James D. Hamilton

University of California at San Diego

Professor

9500 Gilman Drive

Mail code: 0508

La Jolla, CA 92093-0508

United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

51

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4,680

CITATIONS
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571

Scholarly Papers (51)

1.
Downloads 637 ( 39,985)
Citation 45

A Model for the Federal Funds Rate Target

UC Davis Working Paper No. 99-07
Number of pages: 44 Posted: 09 Nov 1999
James D. Hamilton and Oscar Jorda
University of California at San Diego and University of California, Davis - Department of Economics
Downloads 582 (44,470)

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A Model for the Federal Funds Rate Target

NBER Working Paper No. w7847
Number of pages: 50 Posted: 15 Aug 2000 Last Revised: 23 Sep 2002
James D. Hamilton and Oscar Jorda
University of California at San Diego and University of California, Davis - Department of Economics
Downloads 55 (373,328)
Citation 73

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2.

Understanding Crude Oil Prices

NBER Working Paper No. w14492
Number of pages: 46 Posted: 17 Nov 2008 Last Revised: 08 Aug 2010
James D. Hamilton
University of California at San Diego
Downloads 510 (53,336)
Citation 153

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The Augmented Solow Model and the Productivity Slowdown

UCSD Economics Discussion Paper 97-28
Number of pages: 24 Posted: 17 Apr 1998
James D. Hamilton and Josefa Monteagudo
University of California at San Diego and Autonomous University of Barcelona - Department of Economics and Economic History
Downloads 412 (68,751)
Citation 8

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The Augmented Solow Model and the Productivity Slowdown

Journal of Monetary Economics
Posted: 09 Jul 1998
James D. Hamilton and Josefa Monteagudo
University of California at San Diego and Autonomous University of Barcelona - Department of Economics and Economic History

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A Re-Examination of the Predictability of Economic Activity Using the Yield Spread

UCSD Economics Discussion Paper 2000-23
Number of pages: 38 Posted: 04 Jan 2001
James D. Hamilton and Dong Heon Kim
University of California at San Diego and School of Economic Studies
Downloads 228 (131,990)
Citation 105

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Term Structure, Business Cycles, Yield Spread

A Re-Examination of the Predictability of Economic Activity Using the Yield Spread

NBER Working Paper No. w7954
Number of pages: 36 Posted: 12 Oct 2000 Last Revised: 19 Oct 2010
James D. Hamilton and Dong Heon Kim
University of California at San Diego and School of Economic Studies
Downloads 50 (390,145)

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5.
Downloads 243 (124,248)
Citation 7

Robust Bond Risk Premia

Number of pages: 62 Posted: 29 Sep 2015 Last Revised: 26 Jan 2017
Michael D. Bauer and James D. Hamilton
Federal Reserve Bank of San Francisco and University of California at San Diego
Downloads 120 (231,315)

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yield curve, spanning, return predictability, robust inference, bootstrap

Robust Bond Risk Premia

CESifo Working Paper Series No. 5541
Number of pages: 59 Posted: 06 Nov 2015
Michael D. Bauer and James D. Hamilton
Federal Reserve Bank of San Francisco and University of California at San Diego
Downloads 104 (256,685)

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yield curve, spanning, bond returns, small-sample bias, robust inference

Robust Bond Risk Premia

NBER Working Paper No. w23480
Number of pages: 63 Posted: 05 Jun 2017
Michael D. Bauer and James D. Hamilton
Federal Reserve Bank of San Francisco and University of California at San Diego
Downloads 19 (539,591)
Citation 6

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6.

