Chang-Jin Kim
Personal Details
First Name: | Chang-Jin |
Middle Name: | |
Last Name: | Kim |
Suffix: | |
RePEc Short-ID: | pki84 |
| |
http://econ.korea.ac.kr/~cjkim/ | |
Affiliation
(50%) Department of Economics
Korea University
Seoul, South Koreahttp://econ.korea.ac.kr/
RePEc:edi:deckukr (more details at EDIRC)
(50%) Department of Economics
University of Washington
Seattle, Washington (United States)http://www.econ.washington.edu/
RePEc:edi:deuwaus (more details at EDIRC)
Research output
Jump to: Working papers Articles BooksWorking papers
- Chang-Jin Kim & Jaeho Kim, 2013.
"Bayesian Inference in Regime-Switching ARMA Models with Absorbing States: The Dynamics of the Ex-Ante Real Interest Rate Under Structural Breaks,"
Discussion Paper Series
1306, Institute of Economic Research, Korea University.
- Kim, Chang-Jin & Kim, Jaeho, 2013. "Bayesian Inference in Regime-Switching ARMA Models with Absorbing States: The Dynamics of the Ex-Ante Real Interest Rate Under Structural Breaks," MPRA Paper 51117, University Library of Munich, Germany.
- Kim, Chang-Jin & Manopimoke, Pym & Nelson, Charles, 2013.
"Trend Inflation and the Nature of Structural Breaks in the New Keynesian Phillips Curve,"
MPRA Paper
51356, University Library of Munich, Germany.
- Chang‐Jin Kim & Pym Manopimoke & Charles R. Nelson, 2014. "Trend Inflation and the Nature of Structural Breaks in the New Keynesian Phillips Curve," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(2-3), pages 253-266, March.
- Chang-Jin Kim & Pym Manopimoke & Charles R. Nelson, 2013. "Trend Inflation and the Nature of Structural Breaks in the New Keynesian Phillips Curve," Discussion Paper Series 1305, Institute of Economic Research, Korea University.
- Kim, Chang-Jin & Kim, Jaeho, 2013. "The `Pile-up Problem' in Trend-Cycle Decomposition of Real GDP: Classical and Bayesian Perspectives," MPRA Paper 51118, University Library of Munich, Germany.
- Chang-Jin Kim & Cheolbeom Park, 2012.
"Disappearing Dividends: Implications for the Dividend-Price Ratio and Return Predictability,"
Discussion Paper Series
1205, Institute of Economic Research, Korea University.
- Chang‐Jin Kim & Cheolbeom Park, 2013. "Disappearing Dividends: Implications for the Dividend–Price Ratio and Return Predictability," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(5), pages 933-952, August.
- Chang-Jin Kim & Cheolbeom Park, 2013. "Disappearing Dividends: Implications for the Dividend-Price Ratio and Return Predictability," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(5), pages 933-952, August.
- Eo, Yunjong & Kim, Chang-Jin, 2012.
"Markov-Switching Models with Evolving Regime-Specific Parameters: Are Post-War Booms or Recessions All Alike?,"
Working Papers
2012-04, University of Sydney, School of Economics.
- Yunjong Eo & Chang-Jin Kim, 2016. "Markov-Switching Models with Evolving Regime-Specific Parameters: Are Postwar Booms or Recessions All Alike?," The Review of Economics and Statistics, MIT Press, vol. 98(5), pages 940-949, December.
- Jinho Bae & Chang-Jin Kim & Dong Heon Kim, 2011.
"The Evolution of the Monetary Policy Regimes in the U.S,"
Discussion Paper Series
1102, Institute of Economic Research, Korea University.
- Jinho Bae & Chang-Jin Kim & Dong Kim, 2012. "The evolution of the monetary policy regimes in the U.S," Empirical Economics, Springer, vol. 43(2), pages 617-649, October.
- Chang-Jin Kim & Yunmi Kim & Charles R. Nelson, 2008.
"Pricing Stock Market Volatility: Does It Matter Whether the Volatility is Related to the Business Cycle?,"
Working Papers
UWEC-2007-29, University of Washington, Department of Economics.
- Yunmi Kim & Charles R. Nelson, 2014. "Pricing Stock Market Volatility: Does it Matter whether the Volatility is Related to the Business Cycle?," Journal of Financial Econometrics, Oxford University Press, vol. 12(2), pages 307-328.
