Chang‐Jin Kim
Biographic Data
| ID | 9097397 |
|---|---|
| NAME | Chang‐Jin Kim |
| GIVEN NAMES | Chang‐Jin |
| FAMILY NAME | Kim |
| SIGNATURE | KIM C J |
| AFFILIATIONS | University of Washington |
| ORCID | 0000-0002-4600-9962 |
| VERIFIED | Yes |
| TOTAL WORKS | 15 |
| TOTAL CITATIONS | 0 |
| AUTHOR COUNT | 15 |
| EDITOR COUNT | 0 |
| FIRST PUBLICATION YEAR | 1989 |
| LATEST PUBLICATION YEAR | 2024 |
| H-INDEX | 0 |
Lost Paradise
In the history of Soviet kolkhoz (collective-farm) research, the 'advanced kolkhoz (millionaire) phenomenon' remains almost unexplored, although it was a notable social-economic phenomenon.Members of the Korean advanced kolkhozes in Central Asia, which operated from the late 1930s to the 1980s, at first adapted to the kolkhoz system through hard work, but later became very active in creating social-cultural institutions within the kolkhoz system …
Lost Paradise
In the history of Soviet kolkhoz (collective-farm) research, the 'advanced kolkhoz (millionaire) phenomenon' remains almost unexplored, although it was a notable social-economic phenomenon.Members of the Korean advanced kolkhozes in Central Asia, which operated since the late 1930s to the 1980s, at first adapted to the kolkhoz system through hard work, but later became very active in creating social-cultural institutions within the kolkhoz system…
Structural breaks in the mean of dividend-price ratios
Korean Modernization and Peasant Mobilization in the 1960s and 1970s
In the contemporary world history, rural communities and small producers did not naturally disappear due to the loss of economic competitiveness, but were artificially constrained and destroyed by the state laws, institutions, and policies. South Korea, which is considered a representative success case of the late capitalist industrialization after the World War II, can be an important example to examine the relevance of this challenging perspect…
Markov-Switching Models with Evolving Regime-Specific Parameters
In this paper, we relax the assumption of constant regime-specific mean growth rates in Hamilton's (1989) two-state Markov-switching model of the business cycle. We introduce a random walk hierarchy prior for each regime-specific mean growth rate and impose a cointegrating relationship between the mean growth rates in recessionary and expansionary periods. By applying the proposed model to postwar U.S. real GDP growth (1947:Q4–2011:Q3), we uncove…
Bayesian Inference in Regime-Switching Arma Models With Absorbing States
One goal of this article is to develop an efficient Metropolis–Hastings (MH) algorithm for estimating an ARMA model with a regime-switching mean, by designing a new efficient proposal distribution for the regime-indicator variable. Unlike the existing algorithm, our algorithm can achieve reasonably fast convergence to the posterior distribution even when the latent regime-indicator variable is highly persistent or when there exist absorbing state…
The Structural Break in the Equity Premium
This article uses Bayesian marginal likelihood analysis to compare univariate models of the stock return behavior and test for structural breaks in the equity premium. The analysis favors a model that relates the equity premium to Markov-switching changes in the level of market volatility and accommodates volatility feedback. For this model, there is evidence of a one-time structural break in the equity premium in the 1940s, with no evidence of a…
Inhibitory effect on proliferation of vascular smooth muscle cells and protective effect on CCl4-induced hepatic damage of Heai extract
The Less-Volatile U.S. Economy
Using a Bayesian model comparison strategy, we search for a volatility reduction in U.S. real gross domestic product (GDP) growth within the postwar sample. We find that aggregate real GDP growth has been less volatile since the early 1980s, and that this volatility reduction is concentrated in the cyclical component of real GDP.Sales and production growth in many of the components of real GDP display similar reductions in volatility, suggesting …
State-Space Models with Regime Switching
Both state-space models and Markov switching models have been highly productive paths for empirical research in macroeconomics and finance. This book presents recent advances in econometric methods that make feasible the estimation of models that have both features. One approach, in the classical framework, approximates the likelihood function; the other, in the Bayesian framework, uses Gibbs-sampling to simulate posterior distributions from data…
Has the U.S. Economy Become More Stable? A Bayesian Approach Based on a Markov-Switching Model of the Business Cycle
