Chang-Jin Kim : Citation Profile

Are you Chang-Jin Kim?

Korea University (50% share)
University of Washington (50% share)

22

H index

36

i10 index

3236

Citations

RESEARCH PRODUCTION:

35

Articles

55

Papers

1

Books

RESEARCH ACTIVITY:

   25 years (1988 - 2013). See details.
   Cites by year: 129
   Journals where Chang-Jin Kim has often published
   Relations with other researchers
   Recent citing documents: 132.    Total self citations: 40 (1.22 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pki84
   Updated: 2021-03-01    RAS profile: 2015-01-07    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Chang-Jin Kim.

Is cited by:

Balcilar, Mehmet (48)

Morley, James (47)

GUPTA, RANGAN (45)

Piger, Jeremy (43)

Camacho, Maximo (37)

Chauvet, Marcelle (35)

Leiva-Leon, Danilo (31)

Owyang, Michael (29)

Miller, Stephen (29)

Perez Quiros, Gabriel (28)

Demirer, Riza (27)

Cites to:

Nelson, Charles (57)

Startz, Richard (27)

Hamilton, James (24)

Galí, Jordi (18)

Gertler, Mark (17)

Watson, Mark (15)

Perron, Pierre (14)

Plosser, Charles (14)

Stock, James (13)

Campbell, John (12)

Zha, Tao (12)

Main data

Where Chang-Jin Kim has published?

Journals with more than one article published# docs
Journal of Money, Credit and Banking5
Journal of Econometrics5
Journal of Business & Economic Statistics4
Journal of Empirical Finance4
The Review of Economics and Statistics3
Journal of Applied Econometrics3
Empirical Economics2
Studies in Nonlinear Dynamics & Econometrics2
Journal of Monetary Economics2

Working Papers Series with more than one paper published# docs
Working Papers / University of Washington, Department of Economics17
Working Papers / Federal Reserve Bank of St. Louis6
Discussion Paper Series / Institute of Economic Research, Korea University4
International Finance Discussion Papers / Board of Governors of the Federal Reserve System (U.S.)3
MPRA Paper / University Library of Munich, Germany3

Recent works citing Chang-Jin Kim (2021 and 2020)

YearTitle of citing document
2020Bayesian state-space modeling for analyzing heterogeneous network effects of US monetary policy. (2019). Pfarrhofer, Michael ; Hauzenberger, Niko. In: Papers. RePEc:arx:papers:1911.06206.

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2020A multi-country dynamic factor model with stochastic volatility for euro area business cycle analysis. (2020). Huber, Florian ; Piribauer, Philipp ; Pfarrhofer, Michael. In: Papers. RePEc:arx:papers:2001.03935.

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2020Markov Switching. (2020). Wo, Tomasz ; Song, Yong. In: Papers. RePEc:arx:papers:2002.03598.

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2020Hidden Markov Models Applied To Intraday Momentum Trading With Side Information. (2020). Turner, Richard ; Godsill, Simon ; Christensen, Hugh. In: Papers. RePEc:arx:papers:2006.08307.

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2020Estimating TVP-VAR models with time invariant long-run multipliers. (2020). Polbin, Andrey ; Krymova, Ekaterina ; Belomestny, Denis. In: Papers. RePEc:arx:papers:2008.00718.

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2020Asymptotic Properties of the Maximum Likelihood Estimator in Endogenous Regime-Switching Models. (2020). Liu, Yan. In: Papers. RePEc:arx:papers:2010.04930.

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2020Developments on the Bayesian Structural Time Series Model: Trending Growth. (2020). Kohns, David ; Bhattacharjee, Arnab. In: Papers. RePEc:arx:papers:2011.00938.

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2020On Classifying the Effects of Policy Announcements on Volatility. (2020). Otranto, Edoardo ; Gallo, Giampiero ; Lacava, Demetrio. In: Papers. RePEc:arx:papers:2011.14094.

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2020Monetary Policy Independence and the Strength of the Global Financial Cycle. (2020). Leiva-Leon, Danilo ; Guérin, Pierre ; Friedrich, Christian. In: Staff Working Papers. RePEc:bca:bocawp:20-25.

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2020On Causal Networks of Financial Firms: Structural Identification via Non-parametric Heteroskedasticity. (2020). Hipp, Ruben. In: Staff Working Papers. RePEc:bca:bocawp:20-42.

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2020Spillover effects in international business cycles. (2020). Perez Quiros, Gabriel ; Pacce, Matías ; Camacho, Maximo ; Perez-Quiros, Gabriel. In: Working Papers. RePEc:bde:wpaper:2034.

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2020A Plucking Model of Business Cycles. (2020). Dupraz, Stéphane ; Steinsson, Jon ; Nakamura, Emi. In: Working papers. RePEc:bfr:banfra:748.

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2020A Factor Model Analysis of the Australian Economy and the Effects of Inflation Targeting. (2020). Hartigan, Luke ; Morley, James. In: The Economic Record. RePEc:bla:ecorec:v:96:y:2020:i:314:p:271-293.