The Supply and Demand for Federal Reserve Deposits

UCSD Economics Discussion Paper 97-27
Number of pages: 55 Posted: 21 Jan 1998
James D. Hamilton
University of California at San Diego
Downloads 215 (140,136)
Citation 5

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Effects of Index-Fund Investing on Commodity Futures Prices

Chicago Booth Research Paper No. 13-73
Number of pages: 43 Posted: 06 Sep 2013 Last Revised: 22 Jul 2014
James D. Hamilton and Jing Cynthia Wu
University of California at San Diego and University of Notre Dame - Department of Economics
Downloads 185 (161,092)
Citation 3

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Effects of Index-Fund Investing on Commodity Futures Prices

NBER Working Paper No. w19892
Number of pages: 43 Posted: 11 Feb 2014
James D. Hamilton and Jing Cynthia Wu
University of California at San Diego and University of Notre Dame - Department of Economics
Downloads 18 (546,033)
Citation 36

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Effects of Index‐Fund Investing on Commodity Futures Prices

International Economic Review, Vol. 56, Issue 1, pp. 187-205, 2015
Number of pages: 19 Posted: 24 Jan 2015
James D. Hamilton and Jing Cynthia Wu
University of California at San Diego and University of California
Downloads 0
Citation 2
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8.

What is an Oil Shock?

NBER Working Paper No. w7755
Number of pages: 59 Posted: 19 Jul 2000 Last Revised: 21 Mar 2014
James D. Hamilton
University of California at San Diego
Downloads 199 (150,615)

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Identification and Estimation of Gaussian Affine Term Structure Models

Journal of Econometrics, Vol. 168 , No. 2, 2012, Chicago Booth Research Paper No. 13-71
Number of pages: 69 Posted: 10 Aug 2011 Last Revised: 25 Sep 2013
James D. Hamilton and Jing Cynthia Wu
University of California at San Diego and University of Notre Dame - Department of Economics
Downloads 169 (174,782)

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affine term structure models, identification, estimation, minimum-chi-square

Identification and Estimation of Gaussian Affine Term Structure Models

NBER Working Paper No. w17772
Number of pages: 69 Posted: 21 Jan 2012
James D. Hamilton and Jing Cynthia Wu
University of California at San Diego and University of Notre Dame - Department of Economics
Downloads 13 (578,615)
Citation 52

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10.
Downloads 164 (179,196)
Citation 24

Risk Premia in Crude Oil Futures Prices

Journal of International Money and Finance, Forthcoming, Chicago Booth Research Paper No. 13-70
Number of pages: 64 Posted: 06 Sep 2013 Last Revised: 25 Sep 2013
James D. Hamilton and Jing Cynthia Wu
University of California at San Diego and University of Notre Dame - Department of Economics
Downloads 154 (189,367)
Citation 2

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Risk Premia in Crude Oil Futures Prices

NBER Working Paper No. w19056
Number of pages: 64 Posted: 18 May 2013
James D. Hamilton and Jing Cynthia Wu
University of California at San Diego and University of Notre Dame - Department of Economics
Downloads 10 (598,984)
Citation 60

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11.

Normalization in Econometrics

FRB of Atlanta Working Paper No. 2004-13
Number of pages: 69 Posted: 22 Aug 2004
James D. Hamilton, Daniel F. Waggoner and Tao A. Zha
University of California at San Diego, Federal Reserve Bank of Atlanta and Federal Reserve Bank of Atlanta
Downloads 162 (181,002)
Citation 25

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Normalization, mixture distributions, vector autoregressions, cointegration, regime switching, numerical Bayesian methods, small sample distributions, weak identification

12.

Historical Oil Shocks

NBER Working Paper No. w16790
Number of pages: 52 Posted: 28 Feb 2011 Last Revised: 21 Mar 2014
James D. Hamilton
University of California at San Diego
Downloads 145 (198,619)
Citation 7

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13.
Downloads 126 (222,033)
Citation 444

Causes and Consequences of the Oil Shock of 2007-08

NBER Working Paper No. w15002
Number of pages: 71 Posted: 01 Jun 2009 Last Revised: 06 Aug 2014
James D. Hamilton
University of California at San Diego
Downloads 83 (297,591)

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Causes and Consequences of the Oil Shock of 2007-08

FRB Atlanta CQER Working Paper No. 09-02
Number of pages: 71 Posted: 22 Mar 2015
James D. Hamilton
University of California at San Diego
Downloads 43 (416,249)
Citation 510