We hope to answer three questions: Has there been a structural break in postwar U.S. real GDP growth towards stabilization? If so, when? What is the nature of this structural break?We employ a Bayesian approach to identify a structural break at an unknown changepoint in a Markov-switching model of the business cycle. Empirical results suggest a break in GDP growth toward stabilization, with the posterior mode of the break date at 1984:1. Furtherm…
Business Cycle Turning Points, A New Coincident Index, and Tests of Duration Dependence Based on a Dynamic Factor Model With Regime Switching
The synthesis of the dynamic factor model of Stock and Watson (1989) and the regime-switching model of Hamilton (1989) proposed by Diebold and Rudebusch (1996) potentially encompasses both features of the business cycle identified by Burns and Mitchell (1946): (1) comovement among economic variables through the cycle and (2) nonlinearity in its evolution. However, maximum-likelihood estimation has required approximation. Recent advances in multim…
Unobserved-Component Time Series Models With Markov-Switching Heteroscedasticity
In this article, I first extend the standard unobserved-component time series model to include Hamilton's Markov-switching heteroscedasticity. This will provide an alternative to the unobserved-component model with autoregressive conditional heteroscedasticity, as developed by Harvey, Ruiz, and Sentana and by Evans and Wachtel. I then apply a generalized version of the model to investigate the link between inflation and its uncertainty (U.S. data…
Sources of Monetary Growth Uncertainty and Economic Activity
Chang-Jin Kim, Sources of Monetary Growth Uncertainty and Economic Activity: The Time- Varying-Parameter Model with Heteroskedastic Disturbances, The Review of Economics and Statistics, Vol. 75, No. 3 (Aug., 1993), pp. 483-492
The Time-Varying-Parameter Model for Modeling Changing Conditional Variance
The main econometric issue in testing the Lucas (1973) hypothesis in a time series context is estimation of the forecast-error variance conditional on past information. The conditional variance may vary through time as monetary policy evolves and agents are obliged to infer its present state. Under the assumption that a monetary policy regime is continuously changing, a time-varying-parameter model is proposed for the monetary-growth function. Ba…
No prominent works on this page.
The Time-Varying-Parameter Model for Modeling Changing Conditional Variance
The main econometric issue in testing the Lucas (1973) hypothesis in a time series context is estimation of the forecast-error variance conditional on past information. The conditional variance may vary through time as monetary policy evolves and agents are obliged to infer its present state. Under the assumption that a monetary policy regime is continuously changing, a time-varying-parameter model is proposed for the monetary-growth function. Ba…
Unobserved-Component Time Series Models With Markov-Switching Heteroscedasticity
In this article, I first extend the standard unobserved-component time series model to include Hamilton's Markov-switching heteroscedasticity. This will provide an alternative to the unobserved-component model with autoregressive conditional heteroscedasticity, as developed by Harvey, Ruiz, and Sentana and by Evans and Wachtel. I then apply a generalized version of the model to investigate the link between inflation and its uncertainty (U.S. data…
Sources of Monetary Growth Uncertainty and Economic Activity
Chang-Jin Kim, Sources of Monetary Growth Uncertainty and Economic Activity: The Time- Varying-Parameter Model with Heteroskedastic Disturbances, The Review of Economics and Statistics, Vol. 75, No. 3 (Aug., 1993), pp. 483-492
Business Cycle Turning Points, A New Coincident Index, and Tests of Duration Dependence Based on a Dynamic Factor Model With Regime Switching
The synthesis of the dynamic factor model of Stock and Watson (1989) and the regime-switching model of Hamilton (1989) proposed by Diebold and Rudebusch (1996) potentially encompasses both features of the business cycle identified by Burns and Mitchell (1946): (1) comovement among economic variables through the cycle and (2) nonlinearity in its evolution. However, maximum-likelihood estimation has required approximation. Recent advances in multim…
State-Space Models with Regime Switching
Both state-space models and Markov switching models have been highly productive paths for empirical research in macroeconomics and finance. This book presents recent advances in econometric methods that make feasible the estimation of models that have both features. One approach, in the classical framework, approximates the likelihood function; the other, in the Bayesian framework, uses Gibbs-sampling to simulate posterior distributions from data…