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2020Term structure determinants of time‐varying risk of 1‐year bond returns. (2020). Khanapure, Revansiddha Basavaraj. In: The Financial Review. RePEc:bla:finrev:v:55:y:2020:i:3:p:365-384.

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2020Estimating Excess Sensitivity and Habit Persistence in Consumption Using Greenbook Forecasts. (2020). Kishor, N ; Bhatt, Vipul ; Marfatia, Hardik. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:82:y:2020:i:2:p:257-284.

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2020Consumption and exchange rate uncertainty: Evidence from selected Asian countries. (2020). Ho, Sin-Yu ; Iyke, Bernard Njindan. In: The World Economy. RePEc:bla:worlde:v:43:y:2020:i:9:p:2437-2462.

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2021Do Central Banks Respond to Exchange Rate Movements? A Markov-Switching Structural Investigation of Commodity Exporters and Importers. (2021). Maih, Junior ; Alstadheim, Ragna ; Bjornland, Hilde Christiane. In: Working Papers. RePEc:bny:wpaper:0095.

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2020Investment under Rational Inattention: Evidence from US Sectoral Data. (2020). Zorn, Peter. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8436.

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2020Macroeconomics, Nonlinearities, and the Business Cycle. (2020). Reif, Magnus. In: ifo Beiträge zur Wirtschaftsforschung. RePEc:ces:ifobei:87.

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2020Trend, Seasonal, and Sectorial Inflation in the Euro Area. (2020). Watson, Mark W ; Stock, James H. In: Central Banking, Analysis, and Economic Policies Book Series. RePEc:chb:bcchsb:v27c09pp317-344.

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2020On Classifying the Effects of Policy Announcements on Volatility. (2020). Otranto, Edoardo ; Gallo, Giampiero ; Lacava, D. In: Working Paper CRENoS. RePEc:cns:cnscwp:202008.

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2020Global Macro-Financial Cycles and Spillovers. (2020). Ha, Jongrim ; Kose, Ayhan ; Otrok, Christopher ; Prasad, Eswar. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14404.

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2020Spillover effects in international business cycles. (2020). Pacce, Matías ; Camacho, Maximo ; Perez-Quiros, Gabriel. In: Working Paper Series. RePEc:ecb:ecbwps:20202484.

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2021A Markov Switching VECM Model for Russian Real GDP, Real Exchange Rate and Oil Prices. (2021). Kulikov, Alexander Vladimirovich ; Bedin, Andrey Feliksovich ; Polbin, Andrey Vladimirovich. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2021-02-48.

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2020Synchronization of regional growth dynamics in China. (2020). Ma, Jun ; Bian, Zhicun ; Stewart, Shamar ; Ni, Jinlan. In: China Economic Review. RePEc:eee:chieco:v:61:y:2020:i:c:s1043951x18301305.

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2020Growth cycles and business cycles of the Chinese economy through the lens of the unobserved components model. (2020). Liu, Zehao ; Han, Yang ; Ma, Jun. In: China Economic Review. RePEc:eee:chieco:v:63:y:2020:i:c:s1043951x19300781.

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2020Bayesian variable selection in non-homogeneous hidden Markov models through an evolutionary Monte Carlo method. (2020). Spezia, Luigi. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:143:y:2020:i:c:s0167947319301951.

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2020Government spending and heterogeneous consumption dynamics. (2020). Laumer, Sebastian. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:114:y:2020:i:c:s0165188920300373.

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2020A test for inflation persistence in Nigeria using fractional integration & fractional cointegration techniques. (2020). Salisu, Afees ; Ebuh, Godday U ; Tule, Moses K. In: Economic Modelling. RePEc:eee:ecmode:v:87:y:2020:i:c:p:225-237.

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2020Is the slope of the Phillips curve time-varying? Evidence from unobserved components models. (2020). Fu, Bowen. In: Economic Modelling. RePEc:eee:ecmode:v:88:y:2020:i:c:p:320-340.

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2020Evaluating sovereign risk spillovers on domestic banks during the European debt crisis. (2020). Keddad, Benjamin ; Schalck, Christophe. In: Economic Modelling. RePEc:eee:ecmode:v:88:y:2020:i:c:p:356-375.

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2020Risk spillover between the US and the remaining G7 stock markets using time-varying copulas with Markov switching: Evidence from over a century of data. (2020). Ji, Qiang ; GUPTA, RANGAN ; Cunado, Juncal ; Liu, Bing-Yue. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s106294081830319x.

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2020Industry risk transmission channels and the spillover effects of specific determinants in China’s stock market: A spatial econometrics approach. (2020). Jin, Xiu ; Chen, NA. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819301986.

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2020Foreign direct investment and financial markets influences: Results from the United States. (2020). Malladi, Rama ; Yavas, Burhan F. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820300796.

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2020Contagion effects and risk transmission channels in the housing, stock, interest rate and currency markets: An Empirical Study in China and the U.S.. (2020). Zong, LU ; Wang, Peiwan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940819302864.