- Chang-jin Kim & N. Kundan Kishor & Charles R Nelson, 2006. "A Time-Varying Parameter Model for a Forward-Looking Monetary Policy Rule Based on Real-Time Data," Working Papers UWEC-2007-32, University of Washington, Department of Economics.
- Chang-Jin Kim & James Morley & Jeremy M. Piger, 2006.
"A Bayesian approach to counterfactual analysis of structural change,"
Working Papers
2004-014, Federal Reserve Bank of St. Louis.
- Chang-Jin Kim University of Washington,, ,Jeremy Piger, Federal Reserve Bank of St. Louis & James Morley & Jeremy Piger, 2006. "A Bayesian Approach to Counterfactual Analysis of Structural Change," Computing in Economics and Finance 2006 259, Society for Computational Economics.
- Chang-Jin Kim & Jeremy M. Piger & Richard Startz, 2005.
"The dynamic relationship between permanent and transitory components of U.S. business cycles,"
Working Papers
2001-017, Federal Reserve Bank of St. Louis.
- Chang-Jin Kim & Jeremy M. Piger & Richard Startz, 2007. "The Dynamic Relationship between Permanent and Transitory Components of U.S. Business Cycles," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(1), pages 187-204, February.
- Chang‐Jin Kim & Jeremy M. Piger & Richard Startz, 2007. "The Dynamic Relationship between Permanent and Transitory Components of U.S. Business Cycles," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(1), pages 187-204, February.
- Chang-Jin Kim & Jeremy Piger & Richard Startz, 2003. "The Dynamic Relationship Between Permanent and Transitory Components of U.S. Business Cycle," Working Papers UWEC-2003-36, University of Washington, Department of Economics.
- Chang-Jin Kim & Jeremy M. Piger & Richard Startz, 2004.
"Estimation of Markov regime-switching regression models with endogenous switching,"
Working Papers
2003-015, Federal Reserve Bank of St. Louis.
- Kim, Chang-Jin & Piger, Jeremy & Startz, Richard, 2008. "Estimation of Markov regime-switching regression models with endogenous switching," Journal of Econometrics, Elsevier, vol. 143(2), pages 263-273, April.
- Bryan Jones & Chang-Jin Kim & Richard Startz, 2003. "A Markov Switching Model of Congressional Partisan Regimes," Working Papers UWEC-2002-03, University of Washington, Department of Economics.
- Chang-Jin Kim & Charles R. Nelson & Jeremy M. Piger, 2003.
"The less volatile U.S. economy: a Bayesian investigation of timing, breadth, and potential explanations,"
Working Papers
2001-016, Federal Reserve Bank of St. Louis.
- Kim, Chang-Jin & Nelson, Charles R & Piger, Jeremy, 2004. "The Less-Volatile U.S. Economy: A Bayesian Investigation of Timing, Breadth, and Potential Explanations," Journal of Business & Economic Statistics, American Statistical Association, vol. 22(1), pages 80-93, January.
- Chang-Jin Kim & Charles R. Nelson & Jeremy M. Piger, 2001. "The less volatile U.S. economy: a Bayesian investigation of timing, breadth, and potential explanations," International Finance Discussion Papers 707, Board of Governors of the Federal Reserve System (U.S.).
- Chang-Jin Kim & James Morley & Jeremy M. Piger, 2003.
"Nonlinearity and the permanent effects of recessions,"
Working Papers
2002-014, Federal Reserve Bank of St. Louis.
- Chang‐Jin Kim & James Morley & Jeremy Piger, 2005. "Nonlinearity and the permanent effects of recessions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(2), pages 291-309.
- Jeremy Piger & James Morley & Chang-Jin Kim, 2005. "Nonlinearity and the permanent effects of recessions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(2), pages 291-309.
- Chang-Jin Kim & Jong-Wha Lee, 2002. "Exchange Rate Regimes and Monetary Independence in East Asia," Finance Working Papers 21765, East Asian Bureau of Economic Research.
- Chang-Jin Kim & Jeremy M. Piger & Richard Startz, 2001. "Permanent and transitory components of business cycles: their relative importance and dynamic relationship," International Finance Discussion Papers 703, Board of Governors of the Federal Reserve System (U.S.).