Has the U.S. Economy Become More Stable? A Bayesian Approach Based on a Markov-Switching Model of the Business Cycle
We hope to answer three questions: Has there been a structural break in postwar U.S. real GDP growth towards stabilization? If so, when? What is the nature of this structural break?We employ a Bayesian approach to identify a structural break at an unknown changepoint in a Markov-switching model of the business cycle. Empirical results suggest a break in GDP growth toward stabilization, with the posterior mode of the break date at 1984:1. Furtherm…
The Less-Volatile U.S. Economy
Using a Bayesian model comparison strategy, we search for a volatility reduction in U.S. real gross domestic product (GDP) growth within the postwar sample. We find that aggregate real GDP growth has been less volatile since the early 1980s, and that this volatility reduction is concentrated in the cyclical component of real GDP.Sales and production growth in many of the components of real GDP display similar reductions in volatility, suggesting …
The Structural Break in the Equity Premium
This article uses Bayesian marginal likelihood analysis to compare univariate models of the stock return behavior and test for structural breaks in the equity premium. The analysis favors a model that relates the equity premium to Markov-switching changes in the level of market volatility and accommodates volatility feedback. For this model, there is evidence of a one-time structural break in the equity premium in the 1940s, with no evidence of a…
Inhibitory effect on proliferation of vascular smooth muscle cells and protective effect on CCl4-induced hepatic damage of Heai extract
Bayesian Inference in Regime-Switching Arma Models With Absorbing States
One goal of this article is to develop an efficient Metropolis–Hastings (MH) algorithm for estimating an ARMA model with a regime-switching mean, by designing a new efficient proposal distribution for the regime-indicator variable. Unlike the existing algorithm, our algorithm can achieve reasonably fast convergence to the posterior distribution even when the latent regime-indicator variable is highly persistent or when there exist absorbing state…
Markov-Switching Models with Evolving Regime-Specific Parameters
In this paper, we relax the assumption of constant regime-specific mean growth rates in Hamilton's (1989) two-state Markov-switching model of the business cycle. We introduce a random walk hierarchy prior for each regime-specific mean growth rate and impose a cointegrating relationship between the mean growth rates in recessionary and expansionary periods. By applying the proposed model to postwar U.S. real GDP growth (1947:Q4–2011:Q3), we uncove…
Structural breaks in the mean of dividend-price ratios
Korean Modernization and Peasant Mobilization in the 1960s and 1970s
In the contemporary world history, rural communities and small producers did not naturally disappear due to the loss of economic competitiveness, but were artificially constrained and destroyed by the state laws, institutions, and policies. South Korea, which is considered a representative success case of the late capitalist industrialization after the World War II, can be an important example to examine the relevance of this challenging perspect…
Lost Paradise
In the history of Soviet kolkhoz (collective-farm) research, the 'advanced kolkhoz (millionaire) phenomenon' remains almost unexplored, although it was a notable social-economic phenomenon.Members of the Korean advanced kolkhozes in Central Asia, which operated from the late 1930s to the 1980s, at first adapted to the kolkhoz system through hard work, but later became very active in creating social-cultural institutions within the kolkhoz system …
Lost Paradise
In the history of Soviet kolkhoz (collective-farm) research, the 'advanced kolkhoz (millionaire) phenomenon' remains almost unexplored, although it was a notable social-economic phenomenon.Members of the Korean advanced kolkhozes in Central Asia, which operated since the late 1930s to the 1980s, at first adapted to the kolkhoz system through hard work, but later became very active in creating social-cultural institutions within the kolkhoz system…
Economics (12 works) · Econometrics (10 works) · Statistics (9 works) · Mathematics (8 works) · Monetary Policy and Economic Impact (8 works) · Economic theories and models (5 works) · Market Dynamics and Volatility (5 works) · Keynesian economics (4 works) · Markov chain (4 works) · Bayesian probability (3 works)