RESEARCH INTEREST
- Primary: Empirical Macro, Forecasting, Time-series
- Secondary: Macroeconometrics, Data Mining
PUBLICATIONS
- Forecasting Financial and Macroeconomics Variables Using Data Reduction Methods: New Empirical Evidence (with Norman R. Swanson),2014, Journal of Econometrics, 178(2):352-367. [MATLAB codes]
- Combining Point and Density Forecast of Inflation in Korea, 2015, Economic Analysis, 21(3):103-136. [R codes]
- Mining Big Data Using Parsimonious Factor Machine Learning, Variable Selection, and Shrinkage Methods(with Norman R. Swanson), 2016, International Journal of Forecasting, 34(2):339-354 [MATLAB codes] [WP version]
- Looking into the Black Box of the Korean Economy: The Sparse Factor Model Forecasting Approach, 2017, Journal of Asia-Pacific Economy, 23(1):1-16 [Appendices] [MATLAB codes] [WP version]
- Spatio-Temporal Analysis of House Price Diffusion of Korea, 2017, Journal of Korean Economic Analysis 23(2):89-135 [Gauss codes]
- Methods for Backcasting, Nowcasting and Forecasting Using Factor-MIDAS: With an Application to Korean GDP (with N. Swanson), 2018, Journal of Forecasting, 37(3):281-302 [Online Appendix] [MATLAB codes]
- Default Probability by Employment Status in Korea, (with Hosung Jung), 2020, Asian Economic Papers, 19(3):62-84
- Effect of Monetary Policy on Disaggregate Price Dynamics (with Jaihyun Nahm), 2020, Journal of Industrial Economics and Business, 33(5):1141-1447. [MATLAB code]
- Forecasting Financial Stress Indices in Korea: A Factor Model Approach, (with Hyeongwoo Kim and Wen Shi), 2020, Empirical Economics, 59:2859-2898
- Employment Effect by Aviation MRO Promotion Policy (with Selim Choi), 2021, Journal of the Aviation Management Society of Korea, 19(2):83-110.
- Analysis on Employment Effect of MCN(Multi-Channel Network) Industry, 2021, Journal of Arts & Cultural Management, 14(2):29-57
- Dynamic Analysis of Consumer Credit Panel using Self Organizing Map, 2022, Empirical Economics, 62:2893-2919. [R codes] [Appendix]
- Mixing Mixed Frequency and Diffusion Indices in Good Times and in Bad: An Assessment Based on Historical Data Around the Great Recession of 2008 (with Kihwan Kim and Norman R. Swanson), 2023, Empirical Economics, 64, 1421-1469
- Comparison of Equity Premium and its Determinants in Korea (in Korean), 2023, 금융정보연구 12(1):1-34.
- TCFD 권고안에 따른 연기금의 대응방안. 사학연금연구, 2023 7:83-138
- Systemic Risk of the Consumer Credit Network across Financial Institutions (with Hosung Jung), 2024, Journal of Asia Pacific Economy, 29(3):1462-1482 [Appendix]
- State-dependent Phillips Curve (with Nakyeong Lee), 2025, Economies, 13(1):14
- Online News-Based Economic Sentiment Index, IEEE Transactions on Big Data, 2025, 11(3):1464-1474
- 검색 지수를 이용한 거시경제 전망모형 연구, 2025, 한국경제학보, 32(1):23-50
BOOK CHAPTER
- Macro Time Series Modeling in Economic Impact of the Energy Transition, ed. Kim et el. Elsevier, 2025
* Non-peer-reviewed report
- Analysis of Effects of Cross-regional Diffusion of Apartment Sales Prices Using Actual Apartment Sales Price Index, (with Hosung Chung and Hosung Lim),2016, Bank of Korea Monthly Bulletin, April 2016.
WORKING PAPER
- Hysteresis in Korean Labor Market with Alternative Measure of Labor Utilization (with K.M. Hwang), BOK Working Paper 2014-29, in Korean
- Aggregate and Disaggregate Trend Inflation: Case of Korea (with Choon-sung Lim), submitted
- GAM-MIDAS: Generalized Additive Model Based Mixed-Data Sampling Regression with Informal Data (with Nate Kang, Jongho Im), submitted
- Financial Development and Income and Wealth Inequalities: Trade Globalization Matters (with Miao He), submitted.
- Impact of Global Supply Chain Shocks on Production Costs, (with Bongseok Choi, Sangho Shin), submitted.
WORK IN PROGRESS
- Macroeconomic Nowcasting using Naver Probabilities, (with Gary Koop and Sungyup Chung)
- Nowcasting Korea Investment Using Large Datasets, in progress
- Heterogeneity in Marginal Propensity to Consume, (with Youngjae Lee), in progress
- Diffusion Analysis of House Price in Korea, (with Miao He), in progress
- Rules or Intuition: Analysis of Signal from Monetary Policy Decision ( with Sungdae Park)
저역서
- Hubbar 화폐금융(Hubbard 저), 경문사
- 계량경제학(Stock, Watson 저), 이나무러닝