Research

Refereed Publications (including 37 SSCI journals in bold)

1. 1. Kim, Hyeongwoo, Deockyun Ryu, and Jisoo Son (2023), "Fiscal Policy Effects on U.S. Labor Market," Journal of Economic Development 48(1), 85-110.

   2. Kim, Hyeongwoo, Peng Shao, and Shuwei Zhang (2023), "Policy Coordination and the Effectiveness of Fiscal Stimulus," Journal of Macroeconomics 75, 103489.

   3. Jia, Bijie, Hyeongwoo Kim, and Shuwei Zhang (2022), "Assessing the Role of Sentiment in the Propagation of Fiscal Stimulus," B.E. Journal of Macroeconomics 22(2), 699-728.

   4. Kim, Hyeongwoo and Madeline Kim (2021), "U.S. Presidential Election Polls and the Economic Prospects of China and Mexico," Applied Economics 53(54), 6231-6248. 

   5. Kim, Hyeongwoo and Wen Shi (2021), "Forecasting Financial Vulnerability in the U.S.: A Factor Model Approach," Journal of Forecasting 40, 439-457. 

   6. Kim, Hyeongwoo, Ying Lin, and Henry Thompson (2021), "Exchange Rate Pass-Through to Consumer Prices: The Increasing Role of Energy Prices," Open Economies Review 32, 395–415.

   7. Kim, Hyeongwoo and Kyunghwan Ko (2020), "Improving Forecast Accuracy of Financial Vulnerability: Partial Least Squares Factor Model Approach," Economic Modelling 88, 341-355.

   8. Kim, Hyeongwoo and Yunxiao Zhang (2020), "Investigating Properties of Commodity Price Responses to Real and Nominal Shocks," North American Journal of Economics and Finance 51, 100899. 

   9. Kim, Hyeongwoo, Wen Shi, Hyun Hak Kim (2020), "Forecasting Financial Stress Indices in Korea: A Factor Model Approach," Empirical Economics 59, 2859-2898. 

   10. Gao, Liping and Hyeongwoo Kim (2018), "Consumer Spending on Entertainment and the Great Recession," Leisure/Loisir 42(3), 281-300. 

   11. Kim, Hyeongwoo and Wen Shi (2018), "The Determinants of the Benchmark Interest Rates in China," Journal of Policy Modeling 40(2), 395-417. 

   12. Kim, Hyeongwoo and Jintae Kim (2018), "London Calling: Nonlinear Mean Reversion across International Stock Markets," North American Journal of Economics and Finance 44, 265-277. 

   13. Kim, Hyeongwoo and Daeyup Lee (2018), "The Effects of Government Spending Shocks on the Trade Account Balance in Korea," International Review of Economics & Finance 53, 57-70. 

   14. Beard, T. Randolph, Hyeongwoo Kim, and Michael Stern (2017), "Is Good News for Donald Trump Bad News for the Peso?", Applied Economics Letters 24(19), 1363-1368. 

   15. Gueye, Ghislain, Hyeongwoo Kim, and Gilad Sorek (2017), "Pitfalls in Testing for Cointegration Between Inequality and Real Income," Economic Inquiry 55(2), 941-950. 

   16. Anderson, Seth, T. Randolph Beard, Hyeongwoo Kim, and Liliana Stern (2016), "The Short-Run Pricing Behavior of Closed-End Funds: Bond vs. Equity Funds," Journal of Financial Services Research 50(30), 363-386. 

   17. Gao, Liping and Hyeongwoo Kim (2016), "Testing the Predictability of Consumption Growth: Evidence from China," Journal of Economic Development 41(3), 21-30. 

   18. Kim, Hyeongwoo, Wen Shi, and Kwang-Myoung Hwang (2016), "Estimating Interest Rate Setting Behavior in Korea: A Constrained Ordered Choices Model Approach," Applied Economics 48(23), 2199-2214.

   19. Kim, Hyeongwoo, Ippei Fujiwara, Bruce E. Hansen, and Masao Ogaki (2015), "Purchasing Power Parity and the Taylor Rule," Journal of Applied Econometrics 30(6), 874-903.

   20. Kim, Bong-Han, Hyeongwoo Kim, and Bong-Soo Lee (2015), "Spillover Effects of the US Financial Crisis on Financial Markets in Emerging Asian Countries," International Review of Economics & Finance 39, 192-210.

   21. Kim, Hyeongwoo and Deockhyun Ryu (2015), "Measuring the Speed of Convergence of Stock Prices: A Nonparametric and Nonlinear Approach," Economic Modelling 51, 227-241.

   22. Kim, Hyeongwoo and Deockhyun Ryu (2015), "A Nonparametric Study of Real Exchange Rate Persistence over a Century," International Review of Economics & Finance 37, 406-418.

   23. Chen, Shu-Ling, John Jackson, Hyeongwoo Kim, and Pramesti Resiandini (2014), "What Drives Commodity Prices?," American Journal of Agricultural Economics 96(5), 1455-1468. 