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2020Identification of business cycles and the Great Moderation in the post-war U.S. economy. (2020). Jiang, YU. In: Economics Letters. RePEc:eee:ecolet:v:190:y:2020:i:c:s0165176520300732.

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2020Bubble regime identification in an attention-based model for Bitcoin and Ethereum price dynamics. (2020). Figa-Talamanca, Gianna ; Cretarola, Alessandra. In: Economics Letters. RePEc:eee:ecolet:v:191:y:2020:i:c:s0165176519304203.

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2020Adaptive estimation of AR? models with time-varying variances. (2020). Wu, Jilin ; Zhang, Erhua. In: Economics Letters. RePEc:eee:ecolet:v:197:y:2020:i:c:s0165176520304018.

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2020Threshold factor models for high-dimensional time series. (2020). Chen, Rong ; Liu, Xialu. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:53-70.

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2020Dynamics of variance risk premia: A new model for disentangling the price of risk. (2020). Violante, Francesco ; Stentoft, Lars. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:312-334.

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2020Variance swap payoffs, risk premia and extreme market conditions. (2020). Violante, Francesco ; Stentoft, Lars. In: Econometrics and Statistics. RePEc:eee:ecosta:v:13:y:2020:i:c:p:106-124.

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2020Financial conditions and monetary policy in the US. (2020). Çevik, Emrah ; Dibooglu, Sel ; Cevik, Emrah Ismail ; Yildirim, Durmus Cagri ; Erdogan, Seyfettin. In: Economic Systems. RePEc:eee:ecosys:v:44:y:2020:i:4:s0939362518303947.

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2020The response of CO2 emissions to the business cycle: New evidence for the U.S.. (2020). Klarl, Torben. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s014098831930355x.

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2020Exploiting the heteroskedasticity in measurement error to improve volatility predictions in oil and biofuel feedstock markets. (2020). Smyth, Russell ; Bissoondoyal-Bheenick, Emawtee ; Brooks, Robert. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988320300281.

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2020Explaining the nonlinear response of stock markets to oil price shocks. (2020). Sharma, Shahil ; Escobari, Diego. In: Energy. RePEc:eee:energy:v:213:y:2020:i:c:s0360544220318855.

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2020Inflation expectations and the recovery from the Great Depression in Germany. (2020). Steege, Lucas Ter ; Daniel, Volker. In: Explorations in Economic History. RePEc:eee:exehis:v:75:y:2020:i:c:s0014498318301554.

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2020Are hedge funds active market liquidity timers?. (2020). Li, Chenlu ; Tee, Kai-Hong. In: International Review of Financial Analysis. RePEc:eee:finana:v:67:y:2020:i:c:s1057521918306641.

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2020Dynamic volatility spillover effects between oil and agricultural products. (2020). Nguyen, Duc Khuong ; Do, Hung ; Brooks, Robert ; Yip, Pick Schen. In: International Review of Financial Analysis. RePEc:eee:finana:v:69:y:2020:i:c:s1057521920301095.

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2020Regime switching in the present value models: A backward-solving method. (2020). Chung, Keunsuk ; Kim, Jan R. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s154461231830881x.

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2020Testing for mean reversion in Bitcoin returns with Gibbs-sampling-augmented randomization. (2020). Caldeira, Joo Frois ; Henrique, Fernando ; Turattia, Douglas Eduardo. In: Finance Research Letters. RePEc:eee:finlet:v:34:y:2020:i:c:s1544612319306415.

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2020Global factors and trend inflation. (2020). Wong, Benjamin ; Kamber, Gunes. In: Journal of International Economics. RePEc:eee:inecon:v:122:y:2020:i:c:s002219961930087x.

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2020Improved recession dating using stock market volatility. (2020). Startz, Richard ; Huang, Yu-Fan. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:507-514.

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2020Nowcasting in real time using popularity priors. (2020). Monokroussos, George ; Zhao, Yongchen. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:1173-1180.

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2020Predicting ordinary and severe recessions with a three-state Markov-switching dynamic factor model. (2020). Wolters, Maik ; Reif, Magnus ; Heinrich, Markus ; Carstensen, Kai. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:829-850.

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2020The determinants of bank loan recovery rates in good times and bad – New evidence. (2020). Vaz, John ; Fenech, Jean-Pierre ; Forbes, Catherine S ; Wang, Hong. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:177:y:2020:i:c:p:875-897.

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2020Liquidity regimes and optimal dynamic asset allocation. (2020). Salam, Mehmet ; Daniel, Kent ; Collin-Dufresne, Pierre. In: Journal of Financial Economics. RePEc:eee:jfinec:v:136:y:2020:i:2:p:379-406.

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2020Unemployment flows, participation, and the natural rate of unemployment: Evidence from turkey. (2020). Sengul, Gonul ; Tasci, Murat. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:64:y:2020:i:c:s0164070419300783.

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2020Financial frictions and changing macroeconomic volatility. (2020). Higgins, Charles. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:64:y:2020:i:c:s0164070419302629.

