Primary Field

Monetary Theory and Policy, Computational Economics, Financial Economics.

Research Interests

The optimal response of financial institutions and asset prices to changes in monetary policy.

236 MENDOZA COLLEGE OF BUSINESS, NOTRE DAME, INDIANA 46556-5646
574.631.5178
THOMAS.F.COSIMANO.1@ND.EDU

Publications

Articles
Books
Book Reviews
Working Papers
Undergraduate Research

"Continuous Time One-dimensional Asset Pricing Models With Analytic Price-Dividend Functions," forthcoming Economic Theory. Co-Authors Yu Chen and Alex A. Himonas.
"Analytic Solving of Asset Pricing Models: The By Force of Habit Case." Journal of Economics Dynamics & Control. November 2008 3631-3660. Co-Authors Yu Chen and Alex A. Himonas.
Maple Programs for Analytic Solving of Asset Pricing Models: The By Force of Habit Case.
Fortran Programs for Analytic Solving of Asset Pricing Models: The By Force of Habit Case.
"Solving An Asset Pricing Model with Hybrid Internal and External Habits, and Autocorrelated Gaussian Shocks." Annals of Finance. July 2008 305-344. Co-Authors Yu Chen and Alex A. Himonas.
Maple Programs for Solving Asset Pricing Models when the Price-Divident Function is Analytic.
"Optimal Experimentation and the Perturbation Method in the Neighborhood of the Augmented Linear Regulator Problem." Journal of Economics Dynamics & Control. June 2008 1857-1894.
Gauss Programs for Optimal Experimentation and the Perturbation Method in the Neighborhood of the Augmented Linear Regulator Problem.
"Solving Asset Pricing Models when the Price-Divident Function is Analytic." Econometrica. May 2005 73 961-982. Co-Authors Ovidiu Calin, Yu Chen and Alex A. Himonas.
"Appendix for Solving Asset Pricing Models when the Price-Divident Function is Analytic," January 31, 2005.
Mathematica Programs for Solving Asset Pricing Models when the Price-Divident Function is Analytic.
"Solving Ramsey Problems with Nonlinear Projection Methods." Studies in Nonlinear Dynamics & Econometrics, May 2005 9 1-36. Co-Author Michael T. Gapen.
Matlab Programs for Solving Ramsey Problems with Nonlinear Projection Methods.
"Did the Basel Accord cause a Credit Slowdown in Latin America?" Economia, Fall 2004 5 135-175. Co-Authors Adolfo Barajas and Ralph Chami.
"Financial Institutions and Trustworthy Behavior in Business Transactions." Journal of Business Ethics, 52(2), (2004) 179-188.
"Capital Trading, Stock Trading, and the Inflation Tax on Equity: A Note." Review of Economic Dynamics, 6 (2003) 987-990. Co-Authors Scott Baier, Charles T. Carlstrom, Ralph Chami, Timothy S. Fuerst, and Connel Fullenkamp.
"Introduction to Managing Ethical Risk: How Investing in Ethics Adds Value." 26 (2002) 1697-1718 Journal of Banking and Finance. Co-Authors Ralph Chami and Connel Fullenkamp.
"Capital Trading, Stock Trading, and the Inflation Tax on Equity." Review of Economic Dynamics, 4 (2001) 575-606. Co-Authors Ralph Chami and Connel Fullenkamp.
"What's Different Among Banks?" Journal of Monetary Economics, 41(1998) 57-70. Co-Author Bill McDonald.
"Risk Averse Behavior and Normal Employment." Perspectives on Money, Sanjeev Joshi Editor, Reserve Bank of India Endowment Unit. Co-Author G.Subrahmanyam.
"Intermediation," Economica, 63 (1996) 131-143.
"Is the Conventional View of Discount Window Borrowing Consistent with the Behavior of Weekly Reporting Banks?" Review of Economics and Statistics, 76 (1994) 761-770. Co-Author Richard G. Sheehan.
"Inflation Variability and Gradualist Monetary Policy." Review of Economic Studies, 61 (1994) 721-738. Co-Author Ronald J. Balvers.
"Federal Reserve Operating Procedure 1984-1991: An Empirical Analysis." Journal of Macroeconomics, 16 (1994) 573-588. Co-Author Richard G. Sheehan.
"Central Bank Secrecy, Interest Rates and Monetary Control." Economic Inquiry 31 (July 1993) 370-382. Co-Author John B. Van Huyck.
"Periodic Learning with A Hidden State Variable." Journal of Economic Dynamics & Control 17 (1993) no. 5-6 805-828. Co-Author Ronald J. Balvers.
"DIDMCA and Bank Market Risk: Theory and Evidence." Journal of Banking and Finance 16 (November 1992) 1179-1193. Co-Authors Thomas P. Bundt and John A. Halloran.
"Actively Learning About Demand and the Dynamics of Price Adjustment." Economic Journal 100 (September 1990) 882-898. Co-Author Ronald J. Balvers.
"Predicting Stock Returns in an Efficient Market." Journal of Finance 45 (September 1990) 1109-1128. Co-Authors Ronald J. Balvers and Bill McDonald.
"Choosing Sides in Matching Games: Nash Equilibria and Comparative Statics." Economica 57 (August 1990) 283-294. Co-Author Michael R. Baye.
"Dynamic Monetary Control and Interest Rate Stabilization." Journal of Monetary Economics 23 (January 1989) 53-63. Co-Author John B. Van Huyck.
"Spatial Competition with Free Entry, Chamberlinian Tangencies, and Social Efficiency: A Reevaluation." Journal of Urban Economics 26 (July 1989) 84-89. Co-Author Bruce L. Benson.
"Estimates of the Variance of U.S. Inflation Based Upon the ARCH Model: a comment." Journal of Money, Credit, and Banking 20 (August 1988) 409-421. Co-Author Dennis W. Jansen.
"The Banking Industry under Uncertain Monetary Policy." Journal of Banking and Finance 12 (March 1988) 117-139.
"Federal Reserve Policy 1975 - 1985: An Empirical Analysis." Journal of Macroeconomics 10 (Winter 1988) 27-47. Co-Author Dennis W. Jansen.
"The Relation Between Money Growth Variability and the Variability of Money About Target." Economics Letters 25 (1987) 355-358. Co-Author Dennis W. Jansen.
"The Federal Funds Market under Bank Deregulation." Journal of Money, Credit, and Banking 19 (August 1987) 326-339.
"Reserve Accounting and Variability in the Federal Funds Market." Journal of Money, Credit, and Banking 19 (May 1987) 199-209.
"Erratic Monetary Policy and the Dispersion of Commodity Prices." Journal of Macroeconomics 8 (Spring 1986) 201-212. Co-Author Michael R. Baye.
"Erratic Monetary Policy and Price Variability." Journal of Macroeconomics 7 (Summer 1985) 313-331.
"The Incentive to Adopt Cost Reducing Innovation in the Presence of a Non-Linear Demand Curve." Southern Economic Journal 47 (July 1981) 97-104.
"Money and Biased Technical Progress." Journal of Monetary Economics 5 (October 1979) 497-504. Co-Author G. Subrahmanyam.