   24. Gao, Liping, Hyeongwoo Kim, and Richard Saba (2014), "How Do Oil Price Shocks Affect Consumer Prices?," Energy Economics 45, 313-323.

   25. Beard, T. Randolph, George Ford, and Hyeongwoo Kim (2014), "Capital Investment and Employment in the Information Sector," Telecommunications Policy 38, 371-382.

   26. Kim, Hyeongwoo and Henry Thompson (2014), "Wages in a Factor Proportions Model with Energy Input," Economic Modelling 36, 495-501.

   27. Kim, Bong-Han, Hyeongwoo Kim, and Hong-Ghi Min (2013), "Reassessing the Link between the Japanese Yen and Emerging Asian Currencies," Journal of International Money and Finance 33, 306-326.

   28. Anderson, Seth, Randy Beard, Hyeongwoo Kim, and Liliana Stern (2013), "Fear and Closed-End Fund Discounts," Applied Economics Letters 20-10, 956-959. 

   29. Hwang, Eugene, Hong-Ghi Min, Bong-Han Kim, and Hyeongwoo Kim (2013), "Determinants of Stock Market Comovements among US and Emerging Economies during the US Financial Crisis," Economic Modelling 35, 338-348. 

   30. Cheng, Ka Ming, Hyeongwoo Kim, and Henry Thompson (2013), "The Exchange Rate and US Tourism Trade, 1973-2007," Tourism Economics 19-4, 883-896. 

   31. Cheng, Ka Ming, Hyeongwoo Kim, and Henry Thompson (2013), "The Real Exchange Rate and the Balance of Trade in US Tourism," International Review of Economics & Finance 25, 122-128.

   32. Kim, Hyeongwoo (2013), "Generalized Impulse Response Analysis: General or Extreme?," EconoQuantum 10(2), 135-141. 

   33. Kim, Hyeongwoo and Nazif Durmaz (2012), "Bias Correction and Out-of-Sample Forecast Accuracy," International Journal of Forecasting 28, 575-586. 

   34. Kim, Hyeongwoo (2012), "VECM Estimations of the PPP Reversion Rate Revisited: The Conventional Role of Relative Price Adjustment Restored," Journal of Macroeconomics 34-1, 223-238. 

   35. Cheng, Ka Ming, Nazif Durmaz, Hyeongwoo Kim, and Michael Stern (2012), "Hysteresis vs. Natural Rate of US Unemployment," Economic Modelling 29-2, 428-434. 

   36. Beard, T. Randolph, John Jackson, David Kaserman, and Hyeongwoo Kim (2012), "Time-Series Analysis of U.S. Kidney Transplantation and the Waiting List: Donor Substitution Effects," Empirical Economics 42-1, 261-277. 

   37. Kim, Hyeongwoo and Young-Kyu Moh (2012), "The Yen Real Exchange Rate May Not Be Stationary After All: New Evidence from Non-Linear Unit-Root Tests," Bank of Korea Economic Analysis 18-4. 

   38. Kim, Hyeongwoo and Young-Kyu Moh (2012), "Examining the Evidence of Purchasing Power Parity by Recursive Mean Adjustment," Economic Modelling 29-5, 1850-1857. 

   39. Chen, Shu-Ling and Hyeongwoo Kim (2011), "Nonlinear Mean Reversion across National Stock Markets: Evidence from Emerging Asian Markets," International Economic Journal 25-2, 239-250. 

   40. Kim, Hyeongwoo and Young-Kyu Moh (2010), "A Century of Purchasing Power Parity Confirmed: The Role of Nonlinearity,"Journal of International Money and Finance 29-7, 1398-1405. 

   41. Kim, Hyeongwoo, Liliana Stern, and Michael Stern (2010), "Half-Life Bias Correction and the G7 Stock Markets," Economics Letters 109-1, 1-3. 

   42. 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. 

   43. Kim, Hyeongwoo, Liliana Stern, and Michael Stern (2009), "Nonlinear Mean Reversion in the G7 Stock Markets," Applied Financial Economics 19-5, 347-355. 

   44. 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. 

   45. 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. 

   46. Kim, Hyeongwoo (2008), "Country-Specific Shocks and Optimal Monetary Policy," Economics Bulletin 5-23, 1-9.

Book Chapters

• • Kim, Hyeongwoo (2023), "Will the Fed Beat Inflation?," Chapter 5.1 in 2024 Economic Issues & Trends, edited by Keun Lee, et al., The Center for Economic Catch-Up (ISBN: 9791171171712). (in Korean)

  • Kim, Hyeongwoo (2022), "Fed's Hawkish Turn: How Hawkish Will They Go," Chapter 2.2 in 2023 Economic Issues & Trends, edited by Keun Lee, et al., The Center for Economic Catch-Up (ISBN: 9788950942601). (in Korean)

  • Kim, Hyeongwoo (2021), "The Covid19 Pandemic Crisis and the Korean Economy," Chapter 1.3 in 2022 Economic Issues & Trends, edited by Keun Lee, et al., The Center for Economic Catch-Up (ISBN: 9788950997847). (in Korean)

  • Kim, Hyeongwoo (2020), "The New Crisis and the US Economy," Chapter 2.2 in 2021 Economic Issues & Trends, edited by Keun Lee, et al., The Center for Economic Catch-Up (ISBN: 9788950992392). (in Korean)

  • Barth, James, Sunghoon Joo, Hyeongwoo Kim, Kang Bok Lee, Stevan Maglic, and Xuan Shen (2020), "Forecasting Net Charge-Off Rates of Banks: A PLS Approach," in Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning, edited by Cheng-Few Lee (ISBN: 9789811202384).

