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Details about Chang-Jin Kim

E-mail: This e-mail address is bad, please ask Chang-Jin Kim to update the entry in the RePEc Author Service or the correct address.
Homepage:http://econ.korea.ac.kr/~cjkim/
Workplace:Department of Economics, Korea University, (more information at EDIRC)
Department of Economics, University of Washington, (more information at EDIRC)

Access statistics for papers by Chang-Jin Kim.

Last updated 2015-01-07. Update your information in the RePEc Author Service.

Short-id: pki84


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Working Papers

2013

  1. Bayesian Inference in Regime-Switching ARMA Models with Absorbing States: The Dynamics of the Ex-Ante Real Interest Rate Under Structural Breaks
    MPRA Paper, University Library of Munich, Germany Downloads View citations (3)
    Also in Discussion Paper Series, Institute of Economic Research, Korea University (2013) Downloads View citations (1)
  2. The `Pile-up Problem' in Trend-Cycle Decomposition of Real GDP: Classical and Bayesian Perspectives
    MPRA Paper, University Library of Munich, Germany Downloads
  3. Trend Inflation and the Nature of Structural Breaks in the New Keynesian Phillips Curve
    MPRA Paper, University Library of Munich, Germany Downloads
    Also in Discussion Paper Series, Institute of Economic Research, Korea University (2013) Downloads

2012

  1. Disappearing Dividends: Implications for the Dividend-Price Ratio and Return Predictability
    Discussion Paper Series, Institute of Economic Research, Korea University Downloads
    See also Journal Article in Journal of Money, Credit and Banking (2013)
  2. Markov-Switching Models with Evolving Regime-Specific Parameters: Are Post-War Booms or Recessions All Alike?
    Working Papers, University of Sydney, School of Economics Downloads View citations (5)

2011

  1. The Evolution of the Monetary Policy Regimes in the U.S
    Discussion Paper Series, Institute of Economic Research, Korea University Downloads View citations (2)
    See also Journal Article in Empirical Economics (2012)

2008

  1. Pricing Stock Market Volatility: Does It Matter Whether the Volatility is Related to the Business Cycle?
    Working Papers, University of Washington, Department of Economics Downloads View citations (6)

2006

  1. A Bayesian Approach to Counterfactual Analysis of Structural Change
    Computing in Economics and Finance 2006, Society for Computational Economics
    Also in Working Papers, Federal Reserve Bank of St. Louis (2006) Downloads View citations (2)
  2. A Time-Varying Parameter Model for a Forward-Looking Monetary Policy Rule Based on Real-Time Data
    Working Papers, University of Washington, Department of Economics Downloads View citations (7)

2005

  1. The dynamic relationship between permanent and transitory components of U.S. business cycles
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (1)
    Also in Working Papers, University of Washington, Department of Economics (2003) Downloads View citations (1)

    See also Journal Article in Journal of Money, Credit and Banking (2007)

2004

  1. Estimation of Markov regime-switching regression models with endogenous switching
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (14)
    See also Journal Article in Journal of Econometrics (2008)

2003

  1. A Markov Switching Model of Congressional Partisan Regimes
    Working Papers, University of Washington, Department of Economics Downloads
  2. Nonlinearity and the permanent effects of recessions
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (31)
    See also Journal Article in Journal of Applied Econometrics (2005)
  3. The less volatile U.S. economy: a Bayesian investigation of timing, breadth, and potential explanations
    Working Papers, Federal Reserve Bank of St. Louis Downloads View citations (7)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2001) Downloads View citations (30)

    See also Journal Article in Journal of Business & Economic Statistics (2004)

2002

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

2001

  1. Common stochastic trends, common cycles, and asymmetry in economic fluctuations
    Working Papers, Federal Reserve Bank of St. Louis Downloads
    Also in Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington (2000) Downloads
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) Downloads
    Working Papers, University of Washington, Department of Economics (2000) Downloads View citations (3)
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2000) Downloads

    See also Journal Article in Journal of Monetary Economics (2002)
  2. 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.) Downloads View citations (2)

