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Information about:
James Hamilton

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Personal Details

First Name: James
Middle Name:
Last Name: Hamilton
Suffix:

RePEc Short-ID: pha60

Email:
Homepage: http://www.econ.ucsd.edu/~jhamilto/
Postal Address: Department of Economics, 0508 UCSD La Jolla, CA 92093-0508
Phone: 858-534-3383

Affiliation

(in no particular order)

Lists

This author is among the top 5% authors according to these criteria:
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Works

| Working papers | Articles | Chapters | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML, plain text, BibTeX, RIS (EndNote), ReDIF

Working papers

  1. James D. Hamilton, 2008. "Daily Monetary Policy Shocks and the Delayed Response of New Home Sales," NBER Working Papers 14223, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  2. James D. Hamilton, 2008. "Understanding Crude Oil Prices," NBER Working Papers 14492, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  3. James D. Hamilton, 2008. "Macroeconomics and ARCH," NBER Working Papers 14151, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  4. James D. Hamilton, 2007. "Assessing Monetary Policy Effects Using Daily Fed Funds Futures Contracts," NBER Working Papers 13569, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  5. James D. Hamilton, 2007. "Daily Changes in Fed Funds Futures Prices," NBER Working Papers 13112, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  6. Marcelle Chauvet & James D. Hamilton, 2005. "Dating Business Cycle Turning Points," NBER Working Papers 11422, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  7. James D. Hamilton, 2005. "What's Real About the Business Cycle?," NBER Working Papers 11161, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Published as:

  8. James D. Hamilton & Daniel F. Waggoner & Tao Zha, 2004. "Normalization in econometrics," Working Paper 2004-13, Federal Reserve Bank of Atlanta. [Downloadable!]
    Published as:

  9. Michael C. Davis & James D. Hamilton, 2003. "Why Are Prices Sticky? The Dynamics of Wholesale Gasoline Prices," NBER Working Papers 9741, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Published as:

  10. James D. Hamilton & Dong Heon Kim, 2000. "A Re-examination of the Predictability of Economic Activity Using the Yield Spread," NBER Working Papers 7954, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
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  11. James D. Hamilton, 2000. "What is an Oil Shock?," NBER Working Papers 7755, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  12. James D. Hamilton, 1999. "A Parametric Approach to Flexible Nonlinear Inference," University of California at San Diego, Economics Working Paper Series 99-03, Department of Economics, UC San Diego. [Downloadable!]
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  13. James D. Hamilton, 1997. "The Supply and Demand for Federal Reserve Deposits," University of California at San Diego, Economics Working Paper Series 97-27, Department of Economics, UC San Diego. [Downloadable!]
    Published as:

  14. James D. Hamilton & Josefina Monteagudo, 1997. "The Augmented Solow Model and the Productivity Slowdown," University of California at San Diego, Economics Working Paper Series 97-28, Department of Economics, UC San Diego. [Downloadable!]
    Published as:

  15. James D. Hamilton, 1996. "Measuring the Liquidity Effect," University of California at San Diego, Economics Working Paper Series 96-19, Department of Economics, UC San Diego.
    Other versions:
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  16. James D. Hamilton & Gang Lin, 1996. "Stock Market Volatility and The Business Cycle," University of California at San Diego, Economics Working Paper Series 96-18, Department of Economics, UC San Diego. [Downloadable!]
    Published as:

  17. James D. Hamilton, 1995. "This is what happened to the Oil Price-Macroeconomy Relationship," University of California at San Diego, Economics Working Paper Series 95-36, Department of Economics, UC San Diego.
    Published as:

  18. James D. Hamilton & Gabriel Perez-Quiros, 1995. "What do the Leading Indicators Lead?," University of California at San Diego, Economics Working Paper Series 95-22, Department of Economics, UC San Diego.
    Published as:

  19. James D. Hamilton, 1995. "Specification Testing in Markov-Switching Time Series Models," University of California at San Diego, Economics Working Paper Series 95-34, Department of Economics, UC San Diego.
    Published as:

  20. James D. Hamilton, 1995. "The Daily Market for Federal Funds," University of California at San Diego, Economics Working Paper Series 95-09, Department of Economics, UC San Diego.
    Published as:

  21. James D. Hamilton, 1994. "Rational Expectations and the Economic Consequences of Changes in Regime," University of California at San Diego, Economics Working Paper Series 94-24, Department of Economics, UC San Diego.

