Hyeongwoo Kim, Ph.D., Research

Refereed Publications

Kim, Hyeongwoo (2009), "On the Usefulness of the Contrarian Strategy Across National Stock Markets: A Grid Bootstrap Analysis," Journal of Empirical Finance 16-5, 734-744.
Kim, Hyeongwoo, Liliana Stern, and Michael Stern (2009), "Nonlinear Mean Reversion in the G7 Stock Markets," Applied Financial Economics 19-5, 347-355.
Kim, Hyeongwoo and Young-Kyu Moh (2009) ''On the Importance of Span of the Data in Univariate Estimation of the Persistence in Real Exchange Rates'', Economics Bulletin 29-1, 129-140.
Kim, Hyeongwoo, John Jackson, and Richard Saba (2009), "Forecasting the FOMC's Interest Rate Setting Behavior: A Further Analysis," Journal of Forecasting 28-2, 145-165.
Kim, Hyeongwoo (2008), "Country-Specific Shocks and Optimal Monetary Policy," Economics Bulletin 5-23, 1-9.

Book Chapters

Angkinand, Apanard, James Barth, and Hyeongwoo Kim (2009), "Spillover Effects from the U.S. Financial Crisis: Some Time-Series Evidence from National Stock Returns," The Financial and Economic Crises: An International Perspective, edited by Benton Gup, Edward Elgar Publishing, forthcoming.

Working Papers

Nonlinear Mean Reversion across National Stock Markets: Evidence from Emerging Asian Markets, April 2008 (with Shu-Ling Chen; Under Revision for Resubmission, International Economic Journal)
Bias Correction and Out-of-Sample Forecast Accuracy, May 2009 (with Nazif Durmaz; Under Revision for Resubmission, Journal of Forecasting), MPRA Working Paper No.16780
A Century of Purchasing Power Parity Confirmed: The Role of Nonlinearity, January 2009 (with Young-Kyu Moh; Under Revision for Resubmission, Journal of International Money and Finance; Presented in the 83rd WEAI/KEA Annual Conference by coauthor, July 2008; Presented in the KEA/KAEA International Conference by coauthor, August 2008 ), MPRA Working Paper No.17488
VECM Estimations of the PPP Reversion Rate Revisited: The Conventional Role of Relative Price Adjustment Restored, November 2007 (Under Revision for Resubmission, Review of International Economics)
Factor Proportions Wages in a Structural Vector Autoregression, October 2009 (with Henry Thompson), MPRA Working Paper No.17798
Time-Series Analysis of U.S. Kidney Transplantation and the Waiting List: Donor Substitution Effects and "Dirty Altruism", September 2009 (with T. Randolph Beard, John Jackson, and David Kaserman), MPRA Working Paper No.17620
Examining the Evidence for Purchasing Power Parity Under the Current Float by Recursive Mean Adjustment, June 2009 (with Young-Kyu Moh)
Generalized Impulse Response Analysis: General or Extreme?, April 2009, MPRA Working Paper No.17014
Purchasing Power Parity and the Taylor Rule, March 2009 (with Masao Ogaki; Presented in 72nd Midwest Economics Association Annual Meeting, March 2008; Presented in Midwest Macro Meeting, May 2008; Presented in KEA/KAEA Annual Meeting, August 2008; Presented in ASSA Annual Meeting, January 2009; Presented in the NBER Summer Institute 2009, July 2009), Ohio State University Department of Economics Working Paper No.09-03
A Note on Real Exchange Rate Dynamics and the Taylor Rule, February 2009
Half-Life Bias Correction and the G7 Stock Markets, November 2008 (with Liliana Stern and Michael Stern)
The Asian Crisis in Thailand: Portfolio Investment and Central Bank Policy, April 2008 (with Noppadon Sathitsuksanoh and Henry Thompson)
Half-Life Estimation under the Taylor Rule: Two Goods Model, February 2007 (Presented in 16^th Midwest Econometrics Group Annual Meeting, October 2006)
Local-Currency Pricing, Technology Diffusion, and the Optimal Interest Rate Rule, April 2006
Half-Life Estimation under the Taylor Rule, July 2005
Purchasing Power Parity under a Taylor Rule Type Monetary Policy, December 2004 (Presented in 14^th Midwest Econometrics Group Annual Meeting, October 2004)

Simple but Useful Gauss Procedures

Hyeongwoo Kim | Home