Research

Books

• 1999, State-Space Models with Regime-Switching: Classical and Gibbs-Sampling Approaches with Applications, The MIT press. (with Charles R. Nelson)
2000, Korean Currency Crisis and Overinvestment in the Perspective of Long-Run Equilibrium, (with Kwanghee Nam and Chong-ook Rhee), Korean Economic Research Institute


Journal Publications in English

2004, "Markov-Switching Models with Endogenous Explanatory Variables," forthcoming, Journal of Econometrics.
2004, "The Less Volatile U.S. Economy: A Bayesian Investigation of Timing, Breadth, and Potential Explanations," forthcoming, Journal of Business and Economic Statistics, (with Jeremy Piger and Charles R. Nelson).
2004, "Is There a Positive Relationship between Stock Market Volatility and the Equity Premium?," forthcoming, Journal of Money, Credit, and Banking (with James C. Morley and Charles R. Nelson).
2002, "Permanent and Transitory Nature of Recessions," Empirical Economics, Volume 27, Issue 2, 149-162. (with Christian Murray).
2002, "Common Stochastic Trends, Common Cycles, and Asymmetry in Economic Fluctuations," Journal of Monetary Economics, Volume 49, No. 6, 1189-1211 (with Jeremy Piger).
2001, "Does an intertemporal tradeoff between risk and return explain mean reversion in stock prices?" Journal of Empirical Finance, 8, 403-426 (coauthored with James C. Morley and Charles R. Nelson).
2001, "A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models," International Economic Review, 42(4) 989-1013 (with Charles R. Nelson).
2000, "Capital Accumulation and Trade Policy: The Case of Korea," International Economic Journal, 14(1), 111-131, (with Chong-Hyun Nam).
• 1999, [Book Review] Applications of Computer Aided Time Series Modeling, by Masanao Aoki and Arthur M. Havenner (eds), International Journal of Forecasting, 15(4), 499-450.
• 1999, "Has the U.S. Economy Become More Stable? A Bayesian Approach Based on a Markov-Switching Model of Business Cycle," Review of Economics and Statistics, 81(4), 608-616, (with Charles R. Nelson).
• 1999, "Friedman's Plucking Model of Business Fluctuations: Tests and Estimates of Permanent and Transitory Components," Journal of Money, Credit, and Banking, 31(3), Part 1, 317-334, (with Charles R. Nelson).
• 1999, "The Long-Run U.S./U.K. Real Exchange Rate," Journa of Money, Credit, and Banking, 31(3), Part1, 335-356, (with Charles Engle).
• 1998, "Testing for Mean Reversion in Heteroskedastic Data ||: Autoregression Tests Based on Gibbs-Sampling-Augmented Randomization," Journal of Empirical Finance, 5, 385-396, (with Charles R. Nelson).
• 1998, "Business Cycle Turning Points, A New Coincident Index, and Tests of Duration Dependence Based on A Dynamic Factor Model with Regime-Switching," Review of Economics and Statistics, 80, 188-201, (with Charles R. Nelson).
• 1998, "Testing for Mean Reversion in Heteroskedastic Data Based on Gibbs-Sampling-Augmented Randomization," Journal of Empirical Finance, 5, 131-154, (with Charles R. Nelson and Richard Startz).
• 1997, "Bayes Inference via Gibbs Sampling of Dynamic Linear Models with Markov-Switching," Journal of Economic Theory and Econometrics, 3(2), 123-149.
• 1996, "Transient Fads and the Crash of '87," Journal of Applied Econemetrics, 11, 41-58, (with Myung-Jig Kim).
• 1996, "Predicting Business Cycle Phases with Indexes of Leading and Coincident Economic Indicators: A Multivariate Regime-Shift Approach," Journal of Economic Theory and Econometrics, 2(2), 1-27.
• 1994, "Dynamic Linear Models with Markov-Switching," Journal of Econometrics, 60, 1-22.
• 1993, "Unobserved-Component Time-Series Models with Markov-Switching Heteroskedasticity: Changes in Regime and the Link Between Inflation Rates and Inflation Uncertainty," Journal of Business and Economic Statistics, 11, 341-349.
• 1993, "Sources of Monetary Growth Uncertainty and Economic Activity: The Time-Varying-Parameter Model with Heteroskedastic Disturbances," Review of Economics and Statistics, 1993, 75, 483-492.
• 1989, "The Time-Varying-Parameter Model for Modeling Changing Conditional Variance: The Case of Lucas Hypothesis," Journal of Business and Economic Statistics, 1989, 7, 433-440, (with Charles R. Nelson).


Articles in Books

• 2002, "Permanent and Transitory Nature of Recessions", Hamilton, James and Baldev Raj eds, "Advances in Markov-Switching Models" Pshysica-Verlag (A Apringer-Verlag Company).
• 1999, "한국경제와 미국경제: 새로운 시각과 정책적 시사점," 경제보도의 이상과 현실, 심재철 편, 삼성언론재단.



Working Paper

2003, Estimation of Regime-Switching Regression Models with Endogenous State Variables, (with J. Piger and R. Startz).
• 2002, "Exchange Regime and Monetary Independence in East Asia," (with Jong-Wha Lee).
• 2002, "Time-Varying Effects of Economic Development on Political Democracy," (with H. Kim and E. Morrison).
2002, "Nonlinearity and the Permanent Effects of Recessions", (with James Morley and Jeremy Piger).
2002, "Estimating Partisan Regimes using a Markov State-Switching Model," (with Bryan D. Jones and Richard Startz).
• 2001, "Why Are Stock Returns and Volatility Negatively Correlated?" (with J. Bae and C.R. Nelson)
• 2001, "Inflation Dynamics in the U.S.: What is the Story?" (with Kwanho Shin).
• 2001, "Permanent and Transitory Components of Business Cycles: Their Relative Importance and Dynamic Relationship," revised, (with Jeremy Piger and Richard Startz): Notice the title change.
• 2000, "Is There a Structural Break in the Equity Premium?," (with James C. Morley and Charles R. Nelson).



국문 논문 발표

2003, "환율제도와 통화정책의 독립성: 이자율 반응함수의 구조적 변화를 중심으로" 경제분석 제 9권 2호, (이종화 공저).
• 1999, "한국 주식시장, 평균회귀인가, 이탈인가- 시간연동모수기법을 이용한 측정,1999, 국제경제연구, 한국 국제경제학회 제5권, 3호, 97-115, (김인배 공저).



Research Activities

• Ad Hoc Referee: American Economic Review, Journal of Econometrics, Econometrica, Review of Economics and Statistics, Journal of Business and Economic Statistics, Journal of Applied Econometrics, International Economic Review, Scottish Journal of Poli