- Chang-Jin Kim & James C. Morley & Charles Nelson, 2000.
"Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices?,"
Discussion Papers in Economics at the University of Washington
0011, Department of Economics at the University of Washington.
- Kim, Chang-Jin & Morley, James C. & Nelson, Charles R., 2001. "Does an intertemporal tradeoff between risk and return explain mean reversion in stock prices?," Journal of Empirical Finance, Elsevier, vol. 8(4), pages 403-426, September.
- Chang-Jin Kim & James C. Morley & Charles Nelson, 1999. "Does an Intertemporal Tradeoff between Risk and Return Explain Mean Reversion in Stock Prices?," Working Papers 0028, University of Washington, Department of Economics.
- Chang-Jin Kim & James C. Morley & Charles Nelson, 1999. "Does an Intertemporal Tradeoff between Risk and Return Explain Mean Reversion in Stock Prices?," Discussion Papers in Economics at the University of Washington 0028, Department of Economics at the University of Washington.
- Chang-Jin Kim & James C. Morley & Charles Nelson, 2000. "Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices?," Working Papers 0011, University of Washington, Department of Economics.
- Chang-Jin Kim & James C. Morley & Charles Nelson, 2000.
"Is There a Structural Break in the Equity Premium?,"
Discussion Papers in Economics at the University of Washington
0024, Department of Economics at the University of Washington.
- Chang-Jin Kim & James C. Morley & Charles Nelson, 2000. "Is There a Structural Break in the Equity Premium?," Working Papers 0024, University of Washington, Department of Economics.
- Chang-Jin Kim & Jeremy Piger, 2000.
"Common Stochastic Trends, Common Cycles, and Asymmetry in Economic Fluctuations,"
Discussion Papers in Economics at the University of Washington
0021, Department of Economics at the University of Washington.
- Kim, Chang-Jin & Piger, Jeremy, 2002. "Common stochastic trends, common cycles, and asymmetry in economic fluctuations," Journal of Monetary Economics, Elsevier, vol. 49(6), pages 1189-1211, September.
- Chang-Jin Kim & Jeremy M. Piger, 2000. "Common stochastic trends, common cycles, and asymmetry in economic fluctuations," International Finance Discussion Papers 681, Board of Governors of the Federal Reserve System (U.S.).
- Chang-Jin Kim & Jeremy M. Piger, 2001. "Common stochastic trends, common cycles, and asymmetry in economic fluctuations," Working Papers 2001-014, Federal Reserve Bank of St. Louis.
- Chang-Jin Kim & Jeremy Piger, 2000. "Common Stochastic Trends, Common Cycles, and Asymmetry in Economic Fluctuations," Econometric Society World Congress 2000 Contributed Papers 1465, Econometric Society.
- Chang-Jin Kim & Jeremy Piger, 2000. "Common Stochastic Trends, Common Cycles, and Asymmetry in Economic Fluctuations," Working Papers 0021, University of Washington, Department of Economics.
- Chang-Jin Kim & James C. Morley & Charles Nelson, 2000.
"Is There a Positive Relationship between Stock Market Volatility and the Equity Premium?,"
Discussion Papers in Economics at the University of Washington
0023, Department of Economics at the University of Washington.
- Kim, Chang-Jin & Morley, James C & Nelson, Charles R, 2004. "Is There a Positive Relationship between Stock Market Volatility and the Equity Premium?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 36(3), pages 339-360, June.
- Chang-Jin Kim & James C. Morley & Charles Nelson, 2000. "Is There a Positive Relationship between Stock Market Volatility and the Equity Premium?," Working Papers 0023, University of Washington, Department of Economics.
- Chang-Jin Kim & Charles Nelson, 1999.
"A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models,"
Discussion Papers in Economics at the University of Washington
0035, Department of Economics at the University of Washington.
- Kim, Chang-Jin & Nelson, Charles R, 2001. "A Bayesian Approach to Testing for Markov-Switching in Univariate and Dynamic Factor Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 42(4), pages 989-1013, November.
- Chang-Jin Kim & Charles Nelson, 1998. "A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models," Working Papers 0059, University of Washington, Department of Economics.
- Chang-Jin Kim & Charles Nelson, 1999. "A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models," Working Papers 0035, University of Washington, Department of Economics.
