Details about Chang-Jin Kim

Access statistics for papers by Chang-Jin Kim.

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Short-id: pki84

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 View citations (6)
   Also in Discussion Paper Series, Institute of Economic Research, Korea University (2013) View citations (4)
2. The `Pile-up Problem' in Trend-Cycle Decomposition of Real GDP: Classical and Bayesian Perspectives
   MPRA Paper, University Library of Munich, Germany View citations (5)
3. Trend Inflation and the Nature of Structural Breaks in the New Keynesian Phillips Curve
   MPRA Paper, University Library of Munich, Germany
   Also in Discussion Paper Series, Institute of Economic Research, Korea University (2013)

2012

4. Disappearing Dividends: Implications for the Dividend-Price Ratio and Return Predictability
   Discussion Paper Series, Institute of Economic Research, Korea University View citations (1)
   See also Journal Article Disappearing Dividends: Implications for the Dividend-Price Ratio and Return Predictability, Journal of Money, Credit and Banking, Blackwell Publishing (2013) View citations (6) (2013)
5. Markov-Switching Models with Evolving Regime-Specific Parameters: Are Post-War Booms or Recessions All Alike?
   Working Papers, University of Sydney, School of Economics View citations (9)

2011

6. The Evolution of the Monetary Policy Regimes in the U.S
   Discussion Paper Series, Institute of Economic Research, Korea University View citations (3)
   See also Journal Article The evolution of the monetary policy regimes in the U.S, Empirical Economics, Springer (2012) View citations (16) (2012)

2008

7. Pricing Stock Market Volatility: Does It Matter Whether the Volatility is Related to the Business Cycle?
   Working Papers, University of Washington, Department of Economics View citations (7)

2006

8. 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) View citations (2)
9. 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 View citations (97)

2005

10. The dynamic relationship between permanent and transitory components of U.S. business cycles
    Working Papers, Federal Reserve Bank of St. Louis View citations (1)
    Also in Working Papers, University of Washington, Department of Economics (2003) View citations (1)
    See also Journal Article The Dynamic Relationship between Permanent and Transitory Components of U.S. Business Cycles, Journal of Money, Credit and Banking, Blackwell Publishing (2007) View citations (10) (2007)

2004

11. Estimation of Markov regime-switching regression models with endogenous switching
    Working Papers, Federal Reserve Bank of St. Louis View citations (31)
    See also Journal Article Estimation of Markov regime-switching regression models with endogenous switching, Journal of Econometrics, Elsevier (2008) View citations (126) (2008)

2003

12. A Markov Switching Model of Congressional Partisan Regimes
    Working Papers, University of Washington, Department of Economics
13. Nonlinearity and the permanent effects of recessions
    Working Papers, Federal Reserve Bank of St. Louis View citations (29)
    See also Journal Article Nonlinearity and the permanent effects of recessions, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2005) View citations (101) (2005)
14. 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 (9)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2001) View citations (31)
    See also Journal Article The Less-Volatile U.S. Economy: A Bayesian Investigation of Timing, Breadth, and Potential Explanations, Journal of Business & Economic Statistics, American Statistical Association (2004) View citations (109) (2004)

2002

15. Exchange Rate Regimes and Monetary Independence in East Asia
    Finance Working Papers, East Asian Bureau of Economic Research View citations (2)

2001

16. Common stochastic trends, common cycles, and asymmetry in economic fluctuations
    Working Papers, Federal Reserve Bank of St. Louis View citations (2)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2000)
    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) View citations (14)
    Working Papers, University of Washington, Department of Economics (2000) View citations (16)
    See also Journal Article Common stochastic trends, common cycles, and asymmetry in economic fluctuations, Journal of Monetary Economics, Elsevier (2002) View citations (46) (2002)
17. 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 (2)

2000

18. Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices?
    Working Papers, University of Washington, Department of Economics View citations (1)
    Also in Working Papers, University of Washington, Department of Economics (1999) View citations (2)
    Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington (2000) View citations (1)
    Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington (1999) View citations (2)
    See also Journal Article Does an intertemporal tradeoff between risk and return explain mean reversion in stock prices?, Journal of Empirical Finance, Elsevier (2001) View citations (13) (2001)
19. 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 (8)
    Also in Working Papers, University of Washington, Department of Economics (2000) View citations (4)
    See also Journal Article Is There a Positive Relationship between Stock Market Volatility and the Equity Premium?, Journal of Money, Credit and Banking, Blackwell Publishing (2004) View citations (54) (2004)
20. 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 View citations (1)
    Also in Working Papers, University of Washington, Department of Economics (2000) View citations (1)