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2020Is the Taylor principle still valid when rates are low?. (2020). Morris, Stephen D. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:64:y:2020:i:c:s0164070419304690.

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2020A look at jobless recoveries in G7 countries. (2020). Nikolsko-Rzhevskyy, Alex ; Panovska, Irina ; Elroukh, Ahmed W. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:64:y:2020:i:c:s0164070420301324.

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2020Asymmetric effects of U.S. monetary policy on the U.S. bilateral trade deficit with China: A Markov switching ARDL model approach. (2020). Nguyen, Canh ; Dinhthanh, SU ; Doytch, Nadia ; Canh, Nguyen Phuc. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:22:y:2020:i:c:s1703494920300153.

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2020Price spillovers between rare earth stocks and financial markets. (2020). Ugolini, Andrea ; Reboredo, Juan. In: Resources Policy. RePEc:eee:jrpoli:v:66:y:2020:i:c:s0301420719308311.

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2020Time-varying impact of oil prices on sectoral stock returns: Evidence from Turkey. (2020). Kila, Gul Huyuguzel ; Atik, Abdurrahman Nazif ; Akdeniz, Cokun. In: Resources Policy. RePEc:eee:jrpoli:v:69:y:2020:i:c:s030142072030876x.

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2020Modeling the relationship between oil and USD exchange rates: Evidence from a regime-switching-quantile regression approach. (2020). Mokni, Khaled ; Youssef, Manel. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:55:y:2020:i:c:s1042444x20300141.

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2020Demand forecasting in the presence of systematic events: Cases in capturing sales promotions. (2020). Fahimnia, Behnam ; Eshragh, Ali ; Hurley, Jason ; Abolghasemi, Mahdi. In: International Journal of Production Economics. RePEc:eee:proeco:v:230:y:2020:i:c:s0925527320302553.

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2021Identification of Extreme Capital Flows in Emerging Markets. (2021). Dhar, Amrita. In: International Review of Economics & Finance. RePEc:eee:reveco:v:71:y:2021:i:c:p:359-384.

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2020GDP-employment decoupling in Germany. (2020). Weber, Enzo ; Klinger, Sabine. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:52:y:2020:i:c:p:82-98.

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2020The effect of global and regional stock market shocks on safe haven assets. (2020). GUPTA, RANGAN ; Demirer, Riza ; Balcilar, Mehmet ; Wohar, Mark E. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:54:y:2020:i:c:p:297-308.

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2021Identifying shipowners’ risk attitudes over gains and losses: Evidence from the dry bulk freight market. (2021). Nomikos, Nikos K ; Giamouzi, Maria. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:145:y:2021:i:c:s1366554520307778.

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2020An asymmetrical overshooting correction model for G20 nominal effective exchange rates. (2020). Bec, Frédérique ; ben Salem, Melika ; Bensalem, Melika . In: THEMA Working Papers. RePEc:ema:worpap:2020-11.

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2020Disasters Everywhere: The Costs of Business Cycles Reconsidered. (2020). Taylor, Alan ; Schularick, Moritz ; Jorda, Oscar. In: Staff Reports. RePEc:fip:fednsr:87987.

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2020The Dynamics of the S&P 500 under a Crisis Context: Insights from a Three-Regime Switching Model. (2020). Leccadito, Arturo ; Lamantia, Fabio ; la Mantia, Fabio ; de Giovanni, Domenico ; Costabile, Massimo ; Baiardi, Lorenzo Cerboni ; Staino, Alessandro ; Russo, Emilio ; Pirra, Marco ; Menzietti, Massimiliano ; Massabo, Ivar. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:3:p:71-:d:379251.

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2020Research on the Time-Varying Impact of Economic Policy Uncertainty on Crude Oil Price Fluctuation. (2020). Li, Tinghui ; Failler, Pierre ; Xu, Dilong ; Feng, Yanhong . In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:16:p:6523-:d:398132.

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2020An asymmetrical overshooting correction model for G20 nominal effective exchange rates. (2020). Bec, Frédérique ; ben Salem, Melika ; Bensalem, Melika . In: PSE Working Papers. RePEc:hal:psewpa:hal-02908680.

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2020Business cycle dynamics after the Great Recession: An Extended Markov-Switching Dynamic Factor Model. (2020). Ferrara, Laurent ; Doz, Catherine ; Pionnier, Pierre-Alain. In: PSE Working Papers. RePEc:hal:psewpa:halshs-02443364.

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2020Inflation, uncertainty and labor market conditions in the US. (2020). Albulescu, Claudiu ; Oros, Cornel. In: Working Papers. RePEc:hal:wpaper:hal-02464147.

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2020An asymmetrical overshooting correction model for G20 nominal effective exchange rates. (2020). Bec, Frédérique ; ben Salem, Melika ; Bensalem, Melika . In: Working Papers. RePEc:hal:wpaper:hal-02908680.

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2020Business cycle dynamics after the Great Recession: An Extended Markov-Switching Dynamic Factor Model. (2020). Pionnier, Pierre-Alain ; Ferrara, Laurent ; Doz, Catherine. In: Working Papers. RePEc:hal:wpaper:halshs-02443364.