- Chang-Jin Kim & Charles Nelson, 1998. "A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models," Discussion Papers in Economics at the University of Washington 0059, Department of Economics at the University of Washington.
- Chang-Jin Kim & Chris Murray, 1999.
"Permanent and Transitory Nature of Recessions,"
Discussion Papers in Economics at the University of Washington
0041, Department of Economics at the University of Washington.
- Chang-Jin Kim & Chris Murray, 1999. "Permanent and Transitory Nature of Recessions," Working Papers 0041, University of Washington, Department of Economics.
- Kim, C-J & Nelson, C-R, 1997.
"Friedman's Plucking Model of Business Fluctuations : Tests and Estimates of Permanent and Transitory Components,"
Working Papers
97-06, University of Washington, Department of Economics.
- Kim, Chang-Jin & Nelson, Charles R, 1999. "Friedman's Plucking Model of Business Fluctuations: Tests and Estimates of Permanent and Transitory Components," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 31(3), pages 317-334, August.
- Kim, C-J & Nelson, C-R, 1997. "Friedman's Plucking Model of Business Fluctuations : Tests and Estimates of Permanent and Transitory Components," Discussion Papers in Economics at the University of Washington 97-06, Department of Economics at the University of Washington.
- Kim, C-J & Nelson, C-R, 1997.
"Testing for Mean Reversion in Heteroskedastic Data II : Autoregression Tests Based on Gibbs-Sampling-Augmented Randomization,"
Discussion Papers in Economics at the University of Washington
97-07, Department of Economics at the University of Washington.
- Kim, C-J & Nelson, C-R, 1997. "Testing for Mean Reversion in Heteroskedastic Data II : Autoregression Tests Based on Gibbs-Sampling-Augmented Randomization," Working Papers 97-07, University of Washington, Department of Economics.
- Charles Engel & Chang-Jin Kim, 1996.
"The Long-Run U.S./U.K. Real Exchange Rate,"
NBER Working Papers
5777, National Bureau of Economic Research, Inc.
- Engel, Charles & Kim, Chang-Jin, 1999. "The Long-Run U.S./U.K. Real Exchange Rate," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 31(3), pages 335-356, August.
- Engel, C. & Kim, C.J., 1996. "The Long-Run U.S./U.K. real Exchange Rate," Discussion Papers in Economics at the University of Washington 96-14, Department of Economics at the University of Washington.
- Engel, C. & Kim, C.J., 1996. "The Long-Run U.S./U.K. real Exchange Rate," Working Papers 96-14, University of Washington, Department of Economics.
- Kim, C.J. & Nelson, C.R. & Startz, R., 1996.
"Testing for Men reversion in Heteroskedastic data Based on Gibbs-Simpling-Augmented Randomization,"
Discussion Papers in Economics at the University of Washington
96-11, Department of Economics at the University of Washington.
- Kim, C.J. & Nelson, C.R. & Startz, R., 1996. "Testing for Men reversion in Heteroskedastic data Based on Gibbs-Simpling-Augmented Randomization," Working Papers 96-11, University of Washington, Department of Economics.
- Kim, C.J., 1992.
"Unobserved-Component Time-Series Models with Markov- Switching Heteroskedasticity: Changes in Regimes and the Link between Inflation Rates and Inflation Uncertainty,"
Papers
92-1, York (Canada) - Department of Economics.
- Kim, Chang-Jin, 1993. "Unobserved-Component Time Series Models with Markov-Switching Heteroscedasticity: Changes in Regime and the Link between Inflation Rates and Inflation Uncertainty," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(3), pages 341-349, July.
- Kim, C-J., 1991.
"Dynamic Linear Models with Markov-Switching,"
Papers
91-8, York (Canada) - Department of Economics.
- Kim, Chang-Jin, 1994. "Dynamic linear models with Markov-switching," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 1-22.
- Kim, C-J., 1989. "Sources Of Monetary Growth Uncertainty: An Encompassing Approach Based On Monte Carlo Experiment," Papers 89-16, York (Canada) - Department of Economics.
- Charles R. Nelson & Chang-Jin Kim, 1988.
"The Time-Varying-Parameter Model as an Alternative to ARCH for Modeling Changing Conditional Variance: The Case of Lucas Hypothesis,"
NBER Technical Working Papers
0070, National Bureau of Economic Research, Inc.
