John H. Cochrane

John H. Cochrane
Born26 November 1957 (1957-11-26) (age 64)
Chicago, Illinois, U.S.
InstitutionUniversity of Chicago Booth School of Business
FieldFinancial economics, Macroeconomics
Alma materMassachusetts Institute of Technology (B.S.)
University of California, Berkeley (Ph.D.)
Information at IDEAS / RePEc

John Howland Cochrane (/ˈkɒkrən/; born 26 November 1957) is an American economist specializing in financial economics and macroeconomics. Formerly a professor of economics and finance at the University of Chicago, Cochrane serves as the Rose-Marie and Jack Anderson Senior Fellow at the Hoover Institution at Stanford University.

Life and career

Cochrane was born in Chicago. He attended the Massachusetts Institute of Technology and graduated in 1979 with a Bachelor of Science in physics. He then did graduate study in economics at the University of California, Berkeley, and received a Ph.D. in 1986. He worked as a junior economist on the Council of Economic Advisers from 1982 to 1983. Cochrane was hired by the University of Chicago economics department in 1986 and moved to the business school in 1993. Prior to joining the Hoover Institution, he was the AQR Capital Management Distinguished Service Professor of Finance at the University of Chicago Booth School of Business.

Cochrane has served as head of the National Bureau of Economic Research asset pricing group, and was the editor of the Journal of Political Economy from 1998 to 2003. He was elected Fellow of the Econometric Society in 2001, served as vice-president of the American Finance Association in 2008, and was elected president of this learned society for the 2010 term.

Main contributions

The central idea of Cochrane's research is that macroeconomics and finance should be linked, and a comprehensive theory needs to explain both of the following:

  • how, given the observed prices and financial returns, households and firms decide on consumption, investment, and financing.
  • how, in equilibrium, prices and financial returns are determined by households and firms decisions.

That is a standard general equilibrium logic, but many financial economists do not view it as a priority and prefer to explain prices without an ultimate reference to choices of households and firms. Similarly, many macroeconomists choose not to worry about asset prices.

In this vein, Cochrane's work has been to document some empirical patterns and offer some potential explanations. His 1999 Journal of Political Economy, with John Y. Campbell, develops a representative agent model with nonlinear habits that matches the high and volatile risk premium on stocks, the predictability of stock returns, etc.[1] In several articles (1991 The Journal of Finance, 1996 Journal of Political Economy), he develops and tests a "production-based asset pricing model" based on the q-theory of investment.[2][3]

In two 1992 articles, Cochrane emphasized some features of asset prices which are difficult to account for, such as the predictability of equity returns, and the longterm equity premium.[4][5] His more recent work, with Monika Piazzesi, studies bond markets. In particular, in a number of papers, Cochrane and Piazzesi study the predictability of bond returns. In recent blog posts and comments, Cochrane tends to focus more on inflation, debt, and the financial impacts brought by COVID-19. In a 2021 post called "Inflation, debt, politics, and insurance at Project Syndicate", Cochrane thinks that whether inflation surge is transitory or continuous or not depends on the central banks and government. If the government don't respond to inflation with joint fiscal and monetary stabilization policies, inflation will most likely erupt and the economy will be in the shadow of debt and slow economic growth.

기타기여금

코크란은 자산시장, 금융위기 및 규제, 통화재정정책, 건강보험 등 다양한 경제 분야에 관심이 있다. 코크란은 물가수준의 재정 이론,[6] 거시경제 변동의 영구적 충격과 일시적 충격의 논쟁,[7] 근친상간 행동의 비용에 대해 연구해 왔다.[8] 코크란은 또한 "자산가격결정"이라는 온라인 강좌를 개발했는데, 이 분야에 대해 더 많은 것을 배우고자 하는 사람이라면 누구나 무료로 개방할 수 있다. 캔버스를 통해 등록함으로써 자산가격에 대해 더 많은 것을 배우고자 하는 학생과 교직원이 이 수업을 듣고 관련 퀴즈와 시험을 완성할 수 있는 기회를 갖게 된다. 이 과정에 대한 자세한 내용은 그의 개인 웹사이트(https://www.johnhcochrane.com/asset-pricing)에서 확인할 수 있다.