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oil shocks, oil prices, recession

14.
Downloads 124 (224,723)
Citation 43

The Propagation of Regional Recessions

FRB of St. Louis Working Paper No. 2009-013B
Number of pages: 35 Posted: 02 Apr 2009 Last Revised: 06 Oct 2010
James D. Hamilton and Michael Owyang
University of California at San Diego and Federal Reserve Bank of St. Louis - Research Division
Downloads 102 (260,221)
Citation 46

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recession, regional business cycles, Markov-switching

The Propagation of Regional Recessions

NBER Working Paper No. w16657
Number of pages: 35 Posted: 06 Jan 2011
James D. Hamilton and Michael Owyang
University of California at San Diego and Federal Reserve Bank of St. Louis - Research Division
Downloads 22 (520,363)

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15.

Dating Business Cycle Turning Points

NBER Working Paper No. w11422
Number of pages: 72 Posted: 06 Jul 2005 Last Revised: 18 Sep 2010
Marcelle Chauvet and James D. Hamilton
University of California Riverside and University of California at San Diego
Downloads 87 (286,469)
Citation 21

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The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment

Journal of Money, Credit, and Banking, Vol. 44, No. s1, 2012, Chicago Booth Research Paper No. 13-68
Number of pages: 76 Posted: 12 May 2011 Last Revised: 13 Oct 2016
James D. Hamilton and Jing Cynthia Wu
University of California at San Diego and University of Notre Dame - Department of Economics
Downloads 61 (354,406)
Citation 192

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The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment

NBER Working Paper No. w16956
Number of pages: 75 Posted: 18 Apr 2011
James D. Hamilton and Jing Cynthia Wu
University of California at San Diego and University of Notre Dame - Department of Economics
Downloads 20 (532,976)

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17.
Downloads 73 (317,979)
Citation 20

Testable Implications of Affine Term Structure Models

Journal of Econometrics, Forthcoming, Chicago Booth Research Paper No. 13-69
Number of pages: 34 Posted: 12 May 2011 Last Revised: 25 Sep 2013
James D. Hamilton and Jing Cynthia Wu
University of California at San Diego and University of Notre Dame - Department of Economics
Downloads 57 (366,802)
Citation 23

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Testable Implications of Affine Term Structure Models

NBER Working Paper No. w16931
Number of pages: 45 Posted: 11 Apr 2011
James D. Hamilton and Jing Cynthia Wu
University of California at San Diego and University of Notre Dame - Department of Economics
Downloads 16 (558,811)

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18.

Nonlinearities and the Macroeconomic Effects of Oil Prices

NBER Working Paper No. w16186
Number of pages: 24 Posted: 19 Jul 2010
James D. Hamilton
University of California at San Diego
Downloads 55 (367,592)
Citation 55

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19.

On the Limitations of Government Borrowing: a Framework for Empirical Testing

NBER Working Paper No. w1632
Number of pages: 32 Posted: 19 Jun 2004
James D. Hamilton and Marjorie Flavin
University of California at San Diego and University of California at San Diego
Downloads 53 (373,795)
Citation 128

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20.

Oil Prices, Exhaustible Resources, and Economic Growth

NBER Working Paper No. w17759
Number of pages: 64 Posted: 21 Jan 2012 Last Revised: 24 Jan 2012
James D. Hamilton
University of California at San Diego
Downloads 48 (390,484)
Citation 15

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21.
Downloads 47 (393,878)
Citation 4

Heterogeneity and Unemployment Dynamics

FEDS Working Paper No. 2016-12
Number of pages: 64 Posted: 23 Feb 2016 Last Revised: 21 Feb 2019
Hie Joo Ahn and James D. Hamilton
Board of Governors of the Federal Reserve System and University of California at San Diego
Downloads 41 (424,059)
Citation 5

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Business cycles, Great Recession, Unemployment duration, Unobserved heterogeneity, Duration dependence, State space model, Extended Kalman filter

Heterogeneity and Unemployment Dynamics

NBER Working Paper No. w22451
Number of pages: 63 Posted: 25 Jul 2016
Hie Joo Ahn and James D. Hamilton
Board of Governors of the Federal Reserve System and University of California at San Diego
Downloads 6 (626,650)

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22.

