Author Page for Don H. Kim

1.

Tips from Tips: The Informational Content of Treasury Inflation-Protected Security Prices

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Citation 117

6

Tips from Tips: The Informational Content of Treasury Inflation-Protected Security Prices

FEDS Working Paper No. 2008-30

Posted: 02 Jul 2021

Stefania D'Amico, Don H. Kim and Min Wei

Federal Reserve Banks - Federal Reserve Bank of New York, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

Abstract:

Tips from Tips: The Informational Content of Treasury Inflation-Protected Security Prices

FEDS Working Paper No. 2010-19

Posted: 09 Jul 2021

Stefania D'Amico, Don H. Kim and Min Wei

Federal Reserve Banks - Federal Reserve Bank of New York, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

Abstract:

Tips from Tips: The Informational Content of Treasury Inflation-Protected Security Prices

FEDS Working Paper No. 2014-24

Posted: 09 Jul 2021 Last Revised: 01 Jul 2021

Stefania D'Amico, Don H. Kim and Min Wei

Federal Reserve Banks - Federal Reserve Bank of New York, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

Abstract:

Tips from TIPS: The Informational Content of Treasury Inflation-Protected Security Prices

FEDS Working Paper No. 2014-24

Number of pages: 88 Posted: 10 Apr 2014

Stefania D'Amico, Don H. Kim and Min Wei

Federal Reserve Banks - Federal Reserve Bank of New York, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

Downloads 909 (63,887)

Citation 33

Abstract:

Tips from Tips: The Informational Content of Treasury Inflation-Protected Security Prices

BIS Working Paper No. 248

Number of pages: 48 Posted: 16 Apr 2008

Stefania D'Amico, Don H. Kim and Min Wei

Federal Reserve Banks - Federal Reserve Bank of New York, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

Downloads 410 (177,503)

Citation 36

Abstract:

Tips from TIPS: The Informational Content of Treasury Inflation-Protected Security Prices

FEDS Working Paper No. 19

Number of pages: 75 Posted: 12 Mar 2011

Stefania D'Amico, Don H. Kim and Min Wei

Federal Reserve Banks - Federal Reserve Bank of New York, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

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Citation 48

Abstract:

2.

The International Financial Crisis and Policy Challenges in Asia and the Pacific

BIS Paper No. 52

Number of pages: 402 Posted: 24 Jul 2010

Bank for International Settlements (BIS), Bank for International Settlements (BIS) - Monetary and Economic Department, Bank for International Settlements (BIS), Reserve Bank of New Zealand, Swiss National Bank, Bruegel, Bank for International Settlements (BIS), Bank for International Settlements (BIS), Bank for International Settlements (BIS), Bank for International Settlements (BIS), University of Copenhagen - Department of Economics, Bank for International Settlements (BIS), University of Geneva - Graduate Institute of International Studies (HEI), Bank for International Settlements (BIS) - Monetary and Economic Department, Columbia University - Columbia Business School, Finance, Herbert Smith, affiliation not provided to SSRN, University of Wisconsin-Madison - Department of Economics, University of British Columbia (UBC) - Department of Economics, London School of Economics & Political Science (LSE) - Financial Markets Group, Board of Governors of the Federal Reserve System, Bank for International Settlements (BIS), affiliation not provided to SSRN, Bank of Japan - Institute of Monetary and Economic Studies, Bank of Thailand, Central Bank of Malaysia and Government of the Republic of the Philippines - Central Bank of the Philippines-Bangko Sentral ng Pilipinas

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Citation 1

Abstract:

3.

An Arbitrage-Free Three-Factor Term Structure Model and the Recent Behavior of Long-Term Yields and Distant-Horizon Forward Rates

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Citation 170

2

An Arbitrage-Free Three-Factor Term Structure Model and the Recent Behavior of Long-Term Yields and Distant-Horizon Forward Rates

FEDS Working Paper No. 2005-33

Posted: 02 Jul 2021

Don H. Kim and Jonathan H. Wright

Board of Governors of the Federal Reserve System and affiliation not provided to SSRN

Abstract:

An Arbitrage-Free Three-Factor Term Structure Model and the Recent Behavior of Long-Term Yields and Distant-Horizon Forward Rates

FEDS Working Paper No. 2005-33

Number of pages: 27 Posted: 05 Oct 2005

Don H. Kim and Jonathan H. Wright

Board of Governors of the Federal Reserve System and Johns Hopkins University - Department of Economics

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Citation 170

Abstract:

4.

The Bond Market Term Premium: What is it, and How Can We Measure it?

BIS Quarterly Review, June 2007

Number of pages: 14 Posted: 24 Jun 2012

Don H. Kim and Athanasios Orphanides

Board of Governors of the Federal Reserve System and Massachusetts Institute of Technology (MIT) - Sloan School of Management

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Citation 10

Abstract:

5.

