Yoosoon Chang

Indiana University Bloomington - Department of Economics

Wylie Hall

Bloomington, IN 47405-6620

United States

  • Indiana University Bloomington - Department of Economics

SCHOLARLY PAPERS

12

DOWNLOADS

1,125

SSRN CITATIONS

42

CROSSREF CITATIONS

4

Scholarly Papers (12)

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1.

Evaluating Factor Pricing Models Using High Frequency Panels

Quantitative Economics: Journal of the Econometric Society, Forthcoming, Mays Business School Research Paper No. 2012-37
Number of pages: 53 Posted: 09 Feb 2011 Last Revised: 11 Nov 2015
Yoosoon Chang, Yongok Choi, Hwagyun Kim and Joon Y. Park
Indiana University Bloomington - Department of Economics, Korea Development Institute (KDI) (Retired), Texas A&M University - Mays Business School and Texas A&M University
Downloads 368 (136,017)
Citation 7

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Panel, High-Frequency, Time Change, Realized Variance, Fame-French

2.

Origins of Monetary Policy Shifts: A New Approach to Regime Switching in DSGE Models

Downloads 287 (178,041)
Citation 15

Origins of Monetary Policy Shifts: A New Approach to Regime Switching in DSGE Models

CAEPR Working Paper Series 2018-011
Number of pages: 41 Posted: 16 Dec 2018 Last Revised: 04 Mar 2021
Yoosoon Chang, Junior Maih and Tan Fei
Indiana University Bloomington - Department of Economics, Norges Bank and Zhejiang University - College of Economics
Downloads 178 (279,030)

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Monetary policy, DSGE model, regime switching, latent autoregressive regime factor, endogenous feedback, expectation formation effects

Origins of Monetary Policy Shifts: A New Approach to Regime Switching in DSGE Models

Norges Bank Working Paper 12/2018; ISBN 978-82-8379-059-7
Number of pages: 40 Posted: 15 Feb 2019 Last Revised: 22 Feb 2021
Yoosoon Chang, Junior Maih and Fei Tan
Indiana University Bloomington - Department of Economics, Norges Bank and Saint Louis University
Downloads 109 (415,782)
Citation 10

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state space model; regime switching; endogenous feedback; filtering; DSGE model

3.

Nonlinear Instrumental Variable Estimation of an Autoregression

Number of pages: 31 Posted: 14 Oct 2001
Peter C. B. Phillips, Joon Park and Yoosoon Chang
University of Auckland Business School, Seoul National University and Indiana University Bloomington - Department of Economics
Downloads 162 (302,493)
Citation 2

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Cauchy Estimator, Instrumental Variable Autoregression, Nonlinear Instruments, Sojourn Time, Unit Root

4.

U.S. Monetary-Fiscal Regime Changes in the Presence of Endogenous Feedback in Policy Rules

CAEPR Working Paper 2017-016
Number of pages: 54 Posted: 05 Dec 2017
Yoosoon Chang and Boreum Kwak
Indiana University Bloomington - Department of Economics and Bank of Korea
Downloads 77 (513,097)
Citation 5

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Monetary and Fiscal Policy Interactions, Endogenous Regime Switching, Adaptive LASSO, Time-Varying Coefficient VAR, Factor Augmented VAR

5.

State Space Models With Endogenous Regime Switching

CAEPR Working Paper 2018-012
Number of pages: 26 Posted: 16 Feb 2021 Last Revised: 10 Mar 2021
Yoosoon Chang, Fei Tan and Xin Wei
Indiana University Bloomington - Department of Economics, Saint Louis University and Indiana University Bloomington - Department of Economics
Downloads 76 (516,923)

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State Space Models With Endogenous Regime Switching

6.