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2020Aggregate Consumption and Wealth in the Long Run: The Impact of Financial Liberalization. (2020). Gardberg, Malin. In: Working Paper Series. RePEc:hhs:iuiwop:1339.

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2020Why has the U.S. economy stagnated since the Great Recession?. (2020). Morley, James ; Eo, Yunjong. In: Discussion Paper Series. RePEc:iek:wpaper:2001.

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2020Reading a central bankers preference: A non parametric regression approach. (2020). Park, Cheolbeom. In: Discussion Paper Series. RePEc:iek:wpaper:2007.

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2020Finite Horizons and the Monetary/Fiscal Policy Mix. (2020). Mavromatis, Kostas(Konstantinos). In: International Journal of Central Banking. RePEc:ijc:ijcjou:y:2020:q:3:a:8.

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2020Credit Risk, Liquidity, and Lies. (2020). King, Thomas ; Lewis, Kurt F. In: International Journal of Central Banking. RePEc:ijc:ijcjou:y:2020:q:4:a:6.

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2020Regime changes in Indias monetary policy and Tenures of RBI governors. (2020). Sengupta, Rajeswari ; Mustafi, Utso Pal. In: Indira Gandhi Institute of Development Research, Mumbai Working Papers. RePEc:ind:igiwpp:2020-011.

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2020Dynamic Expectations Formation and U.S. Monetary Policy Regime Change. (2020). Wei, Xin. In: CAEPR Working Papers. RePEc:inu:caeprp:2020007.

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2020Global Macro-Financial Cycles and Spillovers. (2020). Prasad, Eswar ; Kose, Ayhan ; Ha, Jongrim ; Otrok, Christopher. In: IZA Discussion Papers. RePEc:iza:izadps:dp13000.

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2020Semi-Structural VAR and Unobserved Components Models to Estimate Finance-Neutral Output Gap. (2020). Lequien, Matthieu ; Kátay, Gábor ; Kerdelhu, Lisa. In: Working Papers. RePEc:jrs:wpaper:202011.

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2020Trend of Commodity Prices and Exchange Rate in Australian Economy: Time Varying Parameter Model Approach. (2020). Bhar, Ramaprasad ; Roy, Debasish. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:27:y:2020:i:3:d:10.1007_s10690-020-09301-9.

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2021Learning through observation or through acquisition? Innovation performance as an outcome of internal and external knowledge combination. (2021). Xia, Jun ; Lin, Zhouyu ; Jiao, Jie ; Jiang, Marshall S. In: Asia Pacific Journal of Management. RePEc:kap:asiapa:v:38:y:2021:i:1:d:10.1007_s10490-018-9592-x.

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2020Modelling Time-Varying Parameters in Panel Data State-Space Frameworks: An Application to the Feldstein–Horioka Puzzle. (2020). Tamarit, Cecilio ; Camarero, Mariam ; Sapena, Juan. In: Computational Economics. RePEc:kap:compec:v:56:y:2020:i:1:d:10.1007_s10614-019-09879-x.

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2020Forecasting with Second-Order Approximations and Markov-Switching DSGE Models. (2020). Kotze, Kevin ; GUPTA, RANGAN ; Ekin, Semih Emre ; Ivashchenko, Sergey. In: Computational Economics. RePEc:kap:compec:v:56:y:2020:i:4:d:10.1007_s10614-019-09941-8.

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2020The effects of transitory and permanent inflation uncertainty on investment in Ghana. (2020). Ho, Sin-Yu ; Iyke, Bernard Njindan. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:53:y:2020:i:1:d:10.1007_s10644-019-09252-w.

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2021Option pricing under stock market cycles with jump risks: evidence from the S&P 500 index. (2021). Lin, Shih-Kuei ; Chuang, Ming-Che ; Shyu, So-De ; Wang, Shin-Yun. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:56:y:2021:i:1:d:10.1007_s11156-020-00885-x.

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2020Global Macro-Financial Cycles and Spillovers. (2020). Prasad, Eswar ; Kose, Ayhan ; Ha, Jongrim ; Otrok, Christopher. In: Koç University-TUSIAD Economic Research Forum Working Papers. RePEc:koc:wpaper:2004.

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2020Using Survey Information for Improving the Density Nowcasting of US GDP with a Focus on Predictive Performance during Covid-19 Pandemic. (2020). Demircan, Hamza ; Cakmakli, Cem . In: Koç University-TUSIAD Economic Research Forum Working Papers. RePEc:koc:wpaper:2016.

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2021Should Stock Returns Predictability be hooked on Long Horizon Regressions?. (2021). Dergiades, Theologos ; Pouliasis, Panos K. In: Discussion Paper Series. RePEc:mcd:mcddps:2021_03.

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2020Real-Time Weakness of the Global Economy: A First Assessment of the Coronavirus Crisis. (2020). Rots, Eyno ; Leiva-Leon, Danilo ; Perez-Quiros, Gabriel. In: MNB Working Papers. RePEc:mnb:wpaper:2020/4.

