Don H. Kim

Board of Governors of the Federal Reserve System

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

SCHOLARLY PAPERS

15

DOWNLOADS
Rank 11,702

SSRN RANKINGS

Top 11,702

in Total Papers Downloads

5,185

SSRN CITATIONS
Rank 1,949

SSRN RANKINGS

Top 1,949

in Total Papers Citations

147

CROSSREF CITATIONS

536

Scholarly Papers (15)

Tips from Tips: The Informational Content of Treasury Inflation-Protected Security Prices

FEDS Working Paper No. 2008-30
Posted: 02 Jul 2021
Stefania D'Amico, Don H. Kim and Min Wei
Federal Reserve Bank of Chicago, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

Abstract:

Loading...

Tips from Tips: The Informational Content of Treasury Inflation-Protected Security Prices

FEDS Working Paper No. 2010-19
Posted: 09 Jul 2021
Stefania D'Amico, Don H. Kim and Min Wei
Federal Reserve Bank of Chicago, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

Abstract:

Loading...

Tips from Tips: The Informational Content of Treasury Inflation-Protected Security Prices

FEDS Working Paper No. 2014-24
Posted: 09 Jul 2021
Stefania D'Amico, Don H. Kim and Min Wei
Federal Reserve Bank of Chicago, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

Abstract:

Loading...

Tips from TIPS: The Informational Content of Treasury Inflation-Protected Security Prices

FEDS Working Paper No. 2014-24
Number of pages: 88 Posted: 10 Apr 2014
Stefania D'Amico, Don H. Kim and Min Wei
Federal Reserve Bank of Chicago, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 678 (47,291)
Citation 29

Abstract:

Loading...

TIPS, breakeven inflation, deflation floor, expected inflation, indexation Lag, inflation risk premium, liquidity premiums

Tips from Tips: The Informational Content of Treasury Inflation-Protected Security Prices

BIS Working Paper No. 248
Number of pages: 48 Posted: 16 Apr 2008
Stefania D'Amico, Don H. Kim and Min Wei
Federal Reserve Bank of Chicago, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 347 (107,323)
Citation 2

Abstract:

Loading...

term structure model, inflation expectation, inflation risk premium, SPF, Treasury Inflation-Protected Securities (TIPS)

Tips from TIPS: The Informational Content of Treasury Inflation-Protected Security Prices

FEDS Working Paper No. 19
Number of pages: 75 Posted: 12 Mar 2011
Stefania D'Amico, Don H. Kim and Min Wei
Federal Reserve Bank of Chicago, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 160 (229,486)
Citation 45

Abstract:

Loading...

Treasury inflation-protected securities (TIPS), expected inflation, inflation risk premium, liquidity, SPF, term structure

2.

The International Financial Crisis and Policy Challenges in Asia and the Pacific

BIS Paper No. 52
Number of pages: 402 Posted: 24 Jul 2010
Bank for International Settlements (BIS), Bank for International Settlements (BIS) - Monetary and Economic Department, Bank for International Settlements (BIS), Reserve Bank of New Zealand, Swiss National Bank, Bruegel, Bank for International Settlements (BIS), Bank for International Settlements (BIS), Bank for International Settlements (BIS), Bank for International Settlements (BIS), University of Copenhagen - Department of Economics, Bank for International Settlements (BIS), University of Geneva - Graduate Institute of International Studies (HEI), Bank for International Settlements (BIS) - Monetary and Economic Department, Columbia Business School - Finance and Economics, Herbert Smith, affiliation not provided to SSRN, University of Wisconsin - Madison - Department of Economics, University of British Columbia (UBC) - Department of Economics, London School of Economics & Political Science (LSE) - Financial Markets Group, Board of Governors of the Federal Reserve System, Bank for International Settlements (BIS), affiliation not provided to SSRN, Bank of Japan - Institute of Monetary and Economic Studies, Bank of Thailand, Central Bank of Malaysia and Government of the Republic of the Philippines - Central Bank of the Philippines-Bangko Sentral ng Pilipinas
Downloads 1,114 (23,977)
Citation 1

Abstract:

Loading...

An Arbitrage-Free Three-Factor Term Structure Model and the Recent Behavior of Long-Term Yields and Distant-Horizon Forward Rates

FEDS Working Paper No. 2005-33
Posted: 02 Jul 2021
Don H. Kim and Jonathan H. Wright
Board of Governors of the Federal Reserve System and affiliation not provided to SSRN

Abstract:

Loading...

An Arbitrage-Free Three-Factor Term Structure Model and the Recent Behavior of Long-Term Yields and Distant-Horizon Forward Rates

FEDS Working Paper No. 2005-33
Number of pages: 27 Posted: 05 Oct 2005
Don H. Kim and Jonathan H. Wright
Board of Governors of the Federal Reserve System and Johns Hopkins University - Department of Economics
Downloads 1,030 (26,513)
Citation 170

Abstract:

Loading...

Forward rates, term-structure model, arbitrage-free pricing, term premiums

4.

The Bond Market Term Premium: What is it, and How Can We Measure it?

BIS Quarterly Review, June 2007
Number of pages: 14 Posted: 24 Jun 2012
Don H. Kim and Athanasios Orphanides
Board of Governors of the Federal Reserve System and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 506 (69,491)
Citation 7

Abstract:

Loading...

