee in disagreement with a little part of its otherwise excellent  "The case for letting Greece go."

Blogs

Blanchard On Countours Of Policy

by John H. Cochrane via Grumpy Economist
Tuesday, April 14, 2015

Olivier Blanchard, (IMF research director) has a thoughtful blog post, Contours of Macroeconomic Policy in the Future. In part it's background for the IMF's upcoming conference with the charming title Rethinking Macro Policy III: Progress or Confusion?” (You can guess my choice.)

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Current Online Courses

Asset Pricing, Part 1, via Coursera and the University of Chicago

This course is part one of a two-part introductory survey of graduate-level academic asset pricing. We will focus on building the intuition and deep understanding of how the theory works, how to use it, and how to connect it to empirical facts. This first part builds the basic theoretical and empirical tools around some classic facts. The second part delves more deeply into applications and empirical evaluation. Learn more. . .