Chang-Jin Kim

Korea University

Professor

Anam-dong, Sungbuk-Ku

Dept. of Economics, Korea University

Seoul 136-701

Korea

http://econ.korea.ac.kr/~cjkim/

Dept. of Economics, University of Washington

Affiliate Professor

Department of Economics (Box 353330)

University of Washington

Seattle, WA 98195-3330

United States

http://econ.korea.ac.kr/~cjkim/

SCHOLARLY PAPERS

18

DOWNLOADS
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3,874

SSRN CITATIONS
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SSRN RANKINGS

Top 4,729

in Total Papers Citations

204

CROSSREF CITATIONS

20

Scholarly Papers (18)

1.
Downloads 575 (47,624)
Citation 3

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

2.

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, Korea University and Dept of Economics
Downloads 563 (48,908)
Citation 7

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

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
Korea University and Dept of Economics
Downloads 341 (89,672)
Citation 5

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4.

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
Korea University and Dept of Economics
Downloads 296 (104,768)
Citation 166

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5.
Downloads 294 (105,551)
Citation 7

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

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 Korea University
Downloads 260 (119,537)

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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
Charles M. Engel and Chang-Jin Kim
University of Wisconsin - Madison - Department of Economics and Korea University
Downloads 27 (507,945)

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7.

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
Korea University and Dept of Economics
Downloads 261 (119,693)
Citation 4

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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
Korea University and Dept of Economics
Downloads 242 (129,368)
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
Korea University and Dept of Economics
Downloads 182 (169,394)
Citation 21

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

International Finance Div. Discussion Paper No. 703
Number of pages: 45 Posted: 22 Jun 2001
Chang-Jin Kim, Jeremy Piger and Richard Startz
Korea University, University of Oregon - Department of Economics and UCSB
Downloads 156 (193,581)
Citation 2

Abstract:

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asymmetry, economic fluctuations, Markov-switching

11.

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

FEDS Discussion Paper No. 681
Number of pages: 39 Posted: 07 Dec 2000
Chang-Jin Kim and Jeremy Piger
Korea University and University of Oregon - Department of Economics
Downloads 141 (210,434)
Citation 3

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

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
The University of Sydney - School of Economics and Korea University
Downloads 138 (214,068)
Citation 1

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

13.

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
Korea University, University of Sydney and University of Oregon - Department of Economics
Downloads 136 (216,599)

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bayesian, counterfactual, structural change, volatility reduction

14.

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

FRB International Finance Discussion Paper No. 707
Number of pages: 48 Posted: 27 Aug 2001
Chang-Jin Kim, Charles R. Nelson and Jeremy Piger
Korea University, Dept of Economics and University of Oregon - Department of Economics
Downloads 103 (265,839)
Citation 19

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volatility reduction, stabilization, structural break, Bayesian

15.

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
Korea University and University of Oklahoma
Downloads 82 (307,642)
Citation 3

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

16.

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 2010
Charles R. Nelson and Chang-Jin Kim
Dept of Economics and Korea University
Downloads 39 (438,330)

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17.

Non-Markovian Regime-Switching Models

Number of pages: 37 Posted: 27 Apr 2018
Chang-Jin Kim and Jaeho Kim
Korea University and University of Oklahoma
Downloads 38 (446,581)
Citation 1

Abstract:

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

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 Korea University

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