  • Kim, Hyeongwoo (2019), "Economic Recession in the U.S.: Is It Coming?," Chapter 1.2 in 2020 Economic Issues & Trends, edited by Keun Lee, et al., The Center for Economic Catch-Up (ISBN: 9788950984175). (in Korean)

  • Kim, Hyeongwoo (2018), "Will the Fed Keep Raising Interest Rates?," Chapter 1.1 in 2019 Economic Issues & Trends, edited by Keun Lee, et al., The Center for Economic Catch-Up (ISBN: 9788950977863). (in Korean)

  • Angkinand, Apanard, James Barth, and Hyeongwoo Kim (2010), "Spillover Effects from the U.S. Financial Crisis: Some Time-Series Evidence from National Stock Returns," in The Financial and Economic Crises: An International Perspective, edited by Benton Gup, Edward Elgar Publishing (ISBN: 1848446667).

Policy Papers

• • Kim, Hyeongwoo (2022), "On the Stimulus Effect of Korean Fiscal Policy: 1964-2021," KEKA Working Paper Series #3 (in Korean)

  • Joo, Sangyoung, Deockhyun Ryu, and Hyeongwoo Kim (2020), "Long-Run Effects of Fiscal Policy," KIPF Policy Paper Series (in Korean) 

  • Ford, George S., Hyeongwoo Kim, and Lawrence J. Spiwak (2017), "What is the “Cost per Regulator” on GDP and Private Sector Job Creation? An Update on Prior Research," Phoenix Center Perspective No. 17-01 (Press Release, Washington Times)

  • Beard, T. Randolph, George S. Ford, Hyeongwoo Kim, and Lawrence J. Spiwak (2011), "Can Government Spending Get America Working Again?" Phoenix Center Policy Bulletin No. 31 (Press Release, PR Newswire, CNBC, US News)

  • Beard, T. Randolph, George S. Ford, Hyeongwoo Kim, and Lawrence J. Spiwak (2011), "Regulatory Expenditures, Economic Growth and Jobs: An Empirical Study," Phoenix Center Policy Bulletin No. 28 (Press Release, PR Newswire, US News)

  • Beard, T. Randolph, George S. Ford, and Hyeongwoo Kim (2010), "Jobs, Jobs, Jobs: Communications Policy and Employment Effects in the Information Sector," Phoenix Center Policy Bulletin No. 25 (Press Release, PR Newswire, US News)

Working Papers

• • What Charge-Off Rates are Predictable by Macroeconomic Latent Factors, February 2024 (with Jisoo Son), Auburn Economics Working Paper No. 2024-01

  • Trend-Breaks and the Persistence of Closed-End Fund Discounts, June 2023 (with Nazif Durmaz, Hyejin Lee, and Yanfei Sun), MPRA Working Paper No. 117789

  • Superior Predictability of American Factors of the Dollar/Won Real Exchange Rate, June 2023 (with Sarthak Behera and Soohyon Kim), Auburn Economics Working Paper No. 2023-05

  • Was the KORUS FTA a Horrible Deal?, June 2022 (with Madeline H. Kim, Divya Sadana, and Jie Zhang), Auburn Economics Working Paper No. 2022-02

  • Forecasting Dollar Real Exchange Rates and the Role of Real Activity Factors, October 2019 (with Sarthak Behera), Auburn Economics Working Paper No. 2019-04

  • Are Global Food Prices Becoming More Volatile and More Persistent?, November 2013, Auburn Economics Working Paper No. 2013-22 

  • Half-Life Estimation under the Taylor Rule: Two Goods Model, February 2007 (Presented in 16th Midwest Econometrics Group Annual Meeting, October 2006) 

  • Local-Currency Pricing, Technology Diffusion, and the Optimal Interest Rate Rule, April 2006 

Simple but Useful Gauss Procedures

• HP Filter: Note

• ADF Test by General-to-Specific Rule

• ADF Test by the BIC Rule and the AIC Rule

• Unit Root Test (ESTAR: Serially Uncorrelated): Note

• Unit Root Test (ESTAR: Serially Correlated): Note 

• Generating a VAR System

• Setup an ADF regression equation by the General-to-Specific Rule

• Setup an ADF regression equation given number of lags

• Lag Selection by Akaike Information Criteria and Bayesian Information Criteria: Scalar

• Lag Selection by Akaike Information Criteria and Bayesian Information Criteria: VAR

• OLS

• Autocovariance and Autocorrelation

• Cross-Correlation

• ADF p-values: nc, c, t