2000

  1. 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 Downloads View citations (1)
    Also in Working Papers, University of Washington, Department of Economics (2000) Downloads View citations (1)
    Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington (1999) Downloads View citations (2)
    Working Papers, University of Washington, Department of Economics (1999) Downloads View citations (2)

    See also Journal Article in Journal of Empirical Finance (2001)
  2. 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 Downloads View citations (8)
    Also in Working Papers, University of Washington, Department of Economics (2000) Downloads View citations (3)

    See also Journal Article in Journal of Money, Credit and Banking (2004)
  3. Is There a Structural Break in the Equity Premium?
    Working Papers, University of Washington, Department of Economics Downloads View citations (1)
    Also in Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington (2000) Downloads View citations (1)

1999

  1. 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 Downloads View citations (6)
    Also in Working Papers, University of Washington, Department of Economics (1999) Downloads View citations (6)
    Working Papers, University of Washington, Department of Economics (1998) Downloads View citations (4)
    Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington (1998) Downloads View citations (5)

    See also Journal Article in International Economic Review (2001)
  2. Permanent and Transitory Nature of Recessions
    Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington Downloads View citations (1)
    Also in Working Papers, University of Washington, Department of Economics (1999) Downloads

1997

  1. Friedman's Plucking Model of Business Fluctuations: Tests and Estimates of Permanent and Transitory Components
    Working Papers, University of Washington, Department of Economics
    Also in Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington (1997)

    See also Journal Article in Journal of Money, Credit and Banking (1999)
  2. 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, Department of Economics at the University of Washington
    Also in Working Papers, University of Washington, Department of Economics (1997)

1996

  1. Testing for Men reversion in Heteroskedastic data Based on Gibbs-Simpling-Augmented Randomization
    Working Papers, University of Washington, Department of Economics
    Also in Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington (1996)
  2. The Long-Run U.S./U.K. Real Exchange Rate
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
    Also in Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington (1996) View citations (12)
    Working Papers, University of Washington, Department of Economics (1996) View citations (2)

    See also Journal Article in Journal of Money, Credit and Banking (1999)

1992

  1. Unobserved-Component Time-Series Models with Markov- Switching Heteroskedasticity: Changes in Regimes and the Link between Inflation Rates and Inflation Uncertainty
    Working Papers, York (Canada) - Department of Economics
    See also Journal Article in Journal of Business & Economic Statistics (1993)

1991

  1. Dynamic Linear Models with Markov-Switching
    Working Papers, York (Canada) - Department of Economics View citations (1)
    See also Journal Article in Journal of Econometrics (1994)

1989

  1. SOURCES OF MONETARY GROWTH UNCERTAINTY: AN ENCOMPASSING APPROACH BASED ON MONTE CARLO EXPERIMENT
    Working Papers, York (Canada) - Department of Economics

1988

  1. 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, Department of Economics at the University of Washington View citations (2)
    Also in Working Papers, University of Washington, Department of Economics (1988) View citations (2)
  2. 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 Downloads View citations (2)

Journal Articles

2013

  1. Disappearing Dividends: Implications for the Dividend–Price Ratio and Return Predictability
    Journal of Money, Credit and Banking, 2013, 45, (5), 933-952 Downloads View citations (2)
    See also Working Paper (2012)

2012

  1. The evolution of the monetary policy regimes in the U.S
    Empirical Economics, 2012, 43, (2), 617-649 Downloads View citations (7)
    See also Working Paper (2011)

2011

  1. Dealing with endogeneity in a time‐varying parameter model: joint estimation and two‐step estimation procedures
    Econometrics Journal, 2011, 14, (3), 487-497 Downloads View citations (4)

2010

  1. Dealing with Endogeneity in Regression Models with Dynamic Coefficients
    Foundations and Trends(R) in Econometrics, 2010, 3, (3), 165-266 Downloads View citations (1)

