Sunho Lee

Curriculum Vitae(CV)

Current Position

Economist, Office of Economic Modeling & Policy Analysis, Bank of Korea, June 2024 - Present

Research Fields

Machine Learning, Bayesian Econometrics, Financial Economics, Monetary Economics, Empirical Macroeconomics

Working Papers

  • “Statistical and Economic Benefits of Whitening Residuals in Bond Yields”, under review
    [paper], [blog post]

  • “A Bayesian Large Vector Autoregression of the Yield Curve and Macroeconomic Variables with No-Arbitrage Restriction”, with Kyu Ho Kang, under review
    [paper], [blog post]

    • Related Package: TermStructureModels.jl (Julia-based Bayesian estimation and scenario analysis package for the Gaussian affine term structure model, capable of incorporating numerous macro risks and lag terms)

  • “Regime-Switching Macro Risks in the Term Structure of Interest Rates”, with Kyu Ho Kang, under review
    [paper], [blog post]

  • “Global Factors in Inflation and Interest Rates”, with Kyu Ho Kang, Revise and Resubmit at Open Economies Review
    [paper], [blog post 1], [blog post 2]

Publications

in Korean

  • “Analysis of the Regime-Switching Property of Unspanned Macro Risks in the Korean Yield Curve”, 2023, Economic Analysis, 29(3), 1-34, publisher: Bank of Korea
    [paper]

Other Packages

  • bayecon.matlab: User-friendly Bayesian econometrics MATLAB toolbox that does not require users to write a script. It is really easy to use!