1999

21. A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models
    Working Papers, University of Washington, Department of Economics View citations (9)
    Also in Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington (1999) View citations (7)
    Working Papers, University of Washington, Department of Economics (1998) View citations (4)
    Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington (1998) View citations (5)
    See also Journal Article 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 (2001) View citations (17) (2001)
22. Permanent and Transitory Nature of Recessions
    Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington View citations (1)
    Also in Working Papers, University of Washington, Department of Economics (1999)

1997

23. Friedman's Plucking Model of Business Fluctuations: Tests and Estimates of Permanent and Transitory Components
    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)
    See also Journal Article Friedman's Plucking Model of Business Fluctuations: Tests and Estimates of Permanent and Transitory Components, Journal of Money, Credit and Banking, Blackwell Publishing (1999) View citations (126) (1999)
24. 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

25. 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)
26. The Long-Run U.S./U.K. Real Exchange Rate
    NBER Working Papers, National Bureau of Economic Research, Inc 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 The Long-Run U.S./U.K. Real Exchange Rate, Journal of Money, Credit and Banking, Blackwell Publishing (1999) View citations (35) (1999)

1992

27. 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 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 (1993) View citations (100) (1993)

1991

28. Dynamic Linear Models with Markov-Switching
    Working Papers, York (Canada) - Department of Economics View citations (1)
    See also Journal Article Dynamic linear models with Markov-switching, Journal of Econometrics, Elsevier (1994) View citations (726) (1994)

1989

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

1988

30. THE TIME-VARYING-PARAMETER MODEL AS AN ALTERNATIVE TO ARCH FOR MODELING CHANGING CONDITIONAL VARIANCE: THE CASE OF THE LUCAS HYPOTHESIS
    Working Papers, University of Washington, Department of Economics View citations (4)
    Also in Discussion Papers in Economics at the University of Washington, Department of Economics at the University of Washington (1988) View citations (3)
    NBER Technical Working Papers, National Bureau of Economic Research, Inc (1988) View citations (4)

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 View citations (6)
   See also Working Paper Disappearing Dividends: Implications for the Dividend-Price Ratio and Return Predictability, Discussion Paper Series (2012) View citations (1) (2012)

2012

2. The evolution of the monetary policy regimes in the U.S
   Empirical Economics, 2012, 43, (2), 617-649 View citations (16)
   See also Working Paper The Evolution of the Monetary Policy Regimes in the U.S, Discussion Paper Series (2011) View citations (3) (2011)

2011

3. Dealing with endogeneity in a time‐varying parameter model: joint estimation and two‐step estimation procedures
   Econometrics Journal, 2011, 14, (3), 487-497 View citations (15)

2010

4. Dealing with Endogeneity in Regression Models with Dynamic Coefficients
   Foundations and Trends(R) in Econometrics, 2010, 3, (3), 165-266 View citations (4)

2009

5. Changes in U.S. Inflation Persistence
   Studies in Nonlinear Dynamics & Econometrics, 2009, 13, (4), 23 View citations (41)
6. Markov-switching models with endogenous explanatory variables II: A two-step MLE procedure
   Journal of Econometrics, 2009, 148, (1), 46-55 View citations (24)

2008

7. Bayesian counterfactual analysis of the sources of the great moderation
   Journal of Applied Econometrics, 2008, 23, (2), 173-191 View citations (14)
8. Estimation of Markov regime-switching regression models with endogenous switching
   Journal of Econometrics, 2008, 143, (2), 263-273 View citations (126)
   See also Working Paper Estimation of Markov regime-switching regression models with endogenous switching, Working Papers (2004) View citations (31) (2004)
9. Is the Backward-Looking Component Important in a New Keynesian Phillips Curve?
   Studies in Nonlinear Dynamics & Econometrics, 2008, 12, (3), 20 View citations (18)
10. Markov-switching and the Beveridge-Nelson decomposition: Has US output persistence changed since 1984?
    Journal of Econometrics, 2008, 146, (2), 227-240 View citations (2)