The Effects of Economic Shocks on Heterogeneous Inflation Expectations

IMF Working Paper No. 2022/132
Number of pages: 59 Posted: 27 Jul 2022
Yoosoon Chang, Fabio Gómez-Rodríguez and Gee Hee Hong
Indiana University Bloomington - Department of Economics, Lehigh University and International Monetary Fund (IMF)
Downloads 32 (752,421)

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Inflation expectations, household survey, functional autoregression, transmission of economic shocks, heterogeneous beliefs, inflation expectation, expansionary government spending shock, inflation distribution, monetary policy shock, gasoline price shock, Inflation, Fuel prices, Personal income tax, Income shocks

7.

A Trajectories-Based Approach to Measuring Intergenerational Mobility

Downloads 30 (767,764)

A Trajectories-Based Approach to Measuring Intergenerational Mobility

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2023-36
Number of pages: 63 Posted: 15 Mar 2023
Yoosoon Chang, Steven Durlauf, Seunghee Lee and Joon Park
Indiana University Bloomington - Department of Economics, University of Chicago, Korea Development Institute (KDI) and Indiana University
Downloads 25 (832,751)

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A Trajectories-Based Approach to Measuring Intergenerational Mobility

NBER Working Paper No. w31020
Number of pages: 62 Posted: 13 Mar 2023 Last Revised: 05 Apr 2023
Yoosoon Chang, Steven N. Durlauf, Seunghee Lee and Joon Park
Indiana University Bloomington - Department of Economics, University of Chicago, Korea Development Institute (KDI) and Indiana University
Downloads 5 (1,029,413)
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8.

Understanding Regressions with Observations Collected at High Frequency over Long Span

CAEPR WORKING PAPER SERIES 2019-001
Number of pages: 37 Posted: 19 Feb 2019
Yoosoon Chang, Ye Lu and Joon Park
Indiana University Bloomington - Department of Economics, The University of Sydney - School of Economics and Indiana University Bloomington - Department of Economics
Downloads 29 (775,544)

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high frequency regression, spurious regression, continuous time model, asymptotics, longrun variance estimation

9.

Oil Prices Uncertainty, Endogenous Regime Switching, and Inflation Anchoring

Number of pages: 44 Posted: 31 Mar 2023
Yoosoon Chang, Ana Maria Herrera and Elena Pesavento
Indiana University Bloomington - Department of Economics, University of Kentucky - Gatton College of Business and Economics and Emory University - Department of Economics
Downloads 26 (799,179)

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oil price volatility, endogenous regime switching, expected inflation, inflation anchoring

10.

Oil Prices Uncertainty, Endogenous Regime Switching, and Inflation Anchoring

CAEPR WORKING PAPER SERIES (2023-002)
Number of pages: 43 Posted: 14 Mar 2023
Yoosoon Chang, Ana Maria Herrera and Elena Pesavento
Indiana University Bloomington - Department of Economics, University of Kentucky - Gatton College of Business and Economics and Emory University - Department of Economics
Downloads 19 (860,394)

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oil price volatility, endogenous regime switching, expected inflation, inflation anchoring

11.

Time-Varying Expectation Effects of Switching Financial Uncertainty

Number of pages: 58 Posted: 09 Jul 2022
Yoosoon Chang, Hwagyun Kim and Shi Qiu
Indiana University Bloomington - Department of Economics, Texas A&M University - Mays Business School and Fudan University - School of Economics
Downloads 19 (860,394)

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DSGE, uncertainty, financial friction, expectation, endogenous regime switching

12.

Nonlinear Econometric Models with Cointegrated and Deterministically Trending Regressors

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Nonlinear Econometric Models with Cointegrated and Deterministically Trending Regressors

Working Paper No. 1245
Posted: 03 May 2000
Yoosoon Chang, Joon Park and Peter C. B. Phillips
Indiana University Bloomington - Department of Economics, Seoul National University and University of Auckland Business School

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Nonlinear Econometric Models with Cointegrated and Deterministically Trending Regressors

Posted: 04 Sep 2001
Yoosoon Chang, Joon Park and Peter C. B. Phillips
Indiana University Bloomington - Department of Economics, Seoul National University and University of Auckland Business School

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Nonlinear regressions, Integrated time series, Nonlinear least squares, Brownian motion, Brownian local time