  22. James D. Hamilton, 1993. "State-Space Models," University of California at San Diego, Economics Working Paper Series 93-29, Department of Economics, UC San Diego.
    Published as:
    • Hamilton, James D., 1986. "State-space models," Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 50, pages 3039-3080 Elsevier. [Downloadable!] (restricted)

  23. James D. Hamilton & Raul Susmel, 1993. "Autoregressive Conditional Heteroskedasticity and Changes in Regime," University of California at San Diego, Economics Working Paper Series 93-28, Department of Economics, UC San Diego.
    Published as:

  24. Charles Engel & James D. Hamilton, 1989. "Long Swings in the Exchange Rate: Are they in the Data and Do Markets Know It?," NBER Working Papers 3165, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  25. James D. Hamilton & Marjorie A. Flavin, 1985. "On the Limitations of Government Borrowing: A Framework for Empirical Testing," NBER Working Papers 1632, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Published as:

  26. James D. Hamilton & Oscar Jorda, . "A model for the federal funds rate target," Department of Economics 99-07, California Davis - Department of Economics. [Downloadable!]
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    Published as:

Articles

  1. James D. Hamilton, 2008. "Assessing monetary policy effects using daily federal funds futures contracts," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 377-394. [Downloadable!]

  2. James D. Hamilton & Daniel F. Waggoner & Tao Zha, 2007. "Normalization in Econometrics," Econometric Reviews, Taylor and Francis Journals, vol. 26(2-4), pages 221-252. [Downloadable!] (restricted)
    Other versions:

  3. Hamilton, James D., 2007. "Inside The Economist'S Mind," Macroeconomic Dynamics, Cambridge University Press, vol. 12(01), pages 112-116, December. [Downloadable!]

  4. James D. Hamilton, 2005. "What's real about the business cycle?," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 435-452. [Downloadable!]
    Other versions:

  5. James Hamilton, 2005. "Comment on "Investigating Nonlinearity"," Studies in Nonlinear Dynamics & Econometrics, Berkeley Electronic Press, vol. 9(3), pages 1286-1286. [Downloadable!] (restricted)

  6. Davis, Michael C & Hamilton, James D, 2004. "Why Are Prices Sticky? The Dynamics of Wholesale Gasoline Prices," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 36(1), pages 17-37, February.
    Other versions:

  7. James Hamilton, 2004. "Regime shifts in a dynamic term structure model of U.S. Treasury bond yields, comments," Proceedings, Federal Reserve Bank of San Francisco, issue Mar. [Downloadable!]

  8. Hamilton, James D & Herrera, Ana Maria, 2004. "Oil Shocks and Aggregate Macroeconomic Behavior: The Role of Monetary Policy: Comment," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 36(2), pages 265-86, April.

  9. Hamilton, James D., 2003. "Comment on "A comparison of two business cycle dating methods"," Journal of Economic Dynamics and Control, Elsevier, vol. 27(9), pages 1691-1693, July. [Downloadable!] (restricted)

  10. Hamilton, James D., 2003. "What is an oil shock?," Journal of Econometrics, Elsevier, vol. 113(2), pages 363-398, April. [Downloadable!] (restricted)
    Other versions:

  11. Hamilton, James D., 2002. "On the interpretation of cointegration in the linear-quadratic inventory model," Journal of Economic Dynamics and Control, Elsevier, vol. 26(12), pages 2037-2049, October. [Downloadable!] (restricted)

  12. Hamilton, James D & Kim, Dong Heon, 2002. "A Reexamination of the Predictability of Economic Activity Using the Yield Spread," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 34(2), pages 340-60, May.
    Other versions:

  13. James D. Hamilton & Oscar Jorda, 2002. "A Model of the Federal Funds Rate Target," Journal of Political Economy, University of Chicago Press, vol. 110(5), pages 1135-1167, October. [Downloadable!] (restricted)
    Other versions:

