Research
Publications
Does Economic Policy Uncertainty Differ from Other Uncertainty Measures? Replication of Baker, Bloom, and Davis (2016), with Siye Bae and Myungkyu Shim, accepted at the Canadian Journal of Economics.
Transmissions of Structural Oil Shocks to Core Prices, with Sangheon Ahn, Global Economic Review, 53, February 2024, p. 52-71.
Do Housing Markets Affect Local Consumer Prices? Evidence from US Cities, with CY Choi, [Dallas Fed WP version], accepted at the Journal of Money, Credit and Banking.
United States of Mind under Uncertainty, with Siye Bae and Myungkyu Shim, Journal of Economic Behavior and Organization, 213, September 2023, p.102-127. [Mental Health Concerns Index 2004M01-2023M02]
Industry Effects of Oil Price Shocks: A Re-examination, with Lilia Karnizova and Abeer Reza, Energy Economics, 82, August 2019, p.179-190. [On-line Appendix]
Heterogeneity in the Dynamic Effects of Uncertainty on Investment, with Sung Je Byun, Canadian Journal of Economics, 51(1), February 2018, p.127-155. [On-line Appendix]
Macroeconomic Uncertainty Through the Lens of Professional Forecasters, with Rodrigo Sekkel, Journal of Business & Economic Statistics, December 2017. [Not-for-Publication Appendix]
Macroeconomic Impacts of Oil Price Shocks in Asian Economies, with Juncal Cunado and Fernando Perez de Gracia, Energy Policy, 86, November 2015, p.867-879.
The Effect of Oil Price Uncertainty on Global Real Economic Activity, Journal of Money, Credit, and Banking, 46(6), September 2014, p.1113-1135. [On-line Appendix]
Working Papers
ICT Innovations and Labor Hours: A Business Cycle Analysis, with Sangheon Ahn and Myungkyu Shim.
This paper investigates how changes in information and communication technologies (ICT) affect skilled and unskilled labor disproportionately at the business cycle frequency. We construct weekly hours series for the two labor groups using the monthly outgoing rotation group Current Population Survey from 1994 to 2022. Our analysis, based on a structural vector autoregressive model, reveals no statistically significant distinction in the hours' responses of skilled and unskilled labor to ICT innovation. This finding aligns with a dynamic stochastic general equilibrium model with a production function where ICT capital is complementary to both groups, different from the conventional modeling approach with skill-biased technology that is commonly employed in earlier literature.
Data: Working hours, wage and employment by skill level (Feb 2024 version)
Let's Get Physical: Impacts of Climate Change Physical Risks on Local Employment, with Thibaut Duprey and Genevieve Vallee, submitted to Bank of Canada Working Paper series.
We quantify the distributional impacts of climate change physical risks on employment, using shocks derived from narrative evidences of monthly natural disasters collected across 10 Canadian provinces over 40 years. We use a novel panel quantile local projection approach, which takes into account that natural disasters are tail events, localized in space and time, and hard to predicted in a given month-province. We find that the odds of a high provincial employment rate decreases on impact, but the effect tends to become positive as the economy recovers from a disaster. We also find substantial heterogeneity across different sectors, employment status and disaster types. (Draft available upon request)
What Can We Learn about Carbon-Reducing Innovations from the Joint Dynamics of CO2 Emissions and GDP?, with Lilia Karnizova, submitted.
Technological innovations designed to save energy, advance carbon storage or foster clean energy are often highlighted as a solution to mitigate emissions without reducing economic growth. However, theoretical studies disagree about the feasibility of such a solution, and empirical evaluations at the aggregate level are scarce. This paper provides new evidence on the macroeconomic effects of carbon-reducing technological innovations. We explore the joint dynamics of U.S. per capita emissions and GDP and uncover a shock that reduces emissions without lowering output by construction. After extensively examining its impacts on macroeconomic and environmental indicators, we interpret this novel shock as representing energy-efficiency changes in U.S. homes. We do not find compelling evidence that other carbon-reducing innovations were historically successful in lowering emissions without hindering economic growth in our sample. Implications of our findings are instructive for academics and policy-makers interested in climate change policies.
Previously circulated under the title, "Energy Efficiency and Fluctuations in CO2 Emissions."
Are Oil Price Shocks a Boon to the Korean Economy?, with Sangheon Ahn and Myungkyu Shim, submitted.
Yes, as long as the shock is driven by higher global economic activity that generates greater demand for trade. Other structural oil shocks also yield non-negative responses at the aggregate level. The common perception that oil shocks deter the Korean economy which depends heavily on imported energy sources is empirically supported only when sectoral differences in addition to the structural sources of the oil shocks are accounted for. These findings highlight the importance of considering heterogeneity along these dimensions to better understand the oil-macro relation for small open economies.
Environmental Policy and Business Cycles: Long-Run Gain, Short-Run Pain?, with Sangheon Ahn, Kwang Hwan Kim, and Myungkyu Shim.
This paper examines the welfare cost of short-run fluctuations using a real business cycle model incorporating pollution and environmental policy; households derive utility from the quality of environment and firms pay green taxes to finance government expenditure for reducing pollution. We find that the taxation may result in short-run welfare gain, in addition to its long-run social improvement. Such short-run benefit of the environmental policies has not been documented in the previous literature. We further show that Ramsey taxation is more effective in mitigating the welfare cost.
Oil Price Uncertainty and Vehicle Purchase Decisions, with Aram Derdzyan.
Heightened uncertainty may cause consumers to recalculate optimal decisions, at the same time as stirring up searching activities to collect more information to resolve some of it. We use monthly micro-level vehicle sales data between 2005 and 2019 matched with fuel efficiency by make and model, and investigate how vehicle consumption is related to oil price uncertainty and consumers' information seeking behavior on gasoline prices. We find that vehicle sales decline significantly when oil price uncertainty rises. However, this decline in sales can be offset, as consumers' are actively seeking more information on gasoline prices.
Uncertainty and Labor Market Fluctuations, with Justin J. Lee. [Dallas Fed WP version]
We investigate how a macroeconomic uncertainty shock affects the labor market. We focus on the uncertainty transmission mechanism, for which we employ a set of worker flow indicators in addition to labor stock variables. We incorporate common labor factors from such indicators into a framework that can simultaneously estimate historical macroeconomic uncertainty and its impacts on the macroeconomy and labor market. We find firms defer hiring full-time workers as macroeconomic uncertainty intensifies the real options value of waiting, while switching to involuntary part-time workers that incur low adjustment costs. Moreover, significantly more workers are laid off and voluntary quits drop, suggesting that other mechanisms such as the aggregate demand channel also play a crucial role.
Other Publications (in Korean) & Working papers
Economic Impacts of Carbon Reduction Policy: Analyzing Emission Permit Price Transmissions Using Macroeconometric Models, with Jehoon Lee, Environmental and Resource Economics Review, March 2024.
Has the Phillips Curve Flattened in South Korea?, with Kostiulin Maksim and Myungkyu Shim, Journal of Market Economy, June 2023.
The Consumption Behavior of Korean Households: Habit Formation vs. Durability, with Eun Young Chah, Korean Economic Studies, 2008.