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2020Global Macro-Financial Cycles and Spillovers. (2020). Prasad, Eswar ; Otrok, Christopher ; Kose, Ayhan ; Ha, Jongrim. In: NBER Working Papers. RePEc:nbr:nberwo:26798.

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2020Estimating Macroeconomic Models of Financial Crises: An Endogenous Regime-Switching Approach. (2020). Rebucci, Alessandro ; Otrok, Christopher ; Foerster, Andrew ; Benigno, Gianluca. In: NBER Working Papers. RePEc:nbr:nberwo:26935.

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2020Disasters Everywhere: The Costs of Business Cycles Reconsidered. (2020). Taylor, Alan ; Jorda, Oscar ; Schularick, Moritz. In: NBER Working Papers. RePEc:nbr:nberwo:26962.

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2020Strategic Interactions in U.S. Monetary and Fiscal Policies. (2020). Leith, Campbell ; Leeper, Eric ; Chen, Xiaoshan. In: NBER Working Papers. RePEc:nbr:nberwo:27540.

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More than 100 citations found, this list is not complete...

Works by Chang-Jin Kim:

YearTitleTypeCited
1993Unobserved-Component Time Series Models with Markov-Switching Heteroscedasticity: Changes in Regime and the Link between Inflation Rates and Inflation Uncertainty. In: Journal of Business & Economic Statistics.
[Citation analysis]		article67
1992Unobserved-Component Time-Series Models with Markov- Switching Heteroskedasticity: Changes in Regimes and the Link between Inflation Rates and Inflation Uncertainty..(1992) In: York (Canada) - Department of Economics.
[Citation analysis]
This paper has another version. Agregated cites: 67		paper
2004The Less-Volatile U.S. Economy: A Bayesian Investigation of Timing, Breadth, and Potential Explanations. In: Journal of Business & Economic Statistics.
[Citation analysis]		article104
2001The less volatile U.S. economy: a Bayesian investigation of timing, breadth, and potential explanations.(2001) In: International Finance Discussion Papers.
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2003The less volatile U.S. economy: a Bayesian investigation of timing, breadth, and potential explanations.(2003) In: Working Papers.
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This paper has another version. Agregated cites: 104		paper
2005The Structural Break in the Equity Premium In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article33
1989The Time-Varying-Parameter Model for Modeling Changing Conditional Variance: The Case of the Lucas Hypothesis. In: Journal of Business & Economic Statistics.
[Citation analysis]		article24
2008Is the Backward-Looking Component Important in a New Keynesian Phillips Curve? In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article10
2009Changes in U.S. Inflation Persistence In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article31
2002Exchange Rate Regimes and Monetary Independence in East Asia In: Finance Working Papers.
[Full Text][Citation analysis]		paper1
2000Common Stochastic Trends, Common Cycles, and Asymmetry in Economic Fluctuations In: Econometric Society World Congress 2000 Contributed Papers.
[Full Text][Citation analysis]		paper37
2002Common stochastic trends, common cycles, and asymmetry in economic fluctuations.(2002) In: Journal of Monetary Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 37		article
2000Common stochastic trends, common cycles, and asymmetry in economic fluctuations.(2000) In: International Finance Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 37		paper
2001Common stochastic trends, common cycles, and asymmetry in economic fluctuations.(2001) In: Working Papers.
[Full Text][Citation analysis]
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2000Common Stochastic Trends, Common Cycles, and Asymmetry in Economic Fluctuations.(2000) In: Discussion Papers in Economics at the University of Washington.
[Full Text][Citation analysis]
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2000Common Stochastic Trends, Common Cycles, and Asymmetry in Economic Fluctuations.(2000) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 37		paper
2011Dealing with endogeneity in a time‐varying parameter model: joint estimation and two‐step estimation procedures In: Econometrics Journal.
[Full Text][Citation analysis]		article12
2006Time-varying parameter models with endogenous regressors In: Economics Letters.
[Full Text][Citation analysis]		article47
2004Markov-switching models with endogenous explanatory variables In: Journal of Econometrics.
[Full Text][Citation analysis]		article34
2008Estimation of Markov regime-switching regression models with endogenous switching In: Journal of Econometrics.
[Full Text][Citation analysis]		article111
2004Estimation of Markov regime-switching regression models with endogenous switching.(2004) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 111		paper
2008Markov-switching and the Beveridge-Nelson decomposition: Has US output persistence changed since 1984? In: Journal of Econometrics.
[Full Text][Citation analysis]		article1
2009Markov-switching models with endogenous explanatory variables II: A two-step MLE procedure In: Journal of Econometrics.
[Full Text][Citation analysis]		article14
1994Dynamic linear models with Markov-switching In: Journal of Econometrics.
[Full Text][Citation analysis]		article569
1991Dynamic Linear Models with Markov-Switching..(1991) In: York (Canada) - Department of Economics.
[Citation analysis]
This paper has another version. Agregated cites: 569		paper
2007Why are stock returns and volatility negatively correlated? In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article37