- Nelson, C.R. & Kim, C-J., 1988. "The Time-Varying-Parameter Model As An Alternative To Arch For Modeling Changing Conditional Variance: The Case Of The Lucas Hypothesis," Discussion Papers in Economics at the University of Washington 88-10, Department of Economics at the University of Washington.
- Nelson, C.R. & Kim, C-J., 1988. "The Time-Varying-Parameter Model As An Alternative To Arch For Modeling Changing Conditional Variance: The Case Of The Lucas Hypothesis," Working Papers 88-10, University of Washington, Department of Economics.
Articles
- Chang-Jin Kim & Cheolbeom Park, 2013.
"Disappearing Dividends: Implications for the Dividend-Price Ratio and Return Predictability,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(5), pages 933-952, August.
- Chang‐Jin Kim & Cheolbeom Park, 2013. "Disappearing Dividends: Implications for the Dividend–Price Ratio and Return Predictability," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(5), pages 933-952, August.
- Chang-Jin Kim & Cheolbeom Park, 2012. "Disappearing Dividends: Implications for the Dividend-Price Ratio and Return Predictability," Discussion Paper Series 1205, Institute of Economic Research, Korea University.
- Jinho Bae & Chang-Jin Kim & Dong Kim, 2012.
"The evolution of the monetary policy regimes in the U.S,"
Empirical Economics, Springer, vol. 43(2), pages 617-649, October.
- Jinho Bae & Chang-Jin Kim & Dong Heon Kim, 2011. "The Evolution of the Monetary Policy Regimes in the U.S," Discussion Paper Series 1102, Institute of Economic Research, Korea University.
- Yunmi Kim & Chang‐Jin Kim, 2011. "Dealing with endogeneity in a time‐varying parameter model: joint estimation and two‐step estimation procedures," Econometrics Journal, Royal Economic Society, vol. 14(3), pages 487-497, October.
- Chang-Jin, Kim, 2010. "Dealing with Endogeneity in Regression Models with Dynamic Coefficients," Foundations and Trends(R) in Econometrics, now publishers, vol. 3(3), pages 165-266, June.
- Kang Kyu Ho & Kim Chang-Jin & Morley James, 2009. "Changes in U.S. Inflation Persistence," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 13(4), pages 1-23, September.
- Kim, Chang-Jin, 2009. "Markov-switching models with endogenous explanatory variables II: A two-step MLE procedure," Journal of Econometrics, Elsevier, vol. 148(1), pages 46-55, January.
- Kim, Chang-Jin & Piger, Jeremy & Startz, Richard, 2008.
"Estimation of Markov regime-switching regression models with endogenous switching,"
Journal of Econometrics, Elsevier, vol. 143(2), pages 263-273, April.
- Chang-Jin Kim & Jeremy M. Piger & Richard Startz, 2004. "Estimation of Markov regime-switching regression models with endogenous switching," Working Papers 2003-015, Federal Reserve Bank of St. Louis.
- Kim, Chang-Jin, 2008. "Markov-switching and the Beveridge-Nelson decomposition: Has US output persistence changed since 1984?," Journal of Econometrics, Elsevier, vol. 146(2), pages 227-240, October.
- Chang-Jin Kim & James Morley & Jeremy Piger, 2008. "Bayesian counterfactual analysis of the sources of the great moderation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(2), pages 173-191.
- Kim Chang-Jin & Kim Yunmi, 2008. "Is the Backward-Looking Component Important in a New Keynesian Phillips Curve?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(3), pages 1-20, September.
- Bae, Jinho & Kim, Chang-Jin & Nelson, Charles R., 2007. "Why are stock returns and volatility negatively correlated?," Journal of Empirical Finance, Elsevier, vol. 14(1), pages 41-58, January.
- Chang-Jin Kim & Jeremy M. Piger & Richard Startz, 2007.
"The Dynamic Relationship between Permanent and Transitory Components of U.S. Business Cycles,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(1), pages 187-204, February.
- Chang‐Jin Kim & Jeremy M. Piger & Richard Startz, 2007. "The Dynamic Relationship between Permanent and Transitory Components of U.S. Business Cycles," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(1), pages 187-204, February.
- Chang-Jin Kim & Jeremy Piger & Richard Startz, 2003. "The Dynamic Relationship Between Permanent and Transitory Components of U.S. Business Cycle," Working Papers UWEC-2003-36, University of Washington, Department of Economics.