"Macroeconomic Consequences of Remittances", Edited by Ralph Chami, Adolfo Barajas, Thomas F. Cosimano, Connel Fullenkamp, Michael Gapen, and Peter Montiel. Published by International Monetary Fund, Washington, DC, 2008.
Guest Editor, Journal of Banking and Finance, 26 (2002) for the conference volume from "Measuring and Managing Ethical Risk: How Investing in Ethics Adds value." Co-Authors Ralph Chami and Connel Fullencamp.
"The Changing Distribution of Income in an Open US Economy", Edited by Jeffery H. Bergstrand, Thomas F. Cosimano, John W. Houck and Richard G. Sheehan, published in the series Contributions to Economic Analysis, Edited by D. W. Jorgenson and J. J. Laffont by Elsevier Science Punlishers B.V. 1994.

"Money and Financial Markets" edited by Mark P. Taylor Cambridge, MA: Blackwell Publishers, 1991. Invited by Journal of Money, Credit and Banking, November 1993 864-867.

"Asset Pricing with Long Run Risk and Stochastic Differential Utility: An Analytic Approach". Co-Authors Yu Chen, Alex A. Himonas and Peter Kelly.
"Monetary Policy with a Touch of Basel" (original paper) and (current paper), International Monetary Fund, October 2001. Co-Author Ralph Chami.
"Beware of Emigrants Bearing Gifts: Optimal Fiscal and Monetary Policy in the Presence of Remittances" (original paper) and (current paper), International Monetary Fund, March 2006. Co-Authors Ralph Chami and Michael T. Gapen.
"Continuous Time One-dimensional Asset Pricing Models With Analytic Price-Dividend Functions," Economic Theory. Co-Authors Yu Chen and Alex A. Himonas.
"Optimal Fiscal and Monetary Policy with Nominal and Indexed Debt," International Monetary Fund. Co-Author Michael T. Gapen.

Honor Students Senior Thesis

Department of Mathematics, University of Notre Dame

"A Continuous Time Multi-Dimensional Asset Pricing Model with Duffie-Epstein Preferences and Kreps-Porteus Utility", by Peter Kelly . Advisors: Alex A. Himonas and Tom F. Cosimano
"Portfolio Decisions in Continuous Time", by Marianne Beyer . Advisors: Alex A. Himonas and Tom F. Cosimano
"An Alternative Sensitivity Function for the Campbell-Cochrane Model", by Jonathan Poelhuis . Advisors: Alex A. Himonas and Tom F. Cosimano