  14. James D. Hamilton & Baldev Raj, 2002. "New directions in business cycle research and financial analysis," Empirical Economics, Springer, vol. 27(2), pages 149-162. [Downloadable!] (restricted)

  15. Hamilton, James D, 2001. "A Parametric Approach to Flexible Nonlinear Inference," Econometrica, Econometric Society, vol. 69(3), pages 537-73, May.
    Other versions:

  16. James Hamilton, 2000. "Book review," Econometric Reviews, Taylor and Francis Journals, vol. 19(1), pages 135-137. [Downloadable!] (restricted)

  17. Hamilton, James D. & Monteagudo, Josefina, 1998. "The augmented Solow model and the productivity slowdown," Journal of Monetary Economics, Elsevier, vol. 42(3), pages 495-509, October. [Downloadable!] (restricted)
    Other versions:

  18. Hamilton, James D., 1998. "The supply and demand for Federal Reserve deposits," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 49(1), pages 1-44, December. [Downloadable!] (restricted)
    Other versions:

  19. Hamilton, James D, 1997. "Comment on "U.S. Oil Consumption, Oil Prices, and the Macroeconomy."," Empirical Economics, Springer, vol. 22(1), pages 153-56.

  20. Hamilton, James D, 1997. "Measuring the Liquidity Effect," American Economic Review, American Economic Association, vol. 87(1), pages 80-97, March. [Downloadable!] (restricted)
    Other versions:

  21. Hamilton, James D., 1996. "This is what happened to the oil price-macroeconomy relationship," Journal of Monetary Economics, Elsevier, vol. 38(2), pages 215-220, October. [Downloadable!] (restricted)
    Other versions:

  22. Hamilton, James D & Gang, Lin, 1996. "Stock Market Volatility and the Business Cycle," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(5), pages 573-93, Sept.-Oct. [Downloadable!] (restricted)
    Other versions:

  23. Hamilton, James D., 1996. "Specification testing in Markov-switching time-series models," Journal of Econometrics, Elsevier, vol. 70(1), pages 127-157, January. [Downloadable!] (restricted)
    Other versions:

  24. Hamilton, James D, 1996. "The Daily Market for Federal Funds," Journal of Political Economy, University of Chicago Press, vol. 104(1), pages 26-56, February. [Downloadable!] (restricted)
    Other versions:

  25. Hamilton, James D & Perez-Quiros, Gabriel, 1996. "What Do the Leading Indicators Lead?," Journal of Business, University of Chicago Press, vol. 69(1), pages 27-49, January. [Downloadable!] (restricted)
    Other versions:

  26. Hamilton, James D. & Susmel, Raul, 1994. "Autoregressive conditional heteroskedasticity and changes in regime," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 307-333. [Downloadable!] (restricted)
    Other versions:

  27. Hamilton, James D, 1992. "Was the Deflation during the Great Depression Anticipated? Evidence from the Commodity Futures Market," American Economic Review, American Economic Association, vol. 82(1), pages 157-78, March. [Downloadable!] (restricted)

  28. Hamilton, James D, 1991. "The Sustainability of Budget Deficits with Lump-Sum and with Income-Based Taxation: Comment," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 23(3), pages 608-12, August. [Downloadable!] (restricted)

  29. Hamilton, James D, 1991. "A Quasi-Bayesian Approach to Estimating Parameters for Mixtures of Normal Distributions," Journal of Business & Economic Statistics, American Statistical Association, vol. 9(1), pages 27-39, January.

  30. Hamilton, James D, 1991. "The Quantitative Significance of the Lucas Critique: Comment," Journal of Business & Economic Statistics, American Statistical Association, vol. 9(4), pages 388-89, October.

  31. Hamilton, James D., 1990. "Analysis of time series subject to changes in regime," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 39-70. [Downloadable!] (restricted)

  32. Engel, Charles & Hamilton, James D, 1990. "Long Swings in the Dollar: Are They in the Data and Do Markets Know It?," American Economic Review, American Economic Association, vol. 80(4), pages 689-713, September. [Downloadable!] (restricted)

  33. Hamilton, James D., 1989. "The long-run behavior of the velocity of circulation : A review essay," Journal of Monetary Economics, Elsevier, vol. 23(2), pages 335-344, March. [Downloadable!] (restricted)

  34. Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-84, March. [Downloadable!] (restricted)

  35. Hamilton, James D, 1988. "Role of the International Gold Standard in Propagating the Great Depression," Contemporary Economic Policy, Oxford University Press, vol. 6(2), pages 67-89, April.