- Chang-Jin Kim & Jeremy M. Piger & Richard Startz, 2005. "The dynamic relationship between permanent and transitory components of U.S. business cycles," Working Papers 2001-017, Federal Reserve Bank of St. Louis.
- Kim, Chang-Jin, 2006. "Time-varying parameter models with endogenous regressors," Economics Letters, Elsevier, vol. 91(1), pages 21-26, April.
- Kim, Chang-Jin & Nelson, Charles R., 2006. "Estimation of a forward-looking monetary policy rule: A time-varying parameter model using ex post data," Journal of Monetary Economics, Elsevier, vol. 53(8), pages 1949-1966, November.
- Jeremy Piger & James Morley & Chang-Jin Kim, 2005.
"Nonlinearity and the permanent effects of recessions,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(2), pages 291-309.
- Chang‐Jin Kim & James Morley & Jeremy Piger, 2005. "Nonlinearity and the permanent effects of recessions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(2), pages 291-309.
- Chang-Jin Kim & James Morley & Jeremy M. Piger, 2003. "Nonlinearity and the permanent effects of recessions," Working Papers 2002-014, Federal Reserve Bank of St. Louis.
- Kim, Chang-Jin & Morley, James C. & Nelson, Charles R., 2005. "The Structural Break in the Equity Premium," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 181-191, April.
- Kim, Chang-Jin & Nelson, Charles R & Piger, Jeremy, 2004.
"The Less-Volatile U.S. Economy: A Bayesian Investigation of Timing, Breadth, and Potential Explanations,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 22(1), pages 80-93, January.
- Chang-Jin Kim & Charles R. Nelson & Jeremy M. Piger, 2003. "The less volatile U.S. economy: a Bayesian investigation of timing, breadth, and potential explanations," Working Papers 2001-016, Federal Reserve Bank of St. Louis.
- Chang-Jin Kim & Charles R. Nelson & Jeremy M. Piger, 2001. "The less volatile U.S. economy: a Bayesian investigation of timing, breadth, and potential explanations," International Finance Discussion Papers 707, Board of Governors of the Federal Reserve System (U.S.).
- Kim, Chang-Jin & Morley, James C & Nelson, Charles R, 2004.
"Is There a Positive Relationship between Stock Market Volatility and the Equity Premium?,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 36(3), pages 339-360, June.
- Chang-Jin Kim & James C. Morley & Charles Nelson, 2000. "Is There a Positive Relationship between Stock Market Volatility and the Equity Premium?," Discussion Papers in Economics at the University of Washington 0023, Department of Economics at the University of Washington.
- Chang-Jin Kim & James C. Morley & Charles Nelson, 2000. "Is There a Positive Relationship between Stock Market Volatility and the Equity Premium?," Working Papers 0023, University of Washington, Department of Economics.
- Kim, C.-J.Chang-Jin, 2004. "Markov-switching models with endogenous explanatory variables," Journal of Econometrics, Elsevier, vol. 122(1), pages 127-136, September.
- Kim, Chang-Jin & Piger, Jeremy, 2002.
"Common stochastic trends, common cycles, and asymmetry in economic fluctuations,"
Journal of Monetary Economics, Elsevier, vol. 49(6), pages 1189-1211, September.
- Chang-Jin Kim & Jeremy M. Piger, 2000. "Common stochastic trends, common cycles, and asymmetry in economic fluctuations," International Finance Discussion Papers 681, Board of Governors of the Federal Reserve System (U.S.).
- Chang-Jin Kim & Jeremy Piger, 2000. "Common Stochastic Trends, Common Cycles, and Asymmetry in Economic Fluctuations," Discussion Papers in Economics at the University of Washington 0021, Department of Economics at the University of Washington.
- Chang-Jin Kim & Jeremy M. Piger, 2001. "Common stochastic trends, common cycles, and asymmetry in economic fluctuations," Working Papers 2001-014, Federal Reserve Bank of St. Louis.
- Chang-Jin Kim & Jeremy Piger, 2000. "Common Stochastic Trends, Common Cycles, and Asymmetry in Economic Fluctuations," Econometric Society World Congress 2000 Contributed Papers 1465, Econometric Society.