2009

  1. Changes in U.S. Inflation Persistence
    Studies in Nonlinear Dynamics & Econometrics, 2009, 13, (4), 1-23 Downloads View citations (29)
  2. Markov-switching models with endogenous explanatory variables II: A two-step MLE procedure
    Journal of Econometrics, 2009, 148, (1), 46-55 Downloads View citations (9)

2008

  1. Bayesian counterfactual analysis of the sources of the great moderation
    Journal of Applied Econometrics, 2008, 23, (2), 173-191 Downloads View citations (11)
  2. Estimation of Markov regime-switching regression models with endogenous switching
    Journal of Econometrics, 2008, 143, (2), 263-273 Downloads View citations (55)
    See also Working Paper (2004)
  3. Is the Backward-Looking Component Important in a New Keynesian Phillips Curve?
    Studies in Nonlinear Dynamics & Econometrics, 2008, 12, (3), 1-20 Downloads View citations (7)
  4. Markov-switching and the Beveridge-Nelson decomposition: Has US output persistence changed since 1984?
    Journal of Econometrics, 2008, 146, (2), 227-240 Downloads

2007

  1. The Dynamic Relationship between Permanent and Transitory Components of U.S. Business Cycles
    Journal of Money, Credit and Banking, 2007, 39, (1), 187-204 Downloads View citations (3)
    See also Working Paper (2005)
  2. Why are stock returns and volatility negatively correlated?
    Journal of Empirical Finance, 2007, 14, (1), 41-58 Downloads View citations (22)

2006

  1. Estimation of a forward-looking monetary policy rule: A time-varying parameter model using ex post data
    Journal of Monetary Economics, 2006, 53, (8), 1949-1966 Downloads View citations (59)
  2. Time-varying parameter models with endogenous regressors
    Economics Letters, 2006, 91, (1), 21-26 Downloads View citations (35)

2005

  1. Nonlinearity and the permanent effects of recessions
    Journal of Applied Econometrics, 2005, 20, (2), 291-309 Downloads View citations (48)
    See also Working Paper (2003)
  2. The Structural Break in the Equity Premium
    Journal of Business & Economic Statistics, 2005, 23, 181-191 Downloads View citations (26)

2004

  1. Is There a Positive Relationship between Stock Market Volatility and the Equity Premium?
    Journal of Money, Credit and Banking, 2004, 36, (3), 339-60 View citations (31)
    See also Working Paper (2000)
  2. Markov-switching models with endogenous explanatory variables
    Journal of Econometrics, 2004, 122, (1), 127-136 Downloads View citations (26)
  3. 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 (60)
    See also Working Paper (2003)

2002

  1. Common stochastic trends, common cycles, and asymmetry in economic fluctuations
    Journal of Monetary Economics, 2002, 49, (6), 1189-1211 Downloads View citations (28)
    See also Working Paper (2001)
  2. Permanent and transitory components of recessions
    Empirical Economics, 2002, 27, (2), 163-183 Downloads View citations (49)

2001

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

2000

  1. Capital Accumulation And Trade Policy:The Case Of Korea
    International Economic Journal, 2000, 14, (1), 111-131 Downloads View citations (1)

1999

  1. 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 (59)
    See also Working Paper (1997)
  2. 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 Downloads View citations (315)
  3. The Long-Run U.S./U.K. Real Exchange Rate
    Journal of Money, Credit and Banking, 1999, 31, (3), 335-56 View citations (29)
    See also Working Paper (1996)

1998

  1. 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 Downloads View citations (136)
  2. 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 Downloads View citations (29)
  3. Testing for mean reversion in heteroskedastic data based on Gibbs-sampling-augmented randomization1
    Journal of Empirical Finance, 1998, 5, (2), 131-154 Downloads View citations (63)

1996

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

1994

  1. Dynamic linear models with Markov-switching
    Journal of Econometrics, 1994, 60, (1-2), 1-22 Downloads View citations (432)
    See also Working Paper (1991)

1993

  1. 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 Downloads View citations (26)
  2. 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 (56)
    See also Working Paper (1992)

1989

  1. 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 (20)

Books

1999

  1. State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications, vol 1
    MIT Press Books, The MIT Press View citations (540)
 
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