Education
University of Chicago, Ph.D. in Economics, 2003
University of Chicago, M.A. in Economics, 1999
Seoul National University, B.A. in Economics, 1993
Academic Positions
Assistant Professor, Texas A&M, 2007-current
Assistant Professor, SUNY at Buffalo 2004-2007
Research and Teaching Interests
Primary: Financial Economics, Macroeconomics
Secondary: Time Series Econometrics, International Economics
Research Papers
"Common and Idiosyncratic Fluctuations of Interest Rates from Various Issuers: A Dynamic Factor Approach" University of Chicago PhD thesis
"Transactions Cost and Interest Rate Rules," (with C. Subramanian), Journal of Money, Credit, and Banking, Vol. 38 No.4 (June 2006): 1077-1092
"Velocity of Money and Inflation Dynamics", (with C. Subramanian), Applied Economics Letters, (April 2008)
"Stochastic Money Velocity and the Term Structure of Interest Rates," revise and resubmit
"The Effect of Seniority and Security Covenants on Bond Price Reactions to Credit News" (with D. Cho and J. Shin), revise and resubmit
"Testing No Arbitrage in Continuous Time: A Potential Resolution to Forward Premium Anomaly" (with J. Y. Park and S. Jacewitz)
"Macroeconomic Uncertainty and Asset Prices: A Stochastic Volatility Model" (with H. Lee, H. Yeo, and J. Y. Park)
"Do Macroeconomic Variables Forecast Bond Returns?" (with A. J. Moon)
"A Monetary Explanation of the Term Structure of Interest Rates and Bond Risk Premia," (with A. J. Moon)
"A Term Structure Estimation with Money, Habit and Asset Market Segmentation," (with G. Kozak)
"Optimal Housing and Asset Allocation under Time-Varying Adjustment Cost," (with H. U. Kim )
Papers to be available soon
"Macro Factors and Term Structure Estimation" (with H. Park)
"Estimating a Continuous-time Term Structure using Milstein Approximation" (with H. Park and J. Y. Park)
"Mergers and Acquisitions, Analyst Forecasting, and Market Reactions" (with J. Kim and K. Hong)
Work in progress
"Testing the Expectations Hypothesis and Bond Risk Premia in Continuous Time" (with J. Y. Park)
"Dynamic Portfolio Evaluation and Spatial Analysis" (with J. Y. Park and M. Shintani)
"Collateralized Debt and Monetary Policy in a Segmented Asset Market" (with Z. Hercowitz)
"Endogenously Segmented Asset and Labor Markets: The Implications on Monetary Policy and Asset Returns"
"Estimating Time-Varying Risk Premium in Continuous Time" (with D. Jeong and J. Y. Park)