- Chang-Jin Kim & Jeremy Piger, 2000. "Common Stochastic Trends, Common Cycles, and Asymmetry in Economic Fluctuations," Working Papers 0021, University of Washington, Department of Economics.
- Chang-Jin Kim & Christian J. Murray, 2002. "Permanent and transitory components of recessions," Empirical Economics, Springer, vol. 27(2), pages 163-183.
- Kim, Chang-Jin & Morley, James C. & Nelson, Charles R., 2001.
"Does an intertemporal tradeoff between risk and return explain mean reversion in stock prices?,"
Journal of Empirical Finance, Elsevier, vol. 8(4), pages 403-426, September.
- Chang-Jin Kim & James C. Morley & Charles Nelson, 1999. "Does an Intertemporal Tradeoff between Risk and Return Explain Mean Reversion in Stock Prices?," Working Papers 0028, University of Washington, Department of Economics.
- Chang-Jin Kim & James C. Morley & Charles Nelson, 2000. "Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices?," Discussion Papers in Economics at the University of Washington 0011, Department of Economics at the University of Washington.
- Chang-Jin Kim & James C. Morley & Charles Nelson, 1999. "Does an Intertemporal Tradeoff between Risk and Return Explain Mean Reversion in Stock Prices?," Discussion Papers in Economics at the University of Washington 0028, Department of Economics at the University of Washington.
- Chang-Jin Kim & James C. Morley & Charles Nelson, 2000. "Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices?," Working Papers 0011, University of Washington, Department of Economics.
- Kim, Chang-Jin & Nelson, Charles R, 2001.
"A Bayesian Approach to Testing for Markov-Switching in Univariate and Dynamic Factor Models,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 42(4), pages 989-1013, November.
- Chang-Jin Kim & Charles Nelson, 1999. "A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models," Discussion Papers in Economics at the University of Washington 0035, Department of Economics at the University of Washington.
- Chang-Jin Kim & Charles Nelson, 1998. "A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models," Working Papers 0059, University of Washington, Department of Economics.
- Chang-Jin Kim & Charles Nelson, 1999. "A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models," Working Papers 0035, University of Washington, Department of Economics.
- Chang-Jin Kim & Charles Nelson, 1998. "A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models," Discussion Papers in Economics at the University of Washington 0059, Department of Economics at the University of Washington.
- Nam Chong-Hyun & Kim Chang-Jin, 2000. "Capital Accumulation And Trade Policy:The Case Of Korea," International Economic Journal, Taylor & Francis Journals, vol. 14(1), pages 111-131.
- Engel, Charles & Kim, Chang-Jin, 1999.
"The Long-Run U.S./U.K. Real Exchange Rate,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 31(3), pages 335-356, August.
- Engel, C. & Kim, C.J., 1996. "The Long-Run U.S./U.K. real Exchange Rate," Discussion Papers in Economics at the University of Washington 96-14, Department of Economics at the University of Washington.
- Charles Engel & Chang-Jin Kim, 1996. "The Long-Run U.S./U.K. Real Exchange Rate," NBER Working Papers 5777, National Bureau of Economic Research, Inc.
- Engel, C. & Kim, C.J., 1996. "The Long-Run U.S./U.K. real Exchange Rate," Working Papers 96-14, University of Washington, Department of Economics.
- Chang-Jin Kim & Charles R. Nelson, 1999. "Has The U.S. Economy Become More Stable? A Bayesian Approach Based On A Markov-Switching Model Of The Business Cycle," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 608-616, November.
- Kim, Chang-Jin & Nelson, Charles R, 1999.
"Friedman's Plucking Model of Business Fluctuations: Tests and Estimates of Permanent and Transitory Components,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 31(3), pages 317-334, August.
- Kim, C-J & Nelson, C-R, 1997. "Friedman's Plucking Model of Business Fluctuations : Tests and Estimates of Permanent and Transitory Components," Discussion Papers in Economics at the University of Washington 97-06, Department of Economics at the University of Washington.
- Kim, C-J & Nelson, C-R, 1997. "Friedman's Plucking Model of Business Fluctuations : Tests and Estimates of Permanent and Transitory Components," Working Papers 97-06, University of Washington, Department of Economics.
- Kim, Chang-Jin & Nelson, Charles R. & Startz, Richard, 1998. "Testing for mean reversion in heteroskedastic data based on Gibbs-sampling-augmented randomization1," Journal of Empirical Finance, Elsevier, vol. 5(2), pages 131-154, June.
