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

SCHOLARLY PAPERS

18

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4,136

SSRN CITATIONS
Rank 4,873

SSRN RANKINGS

Top 4,873

in Total Papers Citations

262

CROSSREF CITATIONS

20

Scholarly Papers (18)

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 646 (51,596)
Citation 7

Abstract:

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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 589 (58,074)
Citation 5

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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 351 (107,779)
Citation 7

Abstract:

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4.

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 306 (125,187)
Citation 9

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

5.

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 306 (125,187)
Citation 19

Abstract:

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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 301 (127,403)
Citation 180

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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 263 (145,970)

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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 2021
Charles M. Engel and Chang-Jin Kim
University of Wisconsin - Madison - Department of Economics and Dept. of Economics, University of Washington
Downloads 30 (590,148)

Abstract:

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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 248 (155,379)
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 192 (197,625)
Citation 25

Abstract:

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

10.

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 161 (230,083)
Citation 4

Abstract:

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asymmetry, economic fluctuations, Markov-switching

11.

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 149 (245,427)

Abstract:

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bayesian, counterfactual, structural change, volatility reduction

12.

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 143 (253,666)
Citation 6

Abstract:

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

13.

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 140 (257,906)
Citation 11

Abstract:

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

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, Jaeho Kim and Jaeho Kim
Dept. of Economics, University of Washington and Korea Development InstituteUniversity of Oklahoma
Downloads 113 (302,320)
Citation 7

Abstract:

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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 103 (322,207)
Citation 20

Abstract:

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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, Jaeho Kim and Jaeho Kim
Dept. of Economics, University of Washington and Korea Development InstituteUniversity of Oklahoma
Downloads 56 (454,752)
Citation 3

Abstract:

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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: 12 Sep 2021
Charles R. Nelson and Chang-Jin Kim
Dept of Economics and Dept. of Economics, University of Washington
Downloads 39 (527,349)

Abstract:

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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

Abstract:

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