Details about Chang-Jin Kim

Access statistics for papers by Chang-Jin Kim.

Last updated 2005-04-17. Update your information in the RePEc Author Service.

Short-id: pki84

Working Papers

2009

1. Exchange Rate Regimes and Monetary Independence in East Asia
   Finance Working Papers, East Asian Bureau of Economic Research

2006

2. A Bayesian approach to counterfactual analysis of structural change
   Working Papers, Federal Reserve Bank of St. Louis View citations

2005

3. The dynamic relationship between permanent and transitory components of U.S. business cycles
   Working Papers, Federal Reserve Bank of St. Louis View citations

2004

4. Estimation of Markov regime-switching regression models with endogenous switching
   Working Papers, Federal Reserve Bank of St. Louis View citations

2003

5. Nonlinearity and the permanent effects of recessions
   Working Papers, Federal Reserve Bank of St. Louis View citations
   See also Journal Article in Journal of Applied Econometrics (2005)
6. The less volatile U.S. economy: a Bayesian investigation of timing, breadth, and potential explanations
   Working Papers, Federal Reserve Bank of St. Louis View citations
   Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2001) View citations
   See also Journal Article in Journal of Business & Economic Statistics (2004)

2001

7. Common stochastic trends, common cycles, and asymmetry in economic fluctuations
   Working Papers, Federal Reserve Bank of St. Louis
   Also in Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington (2000)
   Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000)
   International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2000)
   See also Journal Article in Journal of Monetary Economics (2002)
8. Permanent and transitory components of business cycles: their relative importance and dynamic relationship
   International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations

2000

9. Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices?
   Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington
   Also in Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington (1999) View citations
   See also Journal Article in Journal of Empirical Finance (2001)
10. Is There a Positive Relationship between Stock Market Volatility and the Equity Premium?
    Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington View citations
11. Is There a Structural Break in the Equity Premium?
    Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington

1999

12. A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models
    Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington View citations
    Also in Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington (1998) View citations
    See also Journal Article in International Economic Review (2001)
13. Permanent and Transitory Nature of Recessions
    Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington

1996

14. The Long-Run U.S./U.K. Real Exchange Rate
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
    See also Journal Article in Journal of Money, Credit and Banking (1999)

1988

15. The Time-Varying-Parameter Model as an Alternative to ARCH for Modeling Changing Conditional Variance: The Case of Lucas Hypothesis
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations

Journal Articles

2005

1. Nonlinearity and the permanent effects of recessions
   Journal of Applied Econometrics, 2005, 20, (2), 291-309 View citations
   See also Working Paper (2003)

2004

2. The Less-Volatile U.S. Economy: A Bayesian Investigation of Timing, Breadth, and Potential Explanations
   Journal of Business & Economic Statistics, 2004, 22, (1), 80-93 View citations
   See also Working Paper (2003)

2002

3. Common stochastic trends, common cycles, and asymmetry in economic fluctuations
   Journal of Monetary Economics, 2002, 49, (6), 1189-1211 View citations
   See also Working Paper (2001)
4. Permanent and transitory components of recessions
   Empirical Economics, 2002, 27, (2), 163-183 View citations

2001

5. A Bayesian Approach to Testing for Markov-Switching in Univariate and Dynamic Factor Models
   International Economic Review, 2001, 42, (4), 989-1013 View citations
   See also Working Paper (1999)
6. Does an intertemporal tradeoff between risk and return explain mean reversion in stock prices?
   Journal of Empirical Finance, 2001, 8, (4), 403-426
   See also Working Paper (2000)

1999

7. Friedman's Plucking Model of Business Fluctuations: Tests and Estimates of Permanent and Transitory Components
   Journal of Money, Credit and Banking, 1999, 31, (3), 317-34 View citations
8. 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, 1999, 81, (4), 608-616 View citations
9. The Long-Run U.S./U.K. Real Exchange Rate
   Journal of Money, Credit and Banking, 1999, 31, (3), 335-56 View citations
   See also Working Paper (1996)

1998

10. 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, 1998, 80, (2), 188-201 View citations
11. Testing for mean reversion in heteroskedastic data II: Autoregression tests based on Gibbs-sampling-augmented randomization1
    Journal of Empirical Finance, 1998, 5, (4), 385-396 View citations
12. Testing for mean reversion in heteroskedastic data based on Gibbs-sampling-augmented randomization1
    Journal of Empirical Finance, 1998, 5, (2), 131-154 View citations

1996

13. Transient Fads and the Crash of '87
    Journal of Applied Econometrics, 1996, 11, (1), 41-58 View citations

1994

14. Dynamic linear models with Markov-switching
    Journal of Econometrics, 1994, 60, (1-2), 1-22 View citations

1993

15. Sources of Monetary Growth Uncertainty and Economic Activity: The Time-Varying-Parameter Model with Heteroskedastic Disturbances
    The Review of Economics and Statistics, 1993, 75, (3), 483-92 View citations
16. 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, 1993, 11, (3), 341-49 View citations

1989

17. The Time-Varying-Parameter Model for Modeling Changing Conditional Variance: The Case of the Lucas Hypothesis
    Journal of Business & Economic Statistics, 1989, 7, (4), 433-40 View citations