- Chang-Jin Kim & Charles R. Nelson, 1998. "Business Cycle Turning Points, A New Coincident Index, And Tests Of Duration Dependence Based On A Dynamic Factor Model With Regime Switching," The Review of Economics and Statistics, MIT Press, vol. 80(2), pages 188-201, May.
- Kim, Chang-Jin & Nelson, Charles R., 1998. "Testing for mean reversion in heteroskedastic data II: Autoregression tests based on Gibbs-sampling-augmented randomization1," Journal of Empirical Finance, Elsevier, vol. 5(4), pages 385-396, October.
- Kim, Chang-Jin & Kim, Myung-Jig, 1996. "Transient Fads and the Crash of '87," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(1), pages 41-58, Jan.-Feb..
- Kim, Chang-Jin, 1994.
"Dynamic linear models with Markov-switching,"
Journal of Econometrics, Elsevier, vol. 60(1-2), pages 1-22.
- Kim, C-J., 1991. "Dynamic Linear Models with Markov-Switching," Papers 91-8, York (Canada) - Department of Economics.
- Kim, Chang-Jin, 1993. "Sources of Monetary Growth Uncertainty and Economic Activity: The Time-Varying-Parameter Model with Heteroskedastic Disturbances," The Review of Economics and Statistics, MIT Press, vol. 75(3), pages 483-492, August.
- Kim, Chang-Jin, 1993.
"Unobserved-Component Time Series Models with Markov-Switching Heteroscedasticity: Changes in Regime and the Link between Inflation Rates and Inflation Uncertainty,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 11(3), pages 341-349, July.
- Kim, C.J., 1992. "Unobserved-Component Time-Series Models with Markov- Switching Heteroskedasticity: Changes in Regimes and the Link between Inflation Rates and Inflation Uncertainty," Papers 92-1, York (Canada) - Department of Economics.
- Kim, Chang-Jin & Nelson, Charles R, 1989. "The Time-Varying-Parameter Model for Modeling Changing Conditional Variance: The Case of the Lucas Hypothesis," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(4), pages 433-440, October.
Books
- Chang-Jin Kim & Charles R. Nelson, 1999. "State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262112388, April.
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Featured entries
This author is featured on the following reading lists, publication compilations, Wikipedia, or ReplicationWiki entries:NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 21 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-ETS: Econometric Time Series (15) 2000-10-31 2001-04-11 2001-04-11 2001-04-11 2001-08-15 2001-09-10 2002-04-15 2002-04-15 2002-10-18 2003-09-24 2007-12-08 2012-04-10 2013-11-16 2013-11-16 2013-11-29. Author is listed
- NEP-MAC: Macroeconomics (7) 2011-04-30 2012-04-10 2013-11-16 2013-11-16 2013-11-16 2013-11-29 2013-11-29. Author is listed
- NEP-ECM: Econometrics (4) 2003-09-24 2012-04-10 2013-11-16 2013-11-16
- NEP-FIN: Finance (3) 2001-04-11 2001-04-11 2001-04-11
- NEP-FMK: Financial Markets (3) 2001-04-11 2001-04-11 2001-04-11
- NEP-ORE: Operations Research (3) 2012-04-10 2013-11-16 2013-11-29
- NEP-CBA: Central Banking (2) 2011-04-30 2012-04-10
- NEP-MON: Monetary Economics (2) 2011-04-30 2011-11-21
- NEP-PKE: Post Keynesian Economics (2) 2002-02-15 2002-02-15
- NEP-BEC: Business Economics (1) 2007-12-08
- NEP-CFN: Corporate Finance (1) 2001-04-11
- NEP-DGE: Dynamic General Equilibrium (1) 2001-08-15
- NEP-EVO: Evolutionary Economics (1) 2003-09-24
- NEP-FDG: Financial Development and Growth (1) 2012-04-10
- NEP-FOR: Forecasting (1) 2012-03-28
- NEP-HIS: Business, Economic and Financial History (1) 2011-04-30
- NEP-IFN: International Finance (1) 2011-11-21
- NEP-OPM: Open Economy Macroeconomics (1) 2011-11-21
- NEP-SEA: South East Asia (1) 2011-11-21
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