Research

Research Interest

  • Primary: Empirical Macro, Forecasting, Time-series
  • Secondary: Macroeconometrics, Data Mining

Publications

  1. Forecasting Financial and Macroeconomics Variables Using Data Reduction Methods: New Empirical Evidence (with Norman R. Swanson)Journal of Econometrics, 178(2):352-367MATLAB codes
  2. Combining Point and Density Forecast of Inflation in KoreaEconomic Analysis, 21(3):103-136
  3. Mining Big Data Using Parsimonious Factor Machine Learning, Variable Selection, and Shrinkage Methods (with Norman R. Swanson)International Journal of Forecasting, 34(2):339-354MATLAB codes
  4. Looking into the Black Box of the Korean Economy: The Sparse Factor Model Forecasting ApproachJournal of Asia-Pacific Economy, 23(1):1-16AppendicesWP version (BOK WP 2013-26)
  5. Spatio-Temporal Analysis of House Price Diffusion of KoreaJournal of Korean Economic Analysis, 23(2):89-135
  6. Methods for Backcasting, Nowcasting and Forecasting Using Factor-MIDAS: With an Application to Korean GDP (with Norman R. Swanson)Journal of Forecasting, 37(3):281-302
  7. Default Probability by Employment Status in Korea (with Hosung Jung)Asian Economic Papers, 19(3):62-84
  8. Effect of Monetary Policy on Disaggregate Price Dynamics (with Jaihyun Nahm)Journal of Industrial Economics and Business, 33(5):1141-1447
  9. Forecasting Financial Stress Indices in Korea: A Factor Model Approach (with Hyeongwoo Kim and Wen Shi)Empirical Economics, 59:2859-2898
  10. Employment Effect by Aviation MRO Promotion Policy (with Selim Choi)Journal of the Aviation Management Society of Korea, 19(2):83-110
  11. Analysis on Employment Effect of MCN (Multi-Channel Network) IndustryJournal of Arts & Cultural Management, 14(2):29-57
  12. Dynamic Analysis of Consumer Credit Panel using Self Organizing MapEmpirical Economics, 62:2893-2919Appendix
  13. 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)Empirical Economics, 64:1421-1469
  14. Comparison of Equity Premium and its Determinants in Korea금융정보연구, 12(1):1-34, in Korean
  15. TCFD 권고안에 따른 연기금의 대응방안사학연금연구, 7:83-138, in Korean
  16. Systemic Risk of the Consumer Credit Network across Financial Institutions (with Hosung Jung)Journal of Asia Pacific Economy, 29(3):1462-1482Appendix
  17. State-dependent Phillips Curve (with Nakyeong Lee)Economies, 13(1):14
  18. Measuring Labor Market Status Using Remote Sensing DataSustainability, 17(7):2807
  19. Online News-Based Economic Sentiment Index (with N. Kang, D. Min, Y. Cho, D. Ko, J. Choeh, and I. Im)IEEE Transactions on Big Data, 11(3):1464-1474
  20. 검색 지수를 이용한 거시경제 전망모형 연구한국경제학보, 32(1):23-50, in Korean
  21. Generalized additive models for mixed-data regression using informal data (with Nathaniel Kang and Jongho Im)Applied Soft Computing, 186(A):114082
  22. Climate Policy Uncertainty Index: Case of Korea (with S. Park and S. Yeom)Environmental and Resources Economics Review, 35(1):81-108
  23. Impact of Global Supply Chain Shocks on Production Costs (with Bongseok Choi and Sangho Shin)Empirical Economics, 70:85
  24. Digital Transformation of the Service Industry in the Regional Perspective (with D. Yoon)Quality and Quantity, (2026) Forthcoming
  25. Measuring Concentration Risk with a Herd Sentiment Index: Evidence from Korean Financial MarketsResearch in International Business and Finance, 90:103543
  26. Financial Development and Income and Wealth Inequalities: Trade Globalization Matters (with Miao He)Journal of Economic Integration, (2026) Forthcoming
  27. The Impact of Demographic Changes on Financial Markets and Bank Soundness, and Proposals for Reforming the Deposit Insurance SystemFinancial Stability Studies, (2026), in Korean Forthcoming

