Timothy Cogley

Overview

Timothy Cogley is a macroeconomist (UC Davis, later NYU Stern) known for time-varying parameter VAR methods applied to US and UK business cycles and inflation dynamics. His work with Sargent (2001, 2005) and with Morozov and Sargent (2003) established the TVP-VAR with multivariate stochastic volatility as a standard tool for studying evolving monetary policy.

Key Contributions / Features

• Cogley-Sargent (2001) — "Evolving Post-World War II U.S. Inflation Dynamics": TVP-VAR evidence for changing US inflation persistence; subsequent Sims (2001) critique about ignoring heteroskedasticity directly motivated the multivariate SV extension in CMS (2003).
• Cogley-Morozov-Sargent (2003) — "Bayesian Fan Charts for U.K. Inflation": TVP-VAR with multivariate stochastic volatility $R_t = B^{-1}H_tB'^{-1}$; 5-block Metropolis-within-Gibbs; three-component uncertainty decomposition (shocks / end-of-sample parameters / future drift); relative entropy reweighting via Robertson-Tallman-Whiteman (2002).
• Cogley-Sargent (2005) — "Drifts and Volatilities: Monetary Policies and Outcomes in the Post-WWII US": definitive US version with multivariate SV; Great Moderation evidence.
• Cogley-Nason (1995) — "Effects of the Hodrick-Prescott Filter on Trend and Difference Stationary Time Series": HP filter distortions in autocorrelation functions.

Related

• Time-Varying Parameter VAR
• Stochastic Volatility
• Thomas Sargent
• Cogley-Morozov-Sargent (2003)