Long Swings in the Exchange Rate: are They in the Data and Do Markets Know it?

NBER Working Paper No. w3165
Number of pages: 56 Posted: 09 Jun 2004 Last Revised: 27 Aug 2010
Charles M. Engel and James D. Hamilton
University of Wisconsin - Madison - Department of Economics and University of California at San Diego
Downloads 46 (397,350)
Citation 153

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23.

What's Real About the Business Cycle?

NBER Working Paper No. w11161
Number of pages: 45 Posted: 29 Mar 2005 Last Revised: 02 Jul 2010
James D. Hamilton
University of California at San Diego
Downloads 44 (404,434)
Citation 16

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24.

The Changing Face of World Oil Markets

NBER Working Paper No. w20355
Number of pages: 33 Posted: 04 Aug 2014
James D. Hamilton
University of California at San Diego
Downloads 43 (408,184)
Citation 2

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25.

Why You Should Never Use the Hodrick-Prescott Filter

NBER Working Paper No. w23429
Number of pages: 47 Posted: 24 May 2017
James D. Hamilton
University of California at San Diego
Downloads 42 (411,812)
Citation 53

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26.

Why are Prices Sticky? The Dynamics of Wholesale Gasoline Prices

NBER Working Paper No. w9741
Number of pages: 39 Posted: 07 Jun 2003 Last Revised: 03 Nov 2010
Michael C. Davis and James D. Hamilton
Missouri University of Science and Technology - Department of Economics and University of California at San Diego
Downloads 41 (415,463)
Citation 42

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27.

Crunch Time: Fiscal Crises and the Role of Monetary Policy

NBER Working Paper No. w19297
Number of pages: 94 Posted: 10 Aug 2013
Morgan Stanley, University of California at San Diego, Deutsche Bank Securities, Inc. - Global Markets Research, Economy and Columbia Business School - Finance and Economics
Downloads 35 (439,540)
Citation 4

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28.

The Market-Perceived Monetary Policy Rule

FRB International Finance Discussion Paper No. 982
Number of pages: 36 Posted: 17 Nov 2009
James D. Hamilton, Seth Pruitt and Scott C. Borger
University of California at San Diego, Arizona State University (ASU) - Finance Department and Department of Homeland Security - Office of Immigration Statistics
Downloads 35 (439,540)
Citation 4

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Monetary policy rule, market perceptions, Taylor Rule, Fed funds futures

29.

Macroeconomic Regimes and Regime Shifts

NBER Working Paper No. w21863
Number of pages: 70 Posted: 12 Jan 2016
James D. Hamilton
University of California at San Diego
Downloads 33 (447,909)
Citation 8

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30.

Off-Balance-Sheet Federal Liabilities

NBER Working Paper No. w19253
Number of pages: 53 Posted: 27 Jul 2013
James D. Hamilton
University of California at San Diego
Downloads 31 (457,014)
Citation 3

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31.

Calling Recessions in Real Time

NBER Working Paper No. w16162
Number of pages: 51 Posted: 12 Jul 2010 Last Revised: 31 Aug 2010
James D. Hamilton
University of California at San Diego
Downloads 31 (457,014)
Citation 35

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Sources of Variation in Holding Returns for Fed Funds Futures Contracts

FRB Atlanta CQER Working Paper No. 09-03
Number of pages: 33 Posted: 22 Mar 2015
James D. Hamilton and Tatsuyoshi Okimoto
University of California at San Diego and Australian National University
Downloads 14 (572,055)
Citation 5

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federal funds, futures, monetary policy, Markov switching

Sources of Variation in Holding Returns for Fed Funds Futures Contracts

NBER Working Paper No. w15736
Number of pages: 38 Posted: 10 Feb 2010 Last Revised: 06 Aug 2014
James D. Hamilton and Tatsuyoshi Okimoto
University of California at San Diego and Crawford School of Public Policy, Australian National University
Downloads 13 (578,615)

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33.