1998Testing for mean reversion in heteroskedastic data based on Gibbs-sampling-augmented randomization1 In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article71
1998Testing for mean reversion in heteroskedastic data II: Autoregression tests based on Gibbs-sampling-augmented randomization1 In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article39
2001Does an intertemporal tradeoff between risk and return explain mean reversion in stock prices? In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article11
2000Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices?.(2000) In: Discussion Papers in Economics at the University of Washington.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11		paper
1999Does an Intertemporal Tradeoff between Risk and Return Explain Mean Reversion in Stock Prices?.(1999) In: Discussion Papers in Economics at the University of Washington.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11		paper
2000Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices?.(2000) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11		paper
1999Does an Intertemporal Tradeoff between Risk and Return Explain Mean Reversion in Stock Prices?.(1999) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11		paper
2006Estimation of a forward-looking monetary policy rule: A time-varying parameter model using ex post data In: Journal of Monetary Economics.
[Full Text][Citation analysis]		article87
2001Permanent and transitory components of business cycles: their relative importance and dynamic relationship In: International Finance Discussion Papers.
[Full Text][Citation analysis]		paper3
2005The dynamic relationship between permanent and transitory components of U.S. business cycles In: Working Papers.
[Full Text][Citation analysis]		paper10
2007The Dynamic Relationship between Permanent and Transitory Components of U.S. Business Cycles.(2007) In: Journal of Money, Credit and Banking.
[Citation analysis]
This paper has another version. Agregated cites: 10		article
2003The Dynamic Relationship Between Permanent and Transitory Components of U.S. Business Cycle.(2003) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10		paper
2003Nonlinearity and the permanent effects of recessions In: Working Papers.
[Full Text][Citation analysis]		paper102
2005Nonlinearity and the permanent effects of recessions.(2005) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 102		article
2006A Bayesian approach to counterfactual analysis of structural change In: Working Papers.
[Full Text][Citation analysis]		paper2
2006A Bayesian Approach to Counterfactual Analysis of Structural Change.(2006) In: Computing in Economics and Finance 2006.
[Citation analysis]
This paper has another version. Agregated cites: 2		paper
2000Is There a Positive Relationship between Stock Market Volatility and the Equity Premium? In: Discussion Papers in Economics at the University of Washington.
[Full Text][Citation analysis]		paper50
2004Is There a Positive Relationship between Stock Market Volatility and the Equity Premium?.(2004) In: Journal of Money, Credit and Banking.
[Citation analysis]
This paper has another version. Agregated cites: 50		article
2000Is There a Positive Relationship between Stock Market Volatility and the Equity Premium?.(2000) In: Working Papers.
[Full Text][Citation analysis]
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2000Is There a Structural Break in the Equity Premium? In: Discussion Papers in Economics at the University of Washington.
[Full Text][Citation analysis]		paper1
2000Is There a Structural Break in the Equity Premium?.(2000) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
1999A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models In: Discussion Papers in Economics at the University of Washington.
[Full Text][Citation analysis]		paper19
1998A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models.(1998) In: Discussion Papers in Economics at the University of Washington.
[Full Text][Citation analysis]
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2001A Bayesian Approach to Testing for Markov-Switching in Univariate and Dynamic Factor Models..(2001) In: International Economic Review.
[Citation analysis]
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1999A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models.(1999) In: Working Papers.
[Full Text][Citation analysis]
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1998A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models.(1998) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 19		paper
1999Permanent and Transitory Nature of Recessions In: Discussion Papers in Economics at the University of Washington.
[Full Text][Citation analysis]		paper1
1999Permanent and Transitory Nature of Recessions.(1999) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		paper
1988THE TIME-VARYING-PARAMETER MODEL AS AN ALTERNATIVE TO ARCH FOR MODELING CHANGING CONDITIONAL VARIANCE: THE CASE OF THE LUCAS HYPOTHESIS. In: Discussion Papers in Economics at the University of Washington.
[Citation analysis]		paper3
1988The Time-Varying-Parameter Model as an Alternative to ARCH for Modeling Changing Conditional Variance: The Case of Lucas Hypothesis.(1988) In: NBER Technical Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		paper
1988THE TIME-VARYING-PARAMETER MODEL AS AN ALTERNATIVE TO ARCH FOR MODELING CHANGING CONDITIONAL VARIANCE: THE CASE OF THE LUCAS HYPOTHESIS..(1988) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 3		paper
1996Testing for Men reversion in Heteroskedastic data Based on Gibbs-Simpling-Augmented Randomization. In: Discussion Papers in Economics at the University of Washington.
[Citation analysis]		paper0