  36. Hamilton, James D., 1988. "Rational-expectations econometric analysis of changes in regime : An investigation of the term structure of interest rates," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 385-423. [Downloadable!] (restricted)

  37. Hamilton, James D, 1988. "A Neoclassical Model of Unemployment and the Business Cycle," Journal of Political Economy, University of Chicago Press, vol. 96(3), pages 593-617, June. [Downloadable!] (restricted)

  38. Hamilton, James D., 1988. "Are the macroeconomic effects of oil-price changes symmetric? : A comment," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 28(1), pages 369-378, January. [Downloadable!] (restricted)

  39. Hamilton, James D., 1987. "Monetary factors in the great depression," Journal of Monetary Economics, Elsevier, vol. 19(2), pages 145-169, March. [Downloadable!] (restricted)

  40. Burmeister, Edwin & Wall, Kent D & Hamilton, James D, 1986. "Estimation of Unobserved Expected Monthly Inflation Using Kalman Filtering," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(2), pages 147-60, April.

  41. Hamilton, James D & Flavin, Marjorie A, 1986. "On the Limitations of Government Borrowing: A Framework for EmpiricalTesting," American Economic Review, American Economic Association, vol. 76(4), pages 808-19, September. [Downloadable!] (restricted)
    Other versions:

  42. Hamilton, James D., 1986. "A standard error for the estimated state vector of a state-space model," Journal of Econometrics, Elsevier, vol. 33(3), pages 387-397, December. [Downloadable!] (restricted)

  43. Hamilton, James D, 1986. "On Testing for Self-fulfilling Speculative Price Bubbles," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 27(3), pages 545-52, October. [Downloadable!] (restricted)

  44. Hamilton, James D. & Whiteman, Charles H., 1985. "The observable implications of self-fulfilling expectations," Journal of Monetary Economics, Elsevier, vol. 16(3), pages 353-373, November. [Downloadable!] (restricted)

  45. Hamilton, James D, 1985. "Uncovering Financial Market Expectations of Inflation," Journal of Political Economy, University of Chicago Press, vol. 93(6), pages 1224-41, December. [Downloadable!] (restricted)

  46. Hamilton, James D, 1983. "Oil and the Macroeconomy since World War II," Journal of Political Economy, University of Chicago Press, vol. 91(2), pages 228-48, April. [Downloadable!] (restricted)

Chapters

  1. Hamilton, James D., 1986. "State-space models," Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 50, pages 3039-3080 Elsevier. [Downloadable!] (restricted)
    Other versions:

NEP Fields

10 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BEC: Business Economics (1) 2005-06-27
  2. NEP-CBA: Central Banking (3) 2007-05-26 2008-07-05 2008-08-21 Author is listed
  3. NEP-CMP: Computational Economics (1) 2005-06-27
  4. NEP-DGE: Dynamic General Equilibrium (1) 2005-03-06
  5. NEP-ECM: Econometrics (2) 2004-08-09 2008-07-05
  6. NEP-ENE: Energy Economics (1) 2000-07-03
  7. NEP-ETS: Econometric Time Series (4) 2000-07-03 2004-08-09 2005-06-27 2008-07-05 Author is listed
  8. NEP-HIS: Business, Economic & Financial History (1) 2000-07-03
  9. NEP-HPE: History & Philosophy of Economics (1) 2004-08-09
  10. NEP-MAC: Macroeconomics (6) 2005-03-06 2005-06-27 2007-05-26 2007-11-10 2008-07-05 2008-08-21 Author is listed
  11. NEP-MON: Monetary Economics (2) 2007-11-10 2008-08-21
  12. NEP-URE: Urban & Real Estate Economics (1) 2008-08-21
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This page was last updated on 2008-12-3.

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