Chang-Jin Kim

Dept. of Economics, University of Washington

Professor

Department of Economics (Box 353330)

University of Washington

Seattle, WA 98195-3330

United States

http://https://econ.washington.edu/people/chang-jin-kim

  • Dept. of Economics, University of Washington

SCHOLARLY PAPERS

18

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305

CROSSREF CITATIONS

22

Scholarly Papers (18)

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1.

Why are Stock Returns and Volatility Negatively Correlated?

Number of pages: 42 Posted: 23 Sep 2004
Jinho Bae, Chang-Jin Kim and Charles R. Nelson
Konkuk University, Dept. of Economics, University of Washington and Dept of Economics
Downloads 780 (54,146)
Citation 7

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Asymmetric volatility, volatility reedback, leverage effect, regime switching, GARCH

2.

Time-Varying-Parameter Models with Endogenous Regressors: A Two-Step Mle Approach and an Augmented Kalman Filter

Number of pages: 29 Posted: 22 Oct 2004
Chang-Jin Kim
Dept. of Economics, University of Washington
Downloads 618 (73,319)
Citation 9

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Endogeneity, Generated Regressors, Augmented Kalman Filter, Time-varying Parameter Model, Two-Step Procedure

3.

Testing for Mean Reversion in Heteroskedastic Data Ii: Autoregression Tests Based on Gibbs-Sampling-Augmented Randomization

Number of pages: 16 Posted: 12 Mar 1999
Chang-Jin Kim and Charles R. Nelson
Dept. of Economics, University of Washington and Dept of Economics
Downloads 388 (128,387)
Citation 7

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4.

Friedman's Plucking Model of Business Fluctuations: Tests and Estimates of Permanent and Transitory Components

Number of pages: 28 Posted: 28 Apr 1999
Chang-Jin Kim and Charles R. Nelson
Dept. of Economics, University of Washington and Dept of Economics
Downloads 334 (151,412)
Citation 23

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5.

The Long-Run U.S./U.K. Real Exchange Rate

Downloads 330 (153,301)

The Long-Run U.S./U.K. Real Exchange Rate

Number of pages: 44 Posted: 06 Feb 1997
Charles M. Engel and Chang-Jin Kim
University of Wisconsin - Madison - Department of Economics and Dept. of Economics, University of Washington
Downloads 284 (178,660)

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The Long-Run U.S./U.K. Real Exchange Rate

NBER Working Paper No. w5777
Number of pages: 39 Posted: 14 Jun 2000 Last Revised: 16 Oct 2022
Charles M. Engel and Chang-Jin Kim
University of Wisconsin - Madison - Department of Economics and Dept. of Economics, University of Washington
Downloads 46 (676,601)

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6.

A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models

Number of pages: 40 Posted: 12 Mar 1999
Chang-Jin Kim and Charles R. Nelson
Dept. of Economics, University of Washington and Dept of Economics
Downloads 325 (155,896)
Citation 199

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7.

Markov-Switching Models with Endogenous Explanatory Variables Ii: A Two-Step Mle Procedure with Standard-Error Correction

Number of pages: 22 Posted: 22 Oct 2004
Chang-Jin Kim
Dept. of Economics, University of Washington
Downloads 321 (157,975)
Citation 9

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Endogeneity, Generated Regressors, Markov Switching, Excess Sensitivity of Consumption, Standard Error Correction, Two-Step Procedure

8.

A Test for Structural Change in Markov-Switching Models: Has the U.S. Economy Become More Stable?

Number of pages: 34 Posted: 12 Mar 1999
Chang-Jin Kim and Charles R. Nelson
Dept. of Economics, University of Washington and Dept of Economics
Downloads 278 (183,610)
Citation 2

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9.

Estimation of a Forward-Looking Monetary Policy Rule: A Time-Varying Parameter Model Using Ex-Post Data

Number of pages: 22 Posted: 22 Oct 2004
Chang-Jin Kim and Charles R. Nelson
Dept. of Economics, University of Washington and Dept of Economics
Downloads 234 (217,679)
Citation 35

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Endogeneity, Forward-Looking Monetary Policy, Heteroscedasticity, Nonlinearity, Time-Varying Parameter Model

10.

