Research

  1. "Common and Idiosyncratic Fluctuations of Interest Rates from Various Issuers: A Dynamic Factor Approach" University of Chicago PhD thesis (New version available soon)

  2. "Transactions Cost and Interest Rate Rules," (with C. Subramanian), Journal of Money, Credit, and Banking, Vol. 38 No.4 (June 2006): 1077-1092 (JMCB via Muse)

  3. "Velocity of Money and Inflation Dynamics", (with C. Subramanian), Applied Economics Letters, (April 2008)

  4. "Stochastic Money Velocity and the Term Structure of Interest Rates," revise and resubmit (New version available soon)

  5. "Do Macroeconomic Variables Forecast Bond Returns?" (with A. J. Moon) (SSRN), (New version available soon)

  6. "A Monetary Explanation of the Term Structure of Interest Rates and Bond Risk Premia," (with A. J. Moon) (SSRN) under review

  7. "Yield Forecasts and Stochastic Volatility in Affine Models with Macro Factors" (with H. Park) (SSRN) under review

 

  1. "Does Ambiguity Matter? Estimating Asset Pricing Models with a Multiple-Priors Recursive Utility" (with D. Jeong and J. Y. Park) (NBER SI AP)  (New version available soon)

  2. "Macroeconomic Uncertainty and Asset Prices: A Stochastic Volatility Model" (with H. Lee, H. Yeo, and J. Y. Park) (SSRN) (New version available soon)

  3. "A General Approach to Extract Stochastic Volatilities with an Empirical Analysis of Volatility Premium," (with H. Lee, and J. Y. Park) (New version available soon)

  4. "Optimal Housing and Asset Allocation with a Path-dependent Adjustment Cost," (with H. U. Kim ) (SSRN) under review

  5. "Using the Credit Spread as an Option-Risk Factor: Size and Value Effects in CAPM," (with Y. Hwang, H. Min, J. McDonald) revise and resubmit

  6. "Testing for No Arbitrage in Continuous Time: A Potential Resolution to Forward Premium Anomaly" (with S. Jacewitz and J. Y. Park)

  7. "Testing the Expectations Hypothesis in Continuous Time" (with J. Hur and J. Park)

  8. "The Effect of Seniority and Security Covenants on Bond Price Reactions to Credit News" (with D. Cho and J. Shin) (SSRN) under review

  9. "Measuring Information Effect on Corporate Takeovers," (with N. Galpin, J. Kim and K. Hong) (New version available soon)

  10. "A Stochastic Dominance Analysis of High-Frequency Data with an Application to the International Diversification Puzzle," with (J. Y. Park and M. Shintani)

Note) Those papers with the label (New version available soon) are under revision and are available upon request.