Working Papers

  1. Hysteresis in Korean Labor Market with Alternative Measure of Labor Utilization (with K. M. Hwang)BOK Working Paper 2014-29, in Korean
  2. Do Central Bank Statements Forecast Policy? Evidence from Korea (with S. Park)submittedCode
  3. When Does Synthetic Data Improve Forecast Combination? An Information-Channel Decompositionsubmitted
  4. Sectoral Information and the Real-Time Measurement of Trend Inflation: Evidence from Koreasubmitted
  5. Validating Generated Latent Quantities for Surveysubmitted
  6. Unobservable Heterogeneity in the Marginal Propensity to Consume: Evidence from Korean Household Panel Datasubmitted
  7. When Does Monthly Information Improve Investment Nowcasts? Benchmark Synchronisation and Evidence from Koreasubmitted
  8. Where imported physical climate risk stops: supply chains, overseas plants, and the manufacturing balance sheetsubmitted
  9. Auditing Real-Time Official Statistics: A Release-Event Ledger for U.S. GDP Nowcastingsubmitted
  10. Comparator choice in the evaluation of density neural MIDAS nowcastssubmitted
  11. Greenwashing Without Lying: Claim-Type Selection in Corporate Climate Disclosuresubmitted
  12. When the toolkit runs out: single-host event studies and the limits of causal inference (with S. Yoon)
  13. Capital Flows in an Exchange-Rate Reversal: Evidence from KoreaTechnical summary기술 요약 (국문)

Book Chapter

  1. Macro Time Series Modelingin Economic Impact of the Energy Transition, ed. Kim et al., Elsevier, 2025

Non-peer-reviewed Report

  1. Analysis of Effects of Cross-regional Diffusion of Apartment Sales Prices Using Actual Apartment Sales Price Index (with Hosung Chung and Hosung Lim)Bank of Korea Monthly Bulletin, April 2016, in Korean

Work in Progress

  1. Macroeconomic Nowcasting using Naver Probabilities (with Gary Koop and Sungyup Chung)
  2. Determinants of Youth Employment Location: Case of Korea
  3. A Time-Varying Asymmetric Dynamic Latent Space Model for Directed Weighted Networks (with S. Park and I. Jin)
  4. From Human Ratings to AI Scores: Measuring Sentiment in Monetary Policy Statements (with S. Park)
  5. Establishment of an Early Warning System (EWS) for Synthetic Data-Based Private Mezzanine-False Disclosure Combination Schemes (with J. Jeon)
  6. Forecast North Korea’s Economic Activity Using Remote Sensing Data in Mixed Frequency (with G. Kim and C. Lim)
  7. Financial Friction and Government Subsidy in Venture Capital Financing
  8. Transition of Global Production Cost Shock to Domestic Producer Price (with B. Choi and S. Shin)
  9. Diffusion Analysis of House Price in Korea (with Miao He)

저·역서 (Translated Books)

  1. Hubbard 화폐금융Hubbard 저, 경문사, in Korean
  2. 계량경제학Stock, Watson 저, 이나무러닝, in Korean

Research Grants

  1. 2025Study on the Economic and Social Impact and Utilization of AI-Generated Synthetic DataNational Research Foundation of Korea · CI
  2. 2022Development of a Macroeconomic Forecasting Model Based on Big Data and Artificial IntelligenceNational Research Foundation of Korea · CI
  3. 2022Narrative Analysis of the Climate Change Crisis and the Future of KoreaNational Research Foundation of Korea · PI
  4. 2022Business Cycle Analysis Using Text MiningNational Research Foundation of Korea · PI
  5. 2018Estimation of Trend Inflation through Stochastic Volatility ModelsNational Research Foundation of Korea · PI