Don H. Kim

Federal Reserve Board - Division of Monetary Affairs

20th and C Streets, NW

Washington, DC 20551

United States

SCHOLARLY PAPERS

10

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CITATIONS
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328

Scholarly Papers (10)

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
Board of Governors of the Federal Reserve System, Federal Reserve Board - Division of Monetary Affairs and Board of Governors of the Federal Reserve - Division of Monetary Affairs
Downloads 573 (45,380)
Citation 38

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TIPS, breakeven inflation, deflation floor, expected inflation, indexation Lag, inflation risk premium, liquidity premiums

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
Board of Governors of the Federal Reserve System, Federal Reserve Board - Division of Monetary Affairs and Board of Governors of the Federal Reserve - Division of Monetary Affairs
Downloads 318 (92,855)
Citation 1

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term structure model, inflation expectation, inflation risk premium, SPF, Treasury Inflation-Protected Securities (TIPS)

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
Board of Governors of the Federal Reserve System, Federal Reserve Board - Division of Monetary Affairs and Board of Governors of the Federal Reserve - Division of Monetary Affairs
Downloads 139 (206,004)
Citation 49

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Treasury inflation-protected securities (TIPS), expected inflation, inflation risk premium, liquidity, SPF, term structure

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
Number of pages: 27 Posted: 05 Oct 2005
Don H. Kim and Jonathan H. Wright
Federal Reserve Board - Division of Monetary Affairs and Johns Hopkins University - Department of Economics
Downloads 917 (24,199)
Citation 144

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Forward rates, term-structure model, arbitrage-free pricing, term premiums

3.

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), Nordea Group, Bank for International Settlements (BIS), University of Geneva - Graduate Institute of International Studies (HEI), Bank for International Settlements (BIS) - Monetary and Economic Department, Columbia Business School - Finance and Economics, 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, Federal Reserve Board - Division of Monetary Affairs, 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
Downloads 888 (25,360)
Citation 2

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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
Federal Reserve Board - Division of Monetary Affairs and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 404 (70,397)
Citation 72

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Dynamic term structure models, survey data, interest rate forecasts, term premia, expectations hypothesis

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
Federal Reserve Board - Division of Monetary Affairs and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 25 (501,622)
Citation 74
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Dynamic term structure models, survey data, interest rate forecasts, term premia, expectations hypothesis

5.

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
Federal Reserve Board - Division of Monetary Affairs and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 416 (68,498)
Citation 23

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6.
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Citation 4

Swaption Pricing in Affine and Other Models

Number of pages: 34 Posted: 12 Dec 2011
Don H. Kim
Federal Reserve Board - Division of Monetary Affairs
Downloads 191 (156,373)
Citation 1

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swaptions, coupon-bond options, affine models, quadratic-Gaussian models

Swaption Pricing in Affine and Other Models

Mathematical Finance, Vol. 24, Issue 4, pp. 790-820, 2014
Number of pages: 31 Posted: 24 Sep 2014
Don H. Kim
Federal Reserve Board - Division of Monetary Affairs
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Citation 3
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swaptions, coupon bond options, affine models, quadratic‐Gaussian models

7.

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
Federal Reserve Board - Division of Monetary Affairs
Downloads 156 (186,834)
Citation 2

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zero bound, options, risk-neutral pdf, term structure models

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
Federal Reserve Board - Division of Monetary Affairs
Downloads 152 (191,009)

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options, saddlepoint method, N-point Pade approximants, rational function approximation

9.

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
Federal Reserve Board - Division of Monetary Affairs and Stanford University - Graduate School of Business
Downloads 149 (194,200)
Citation 78

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positive interest, term structure models, zero bound, Japanese yields

10.
Downloads 48 (390,331)

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
Federal Reserve Board - Division of Monetary Affairs and Johns Hopkins University - Department of Economics
Downloads 40 (427,870)

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Term structure models, bond yields, jumps, news announcements, bond risk premia

Jumps in Bond Yields at Known Times

NBER Working Paper No. w20711
Number of pages: 35 Posted: 01 Dec 2014
Don H. Kim and Jonathan H. Wright
Federal Reserve Board - Division of Monetary Affairs and Johns Hopkins University - Department of Economics
Downloads 8 (612,238)

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