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
- “Identifying Monetary Policy Shocks by Matching Theoretical IRFs”, with Myunghyun Kim and Inhwan So, under review
[paper], [blog post] - “A Large-Scale Macro-Finance Affine Term Structure Model of Interest Rates”, 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)
- Related Package:
- “Restrictions on Conditional Correlations in SVARs”, with Myunghyun Kim, under review
[paper], [blog post] - “When Are Macro Risks Unspanned?: Evidence from a Regime-Switching Term Structure Model”, with Kyu Ho Kang, under review
[paper], [blog post]
Archived Working Papers
- “Statistical and Economic Benefits of Whitening Residuals in Bond Yields”
[paper], [blog post]
Publications
-
“Global Factors in Inflation and Interest Rates”, with Kyu Ho Kang, 2026, Open Economies Review, forthcoming.
[paper], [blog post 1], [blog post 2] -
“Analysis of the Regime-Switching Property of Unspanned Macro Risks in the Korean Yield Curve”, 2023, Economic Analysis, 29(3), 1-34, Bank of Korea (in Korean).
[paper]
Other Packages
- bayecon.matlab: User-friendly Bayesian econometrics MATLAB toolbox that does not require users to write a script. It is designed to be easy to use.