Assessing Monetary Policy Effects Using Daily Fed Funds Futures Contracts

NBER Working Paper No. w13569
Number of pages: 39 Posted: 05 Nov 2007 Last Revised: 31 Jul 2010
James D. Hamilton
University of California at San Diego
Downloads 26 (481,774)
Citation 9

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34.

Macroeconomics and Arch

NBER Working Paper No. w14151
Number of pages: 41 Posted: 30 Jun 2008 Last Revised: 02 Sep 2010
James D. Hamilton
University of California at San Diego
Downloads 25 (487,241)
Citation 7

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35.

Daily Changes in Fed Funds Futures Prices

NBER Working Paper No. w13112
Number of pages: 30 Posted: 27 Jun 2007 Last Revised: 19 Jul 2007
James D. Hamilton
University of California at San Diego
Downloads 24 (492,705)
Citation 32

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36.

Structural Interpretation of Vecor Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks

CESifo Working Paper Series No. 6835
Number of pages: 52 Posted: 27 Feb 2018
Christiane Baumeister and James D. Hamilton
University of Notre Dame and University of California at San Diego
Downloads 23 (498,233)

Abstract:

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oil prices, vector autoregressions, sign restrictions, Bayesian inference, measurement error

37.

The Equilibrium Real Funds Rate: Past, Present and Future

NBER Working Paper No. w21476
Number of pages: 82 Posted: 25 Aug 2015
James D. Hamilton, Ethan S. Harris, Jan Hatzius and Kenneth D. West
University of California at San Diego, Bank of America, Goldman Sachs and University of Wisconsin - Madison - Department of Economics
Downloads 21 (509,703)
Citation 32

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38.

Estimating the Market-Perceived Monetary Policy Rule

NBER Working Paper No. w16412
Number of pages: 37 Posted: 04 Oct 2010
James D. Hamilton, Seth Pruitt and Scott Borger
University of California at San Diego, Arizona State University (ASU) - Finance Department and affiliation not provided to SSRN
Downloads 21 (509,703)
Citation 15

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Inference in Structural Vector Autoregressions When the Identifying Assumptions are Not Fully Believed: Re-Evaluating the Role of Monetary Policy in Economic Fluctuations

CESifo Working Paper Series No. 7048
Number of pages: 54 Posted: 18 Jul 2018
Christiane Baumeister and James D. Hamilton
University of Notre Dame and University of California at San Diego
Downloads 13 (578,615)

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structural vector autoregressions, set identification, monetary policy, impulse-response functions, historical decompositions, model uncertainty, informative priors

Inference in Structural Vector Autoregressions When the Identifying Assumptions are Not Fully Believed: Re-Evaluating the Role of Monetary Policy in Economic Fluctuations

NBER Working Paper No. w24597
Number of pages: 53 Posted: 14 May 2018
Christiane Baumeister and James D. Hamilton
University of Notre Dame and University of California at San Diego
Downloads 5 (633,942)
Citation 1
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Inference in Structural Vector Autoregressions When the Identifying Assumptions are Not Fully Believed: Re-Evaluating the Role of Monetary Policy in Economic Fluctuations

CEPR Discussion Paper No. DP12911
Number of pages: 55 Posted: 24 May 2018
Christiane Baumeister and James D. Hamilton
University of Notre Dame and University of California at San Diego
Downloads 0
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historical decompositions, impulse-response functions, informative priors, Model uncertainty, monetary policy, set identification, structural vector autoregressions

40.

Measuring Global Economic Activity

NBER Working Paper No. w25778
Number of pages: 21 Posted: 30 Apr 2019
James D. Hamilton
University of California at San Diego
Downloads 13 (556,281)
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41.