자산 가격 책정

코크란은 자산가격에 관한 대학원 과정에서 널리 사용되는 교과서인 [9]자산가격 책정의 저자다. 그의 말에 따르면, 이 책의 조직 원리는 모든 것이 하나의 방정식인 기본 가격 방정식의 전문화로 거슬러 올라갈 수 있다는 것이다.[10] 코크란은 TIAA-CREF 연구소의 폴 A를 받았다. 이 책에 대한 새뮤얼슨상.

언론출연

2008년 이후 코크란은 금융위기 논의에 기여하면서 언론에 더욱 광범위하게 등장했다. 그의 블로그 '그럼피 이코노미스트'에는 유머러스한 관점에서 뉴스, 뷰, 코멘트가 잇따라 실려 있다. 폴 크루그먼은 자신의 블로그와 뉴욕타임스 매거진 기사에서 존 코크란이 자신의 웹사이트에 답변을 쓰도록 [13]유도하며 자신의 견해를 거듭 비판했다.[14]

수상

사생활

코크란의 아버지는 시카고 대학의 역사학자였다. 코크란은 유명한 금융 경제학자 유진 파마의 딸이자 어린이 책 작가인 엘리자베스 파마와 결혼했다. 그들은 네 명의 아이들이 있고 하이드 파크에 산다.[16][17]

Cochrane is also a noted sailplane pilot who flies an ASW 27 with the callsign BB. He was a member of the US Team at the 2010 World Gliding Championships in Hungary.[18]

References

  1. ^ Campbell, John Y. and Cochrane, John H. "By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior" Journal of Political Economy, 107, 205–251 (April 1999).
  2. ^ Cochrane, John H. "Production-Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations." Journal of Finance 46 (1) (March 1991) 209–237.
  3. ^ Cochrane, John H. "A Cross-Sectional Test of an Investment-Based Asset Pricing Model" Journal of Political Economy, 104 (June 1996).
  4. ^ Cochrane, John H. and Lars Peter Hansen, "Asset Pricing Explorations for Macroeconomics",1992 NBER Macroeconomics Annual 115–165.
  5. ^ Cochrane, John H. "Explaining the Variance of Price-Dividend Ratios" Review of Financial Studies (1992) 5:2, 243–280
  6. ^ Cochrane, John H., "Long term debt and optimal policy in the fiscal theory of the price level" Econometrica 69, 69–116 (2001).
  7. ^ Cochrane, John H., "Permanent and Transitory Components of GNP and Stock Prices", Quarterly Journal of Economics 109(1) (February 1994) 241–266.
  8. ^ Cochrane, John H. "The Sensitivity of Tests of the Intertemporal Allocation of Consumption to Near-Rational Alternatives" American Economic Review 79 (June 1989) 319–337.
  9. ^ Cochrane, John H., Asset Pricing, Princeton University Press, 2001.
  10. ^ Cochrane, John H., Asset Pricing, Princeton University Press, 2001, p. xvii
  11. ^ Krugman, Paul, "A Dark Age of macroeconomics (wonkish)", January 27, 2009.
  12. ^ Krugman, Paul, "Brad DeLong’s Foolishness", February 23, 2010.
  13. ^ Krugman, Paul, "How Did Economists Get It So Wrong?", New York Times Magazine, September 2, 2009.
  14. ^ Cochrane, John H., "How did Paul Krugman get it so Wrong?", September 16, 2009.
  15. ^ Interview given to Neue Zuercher Zeitung, May 26, 2014, p. 17
  16. ^ Short Bio on Cochrane's webpage[permanent dead link], accessed on 2009-10-20.
  17. ^ "John H. Cochrane". The Free Library. National Bureau of Economic Research, Inc. 2000. Retrieved 2021-09-30.
  18. ^ http://www.flatlandcup.hu/2010/csapatok.php

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