2007

11. The Dynamic Relationship between Permanent and Transitory Components of U.S. Business Cycles
    Journal of Money, Credit and Banking, 2007, 39, (1), 187-204 View citations (10)
    See also Working Paper The dynamic relationship between permanent and transitory components of U.S. business cycles, Working Papers (2005) View citations (1) (2005)
12. Why are stock returns and volatility negatively correlated?
    Journal of Empirical Finance, 2007, 14, (1), 41-58 View citations (46)

2006

13. 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 View citations (142)
14. Time-varying parameter models with endogenous regressors
    Economics Letters, 2006, 91, (1), 21-26 View citations (54)

2005

15. Nonlinearity and the permanent effects of recessions
    Journal of Applied Econometrics, 2005, 20, (2), 291-309 View citations (101)
    See also Working Paper Nonlinearity and the permanent effects of recessions, Working Papers (2003) View citations (29) (2003)
16. The Structural Break in the Equity Premium
    Journal of Business & Economic Statistics, 2005, 23, 181-191 View citations (38)

2004

17. 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 (54)
    See also Working Paper Is There a Positive Relationship between Stock Market Volatility and the Equity Premium?, Discussion Papers in Economics at the University of Washington (2000) View citations (8) (2000)
18. Markov-switching models with endogenous explanatory variables
    Journal of Econometrics, 2004, 122, (1), 127-136 View citations (47)
19. 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 (109)
    See also Working Paper The less volatile U.S. economy: a Bayesian investigation of timing, breadth, and potential explanations, Working Papers (2003) View citations (9) (2003)

2002

20. Common stochastic trends, common cycles, and asymmetry in economic fluctuations
    Journal of Monetary Economics, 2002, 49, (6), 1189-1211 View citations (46)
    See also Working Paper Common stochastic trends, common cycles, and asymmetry in economic fluctuations, Working Papers (2001) View citations (2) (2001)
21. Permanent and transitory components of recessions
    Empirical Economics, 2002, 27, (2), 163-183 View citations (62)

2001

22. A Bayesian Approach to Testing for Markov-Switching in Univariate and Dynamic Factor Models
    International Economic Review, 2001, 42, (4), 989-1013 View citations (17)
    See also Working Paper A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models, Working Papers (1999) View citations (9) (1999)
23. Does an intertemporal tradeoff between risk and return explain mean reversion in stock prices?
    Journal of Empirical Finance, 2001, 8, (4), 403-426 View citations (13)
    See also Working Paper Does an Interpemporal Trade Off Between Risk and Return Explain Mean Reversion in Stock Prices?, Working Papers (2000) View citations (1) (2000)

2000

24. Capital Accumulation And Trade Policy:The Case Of Korea
    International Economic Journal, 2000, 14, (1), 111-131 View citations (2)

1999

25. 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 (126)
    See also Working Paper Friedman's Plucking Model of Business Fluctuations: Tests and Estimates of Permanent and Transitory Components, Discussion Papers in Economics at the University of Washington (1997) (1997)
26. 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 (784)
27. The Long-Run U.S./U.K. Real Exchange Rate
    Journal of Money, Credit and Banking, 1999, 31, (3), 335-56 View citations (35)
    See also Working Paper The Long-Run U.S./U.K. Real Exchange Rate, NBER Working Papers (1996) View citations (1) (1996)

1998

28. 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 (285)
29. 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 (56)
30. Testing for mean reversion in heteroskedastic data based on Gibbs-sampling-augmented randomization1
    Journal of Empirical Finance, 1998, 5, (2), 131-154 View citations (89)

1996

31. Transient Fads and the Crash of '87
    Journal of Applied Econometrics, 1996, 11, (1), 41-58 View citations (18)

1994

32. Dynamic linear models with Markov-switching
    Journal of Econometrics, 1994, 60, (1-2), 1-22 View citations (726)
    See also Working Paper Dynamic Linear Models with Markov-Switching, Working Papers (1991) View citations (1) (1991)

1993

33. 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 (35)
34. 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 (100)
    See also Working Paper Unobserved-Component Time-Series Models with Markov- Switching Heteroskedasticity: Changes in Regimes and the Link between Inflation Rates and Inflation Uncertainty, Working Papers (1992) (1992)

1989

35. 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 (37)

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 (955)