Inference in Structural Vector Auto Regressions When the Identifying Assumptions are Not Fully Believed: Re-Evaluating the Role of Monetary Policy in Economic Fluctuations

Bank of Finland Research Discussion Paper No. 14/2018
Number of pages: 55 Posted: 20 Jun 2018 Last Revised: 22 Jun 2018
Christiane Baumeister and James D. Hamilton
University of Notre Dame and University of California at San Diego
Downloads 13 (556,281)

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structural vector autoregressions, set identification, monetary policy, impulse-response functions, historical decompositions, model uncertainty, informative priors

42.

A Skeptical View of the Impact of the Fed's Balance Sheet

NBER Working Paper No. w24687
Number of pages: 96 Posted: 13 Jun 2018
Morgan Stanley, University of California at San Diego, Bank of America and University of Wisconsin - Madison - Department of Economics
Downloads 13 (556,281)
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43.

Daily Monetary Policy Shocks and the Delayed Response of New Home Sales

NBER Working Paper No. w14223
Number of pages: 63 Posted: 18 Aug 2008 Last Revised: 29 May 2009
James D. Hamilton
University of California at San Diego
Downloads 11 (568,516)
Citation 20

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44.

Sign Restrictions, Structural Vector Autoregressions, and Useful Prior Information

NBER Working Paper No. w20741
Number of pages: 62 Posted: 15 Dec 2014
Christiane Baumeister and James D. Hamilton
University of Notre Dame and University of California at San Diego
Downloads 7 (593,432)
Citation 44

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45.

Perspectives on U.S. Monetary Policy Tools and Instruments

NBER Working Paper No. w25911
Number of pages: 24 Posted: 05 Jun 2019
James D. Hamilton
University of California at San Diego
Downloads 6 (599,901)
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Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks

NBER Working Paper No. w24167
Number of pages: 54 Posted: 03 Jan 2018
Christiane Baumeister and James D. Hamilton
University of Notre Dame and University of California at San Diego
Downloads 5 (633,942)
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Structural Interpretation of Vector Autoregressions with Incomplete Identification: Revisiting the Role of Oil Supply and Demand Shocks

CEPR Discussion Paper No. DP12532
Number of pages: 53 Posted: 02 Jan 2018
Christiane Baumeister and James D. Hamilton
University of Notre Dame and University of California at San Diego
Downloads 0
Citation 7
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Bayesian inference, Measurement error, oil prices, sign restrictions, vector autoregressions

47.

Measuring Labor-Force Participation and the Incidence and Duration of Unemployment

FEDS Working Paper No. 2019-035
Number of pages: 53 Posted: 17 Jul 2019
Hie Joo Ahn and James D. Hamilton
Board of Governors of the Federal Reserve System and University of California at San Diego
Downloads 2 (643,830)

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Labor-Force Participation Rate, Measurement Errors, Unemployment Duration, Unemployment Rate

48.

Factors in Unemployment Dynamics

FED Notes No. 2018-12-21
Posted: 26 Dec 2018 Last Revised: 21 Feb 2019
Hie Joo Ahn and James D. Hamilton
Independent and University of California at San Diego

Abstract:

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49.

A Model of the Federal Funds Rate Target

Journal of Political Economy, Vol. 110, October 2002
Posted: 05 Nov 2002
James D. Hamilton and Oscar Jorda
University of California at San Diego and University of California, Davis - Department of Economics

Abstract:

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50.

What Do the Leading Indicators Lead?

Journal of Business, Vol. 59, No 1, January 1996
Posted: 16 Jul 1998
James D. Hamilton and Gabriel Perez-Quiros
University of California at San Diego and Banco de España

Abstract:

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51.
Downloads 0 (661,936)

The Daily Market for Federal Funds

J. OF POLITICAL ECONOMY, February 1996
Posted: 21 May 1996
James D. Hamilton
University of California at San Diego

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The Daily Market for Federal Funds

UCSD Economics Discussion Paper 95-09
Posted: 24 May 1995
James D. Hamilton
University of California at San Diego

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