Term Structure Estimation with Survey Data on Interest Rate Forecasts

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Citation 97

3

Term Structure Estimation with Survey Data on Interest Rate Forecasts

FEDS Working Paper No. 2005-48

Posted: 02 Jul 2021

Don H. Kim and Athanasios Orphanides

Board of Governors of the Federal Reserve System and affiliation not provided to SSRN

Abstract:

Term Structure Estimation with Survey Data on Interest Rate Forecasts

FEDS Working Paper No. 2005-48, AFA 2007 Chicago Meetings Paper

Number of pages: 42 Posted: 20 Mar 2006

Don H. Kim and Athanasios Orphanides

Board of Governors of the Federal Reserve System and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Downloads 577 (116,208)

Citation 73

Abstract:

Term Structure Estimation with Survey Data on Interest Rate Forecasts

CEPR Discussion Paper No. 5341

Number of pages: 45 Posted: 05 Jan 2006

Don H. Kim and Athanasios Orphanides

Board of Governors of the Federal Reserve System and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Downloads 72 (887,392)

Citation 24

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6.

Swaption Pricing in Affine and Other Models

Number of pages: 34 Posted: 12 Dec 2011

Don H. Kim

Board of Governors of the Federal Reserve System

Downloads 337 (222,746)

Citation 1

Abstract:

7.

Term Structure Models and the Zero Bound: An Empirical Investigation of Japanese Yields

Number of pages: 39 Posted: 28 Aug 2010

Don H. Kim and Kenneth J. Singleton

Board of Governors of the Federal Reserve System and Stanford University - Graduate School of Business

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Citation 59

Abstract:

8.

A Fast Method for the Computation of Option Prices Based on the N-Point Pade Approximant

Number of pages: 36 Posted: 06 Jun 2011 Last Revised: 12 Dec 2011

Don H. Kim

Board of Governors of the Federal Reserve System

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Abstract:

9.

Zero Bound, Option-Implied Pdfs, and Term Structure Models

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Citation 3

2

Zero Bound, Option-Implied Pdfs, and Term Structure Models

FEDS Working Paper No. 2008-31

Posted: 02 Jul 2021

Don H. Kim

Board of Governors of the Federal Reserve System

Abstract:

Zero Bound, Option-Implied PDFs, and Term Structure Models

Number of pages: 33 Posted: 28 May 2008 Last Revised: 31 May 2009

Don H. Kim

Board of Governors of the Federal Reserve System

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Citation 3

Abstract:

10.

Jumps in Bond Yields at Known Times

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3

Jumps in Bond Yields at Known Times

FEDS Working Paper No. 2014-100r1

Number of pages: 48 Posted: 09 Dec 2014

Don H. Kim and Jonathan H. Wright

Board of Governors of the Federal Reserve System and Johns Hopkins University - Department of Economics

Downloads 81 (812,480)

Abstract:

Jumps in Bond Yields at Known Times

NBER Working Paper No. w20711

Number of pages: 35 Posted: 01 Dec 2014 Last Revised: 03 Feb 2023

Don H. Kim and Jonathan H. Wright

Board of Governors of the Federal Reserve System and Johns Hopkins University - Department of Economics

Downloads 54 (1,049,673)

Abstract:

Jumps in Bond Yields at Known Times

FEDS Working Paper No. 2014-100

Number of pages: 48 Posted: 09 Jul 2021

Don H. Kim and Jonathan H. Wright

Board of Governors of the Federal Reserve System and affiliation not provided to SSRN

Downloads 21 (1,486,852)

Abstract:

11.

International Yield Spillovers

FEDS Working Paper No. 2021-1

Number of pages: 59 Posted: 14 Jun 2021 Last Revised: 30 Jun 2021

Don H. Kim and Marcelo Ochoa

Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

Downloads 105 (669,616)

Citation 4

Abstract:

12.

Are Shadow Rate Models of the Treasury Yield Curve Structurally Stable?

FEDS Working Paper No. 2020-61

Number of pages: 44 Posted: 24 Aug 2020 Last Revised: 25 Aug 2020

Don H. Kim and Marcel Priebsch

Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

Downloads 97 (704,534)

Citation 2

Abstract:

13.

Challenges in Macro-Finance Modeling

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Citation 1

2

Challenges in Macro-Finance Modeling

FEDS Working Paper No. 2008-6

Posted: 02 Jul 2021

Don H. Kim

Board of Governors of the Federal Reserve System

Abstract:

Challenges in Macro-Finance Modeling

Number of pages: 26 Posted: 02 Jul 2021 Last Revised: 01 Jul 2021

Don H. Kim

Board of Governors of the Federal Reserve System

Downloads 88 (761,092)

Citation 1

Abstract:

14.

Tips from Tips: Update and Discussions

FEDS Notes No. 2019-05-21-1

Posted: 13 Aug 2019 Last Revised: 14 Dec 2020

Don H. Kim, Cait Walsh and Min Wei

Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

Abstract:

15.

Front-End Term Premiums in Federal Funds Futures Rates and Implied Probabilities of Future Rate Hikes

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2

Front-End Term Premiums in Federal Funds Futures Rates and Implied Probabilities of Future Rate Hikes

FEDS Notes No. 2016-11-18

Posted: 09 Jul 2021

Don H. Kim and Hiroatsu Tanaka

Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

Abstract:

Front-End Term Premiums in Federal Funds Futures Rates and Implied Probabilities of Future Rate Hikes

FEDS Notes No. 2016-11-18 https://doi.org/10.17016/2380-7172.1884

Posted: 22 Oct 2016

Hiroatsu Tanaka and Don H. Kim

Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

Don H. Kim

Board of Governors of the Federal Reserve System

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Term Structure Estimation with Survey Data on Interest Rate Forecasts

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