Don H. Kim

Board of Governors of the Federal Reserve System

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

SCHOLARLY PAPERS

15

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Top 11,914

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5,265

SSRN CITATIONS
Rank 1,915

SSRN RANKINGS

Top 1,915

in Total Papers Citations

149

CROSSREF CITATIONS

535

Scholarly Papers (15)

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

Posted: 02 Jul 2021
Stefania D'Amico, Don H. Kim and Min Wei
Federal Reserve Bank of Chicago, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

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

Posted: 09 Jul 2021
Stefania D'Amico, Don H. Kim and Min Wei
Federal Reserve Bank of Chicago, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

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

Posted: 09 Jul 2021
Stefania D'Amico, Don H. Kim and Min Wei
Federal Reserve Bank of Chicago, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

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

Number of pages: 88 Posted: 10 Apr 2014
Stefania D'Amico, Don H. Kim and Min Wei
Federal Reserve Bank of Chicago, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 683 (48,305)
Citation 29

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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
Federal Reserve Bank of Chicago, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 348 (110,107)
Citation 2

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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

Number of pages: 75 Posted: 12 Mar 2011
Stefania D'Amico, Don H. Kim and Min Wei
Federal Reserve Bank of Chicago, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 160 (235,890)
Citation 45

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

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), European Banking Authority, 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, 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
Downloads 1,146 (23,800)
Citation 1

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

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

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

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
Downloads 1,044 (26,845)
Citation 170

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

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
Downloads 515 (70,165)
Citation 7

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Term Structure Estimation with Survey Data on Interest Rate Forecasts

Posted: 02 Jul 2021
Don H. Kim and Athanasios Orphanides
Board of Governors of the Federal Reserve System and affiliation not provided to SSRN

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Term Structure Estimation with Survey Data on Interest Rate Forecasts

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 465 (78,652)
Citation 73

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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

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 25 (633,911)
Citation 24
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Dynamic term structure models, survey data, interest rate forecasts, term premia, expectations hypothesis

6.
Downloads 245 (160,095)
Citation 4

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 245 (159,549)
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
Board of Governors of the Federal Reserve System
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swaptions, coupon bond options, affine models, quadratic‐Gaussian models

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
Downloads 190 (203,167)
Citation 30

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

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

Posted: 02 Jul 2021
Don H. Kim
Board of Governors of the Federal Reserve System

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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
Downloads 164 (230,878)
Citation 3

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

9.

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
Downloads 159 (236,714)

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

10.
Downloads 61 (443,843)

Jumps in Bond Yields at Known Times

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 46 (512,706)

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

Jumps in Bond Yields at Known Times

Number of pages: 35 Posted: 01 Dec 2014 Last Revised: 05 Aug 2021
Don H. Kim and Jonathan H. Wright
Board of Governors of the Federal Reserve System and Johns Hopkins University - Department of Economics
Downloads 13 (729,088)

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Jumps in Bond Yields at Known Times

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 2 (825,714)

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11.

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

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 32 (572,693)

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12.

International Yield Spillovers

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 20 (650,588)

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Challenges in Macro-Finance Modeling

Posted: 02 Jul 2021
Don H. Kim
Board of Governors of the Federal Reserve System

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Challenges in Macro-Finance Modeling

Number of pages: 26 Posted: 02 Jul 2021
Don H. Kim
Board of Governors of the Federal Reserve System
Downloads 8 (771,993)

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14.

Tips from Tips: Update and Discussions

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

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

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

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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

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