A Bayesian Approach to Counterfactual Analysis of Structural Change

FRB St. Louis Working Paper No. 2004-014C
Number of pages: 38 Posted: 28 Jul 2005
Chang-Jin Kim, James Morley and Jeremy Piger
Dept. of Economics, University of Washington, University of Sydney - School of Economics and University of Oregon - Department of Economics
Downloads 178 (279,751)

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bayesian, counterfactual, structural change, volatility reduction

11.

Permanent and Transitory Components of Business Cycles: Their Relative Importance and Dynamic Relationship

Number of pages: 45 Posted: 22 Jun 2001
Chang-Jin Kim, Jeremy Piger and Richard Startz
Dept. of Economics, University of Washington, University of Oregon - Department of Economics and UCSB
Downloads 178 (279,751)
Citation 7

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asymmetry, economic fluctuations, Markov-switching

12.

Markov-Switching Models with Evolving Regime-Specific Parameters: Are Post-War Booms or Recessions All Alike?

Number of pages: 45 Posted: 12 Dec 2011 Last Revised: 06 Apr 2015
Yunjong Eo and Chang-Jin Kim
Department of Economics, Korea University and Dept. of Economics, University of Washington
Downloads 159 (308,009)
Citation 12

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Business Cycle, Evolving Regime-Specific Parameters, Hierarchical Prior, Markov Switching, Error-Correction Dynamics, MCMC, State-Space Model

13.

Common Stochastic Trends, Common Cycles, and Asymmetry in Economic Fluctuations

Number of pages: 39 Posted: 07 Dec 2000
Chang-Jin Kim and Jeremy Piger
Dept. of Economics, University of Washington and University of Oregon - Department of Economics
Downloads 155 (314,716)
Citation 14

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asymmetry, business cycles, common shocks, Markov-switching, productivity slowdown

14.

Trend-Cycle Decompositions of Real GDP Revisited: Classical and Bayesian Perspectives on an Unsolved Puzzle

Number of pages: 31 Posted: 12 Dec 2016 Last Revised: 27 Apr 2018
Chang-Jin Kim and Jaeho Kim
Dept. of Economics, University of Washington and Hanyang University - ERICA
Downloads 152 (319,965)
Citation 5

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Pile-Up Problem, Profile Likelihood, Integrated Likelihood, Trend Stationary Process, Difference Stationary Process, Out-Of-Sample Prediction, Spurious Periodicity

15.

The Less Volatile U.S. Economy: A Bayesian Investigation of Timing, Breadth and Potential Explanations

Number of pages: 48 Posted: 27 Aug 2001
Chang-Jin Kim, Charles R. Nelson and Jeremy Piger
Dept. of Economics, University of Washington, Dept of Economics and University of Oregon - Department of Economics
Downloads 123 (377,078)
Citation 20

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volatility reduction, stabilization, structural break, Bayesian

16.

Non-Markovian Regime-Switching Models

Number of pages: 37 Posted: 27 Apr 2018
Chang-Jin Kim and Jaeho Kim
Dept. of Economics, University of Washington and Hanyang University - ERICA
Downloads 89 (471,620)
Citation 3

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Non-Markovian Regime Switching, Markovian Regime Switching, Exogenous Switching, Endogenous Switching

17.

The Time-Varying-Parameter Model as an Alternative to Arch for Modeling Changing Conditional Variance: the Case of Lucas Hypothesis

NBER Working Paper No. t0070
Number of pages: 34 Posted: 27 Jun 2007 Last Revised: 30 Mar 2022
Charles R. Nelson and Chang-Jin Kim
Dept of Economics and Dept. of Economics, University of Washington
Downloads 55 (612,028)

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18.

The Determinants of Corporate Liquidity: Theory and Evidence

Journal of Financial and Quantitative Analysis, September 1998
Posted: 14 Aug 1998 Last Revised: 31 Dec 2012
David C. Mauer, Ann E. Sherman and Chang-Jin Kim
affiliation not provided to SSRN, DePaul University and Dept. of Economics, University of Washington

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