1996Testing for Men reversion in Heteroskedastic data Based on Gibbs-Simpling-Augmented Randomization..(1996) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 0		paper
1996The Long-Run U.S./U.K. real Exchange Rate. In: Discussion Papers in Economics at the University of Washington.
[Citation analysis]		paper43
1999The Long-Run U.S./U.K. Real Exchange Rate..(1999) In: Journal of Money, Credit and Banking.
[Citation analysis]
This paper has another version. Agregated cites: 43		article
1996The Long-Run U.S./U.K. Real Exchange Rate.(1996) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 43		paper
1996The Long-Run U.S./U.K. real Exchange Rate..(1996) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 43		paper
1997Friedmans Plucking Model of Business Fluctuations : Tests and Estimates of Permanent and Transitory Components. In: Discussion Papers in Economics at the University of Washington.
[Citation analysis]		paper78
1999Friedmans Plucking Model of Business Fluctuations: Tests and Estimates of Permanent and Transitory Components..(1999) In: Journal of Money, Credit and Banking.
[Citation analysis]
This paper has another version. Agregated cites: 78		article
1997Friedmans Plucking Model of Business Fluctuations : Tests and Estimates of Permanent and Transitory Components..(1997) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 78		paper
1997Testing for Mean Reversion in Heteroskedastic Data II : Autoregression Tests Based on Gibbs-Sampling-Augmented Randomization. In: Discussion Papers in Economics at the University of Washington.
[Citation analysis]		paper0
1997Testing for Mean Reversion in Heteroskedastic Data II : Autoregression Tests Based on Gibbs-Sampling-Augmented Randomization..(1997) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 0		paper
1989SOURCES OF MONETARY GROWTH UNCERTAINTY: AN ENCOMPASSING APPROACH BASED ON MONTE CARLO EXPERIMENT. In: York (Canada) - Department of Economics.
[Citation analysis]		paper0
2011The Evolution of the Monetary Policy Regimes in the U.S. In: Discussion Paper Series.
[Full Text][Citation analysis]		paper15
2012The evolution of the monetary policy regimes in the U.S..(2012) In: Empirical Economics.
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This paper has another version. Agregated cites: 15		article
2012Disappearing Dividends: Implications for the Dividend-Price Ratio and Return Predictability In: Discussion Paper Series.
[Full Text][Citation analysis]		paper7
2013Disappearing Dividends: Implications for the Dividend-Price Ratio and Return Predictability.(2013) In: Journal of Money, Credit and Banking.
[Full Text][Citation analysis]
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2013Trend Inflation and the Nature of Structural Breaks in the New Keynesian Phillips Curve In: Discussion Paper Series.
[Full Text][Citation analysis]		paper22
2013Trend Inflation and the Nature of Structural Breaks in the New Keynesian Phillips Curve.(2013) In: MPRA Paper.
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This paper has another version. Agregated cites: 22		paper
2013Bayesian Inference in Regime-Switching ARMA Models with Absorbing States: The Dynamics of the Ex-Ante Real Interest Rate Under Structural Breaks In: Discussion Paper Series.
[Full Text][Citation analysis]		paper3
2013Bayesian Inference in Regime-Switching ARMA Models with Absorbing States: The Dynamics of the Ex-Ante Real Interest Rate Under Structural Breaks.(2013) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3		paper
1996Transient Fads and the Crash of 87. In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article12
2008Bayesian counterfactual analysis of the sources of the great moderation In: Journal of Applied Econometrics.
[Full Text][Citation analysis]		article13
1999State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications In: MIT Press Books.
[Citation analysis]		book759
2010Dealing with Endogeneity in Regression Models with Dynamic Coefficients In: Foundations and Trends(R) in Econometrics.
[Full Text][Citation analysis]		article2
2013The `Pile-up Problem in Trend-Cycle Decomposition of Real GDP: Classical and Bayesian Perspectives In: MPRA Paper.
[Full Text][Citation analysis]		paper4
2002Permanent and transitory components of recessions In: Empirical Economics.
[Full Text][Citation analysis]		article51
2012Markov-Switching Models with Evolving Regime-Specific Parameters: Are Post-War Booms or Recessions All Alike? In: Working Papers.
[Full Text][Citation analysis]		paper19
2000Capital Accumulation And Trade Policy:The Case Of Korea In: International Economic Journal.
[Full Text][Citation analysis]		article2
1993Sources of Monetary Growth Uncertainty and Economic Activity: The Time-Varying-Parameter Model with Heteroskedastic Disturbances. In: The Review of Economics and Statistics.
[Full Text][Citation analysis]		article22
1998Business Cycle Turning Points, A New Coincident Index, And Tests Of Duration Dependence Based On A Dynamic Factor Model With Regime Switching In: The Review of Economics and Statistics.
[Full Text][Citation analysis]		article210
1999Has The U.S. Economy Become More Stable? A Bayesian Approach Based On A Markov-Switching Model Of The Business Cycle In: The Review of Economics and Statistics.
[Full Text][Citation analysis]		article420
2003A Markov Switching Model of Congressional Partisan Regimes In: Working Papers.
[Full Text][Citation analysis]		paper0
2008Pricing Stock Market Volatility: Does It Matter Whether the Volatility is Related to the Business Cycle? In: Working Papers.
[Full Text][Citation analysis]		paper12
2006A Time-Varying Parameter Model for a Forward-Looking Monetary Policy Rule Based on Real-Time Data In: Working Papers.
[Full Text][Citation analysis]		paper11

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