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