Term Structure Estimation with Survey Data on Interest Rate Forecasts

FEDS Working Paper No. 2005-48
Posted: 02 Jul 2021
Don H. Kim and Athanasios Orphanides
Board of Governors of the Federal Reserve System and affiliation not provided to SSRN

Abstract:

Loading...

Term Structure Estimation with Survey Data on Interest Rate Forecasts

FEDS Working Paper No. 2005-48, AFA 2007 Chicago Meetings Paper
Number of pages: 42 Posted: 20 Mar 2006
Don H. Kim and Athanasios Orphanides
Board of Governors of the Federal Reserve System and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 461 (77,106)
Citation 73

Abstract:

Loading...

Dynamic term structure models, survey data, interest rate forecasts, term premia, expectations hypothesis

Term Structure Estimation with Survey Data on Interest Rate Forecasts

CEPR Discussion Paper No. 5341
Number of pages: 45 Posted: 05 Jan 2006
Don H. Kim and Athanasios Orphanides
Board of Governors of the Federal Reserve System and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 25 (618,865)
Citation 24
  • Add to Cart

Abstract:

Loading...

Dynamic term structure models, survey data, interest rate forecasts, term premia, expectations hypothesis

6.
Downloads 241 (158,743)
Citation 4

Swaption Pricing in Affine and Other Models

Number of pages: 34 Posted: 12 Dec 2011
Don H. Kim
Board of Governors of the Federal Reserve System
Downloads 241 (158,227)
Citation 1

Abstract:

Loading...

swaptions, coupon-bond options, affine models, quadratic-Gaussian models

Swaption Pricing in Affine and Other Models

Mathematical Finance, Vol. 24, Issue 4, pp. 790-820, 2014
Number of pages: 31 Posted: 24 Sep 2014
Don H. Kim
Board of Governors of the Federal Reserve System
Downloads 0
  • Add to Cart

Abstract:

Loading...

swaptions, coupon bond options, affine models, quadratic‐Gaussian models

7.

Term Structure Models and the Zero Bound: An Empirical Investigation of Japanese Yields

Number of pages: 39 Posted: 28 Aug 2010
Don H. Kim and Kenneth J. Singleton
Board of Governors of the Federal Reserve System and Stanford University - Graduate School of Business
Downloads 190 (197,563)
Citation 29

Abstract:

Loading...

positive interest, term structure models, zero bound, Japanese yields

Zero Bound, Option-Implied Pdfs, and Term Structure Models

FEDS Working Paper No. 2008-31
Posted: 02 Jul 2021
Don H. Kim
Board of Governors of the Federal Reserve System

Abstract:

Loading...

Zero Bound, Option-Implied PDFs, and Term Structure Models

Number of pages: 33 Posted: 28 May 2008 Last Revised: 31 May 2009
Don H. Kim
Board of Governors of the Federal Reserve System
Downloads 164 (224,662)
Citation 3

Abstract:

Loading...

zero bound, options, risk-neutral pdf, term structure models

9.

A Fast Method for the Computation of Option Prices Based on the N-Point Pade Approximant

Number of pages: 36 Posted: 06 Jun 2011 Last Revised: 12 Dec 2011
Don H. Kim
Board of Governors of the Federal Reserve System
Downloads 158 (231,606)

Abstract:

Loading...

options, saddlepoint method, N-point Pade approximants, rational function approximation

10.
Downloads 61 (432,637)

Jumps in Bond Yields at Known Times

FEDS Working Paper No. 2014-100r1
Number of pages: 48 Posted: 09 Dec 2014
Don H. Kim and Jonathan H. Wright
Board of Governors of the Federal Reserve System and Johns Hopkins University - Department of Economics
Downloads 46 (499,751)

Abstract:

Loading...

Term structure models, bond yields, jumps, news announcements, bond risk premia

Jumps in Bond Yields at Known Times

NBER Working Paper No. w20711
Number of pages: 35 Posted: 01 Dec 2014 Last Revised: 05 Aug 2021
Don H. Kim and Jonathan H. Wright
Board of Governors of the Federal Reserve System and Johns Hopkins University - Department of Economics
Downloads 13 (712,577)

Abstract:

Loading...

Jumps in Bond Yields at Known Times

FEDS Working Paper No. 2014-100
Number of pages: 48 Posted: 09 Jul 2021
Don H. Kim and Jonathan H. Wright
Board of Governors of the Federal Reserve System and affiliation not provided to SSRN
Downloads 2 (809,118)

Abstract:

Loading...

11.

Are Shadow Rate Models of the Treasury Yield Curve Structurally Stable?

FEDS Working Paper No. 2020-61
Number of pages: 44 Posted: 24 Aug 2020 Last Revised: 25 Aug 2020
Don H. Kim and Marcel Priebsch
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 28 (581,954)

Abstract:

Loading...

12.

International Yield Spillovers

FEDS Working Paper No. 2021-1
Number of pages: 59 Posted: 14 Jun 2021 Last Revised: 30 Jun 2021
Don H. Kim and Marcelo Ochoa
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System
Downloads 17 (656,735)

Abstract:

Loading...

Challenges in Macro-Finance Modeling

FEDS Working Paper No. 2008-6
Posted: 02 Jul 2021
Don H. Kim
Board of Governors of the Federal Reserve System

Abstract:

Loading...

Challenges in Macro-Finance Modeling

Number of pages: 26 Posted: 02 Jul 2021
Don H. Kim
Board of Governors of the Federal Reserve System
Downloads 5 (780,860)

Abstract:

Loading...

14.

Tips from Tips: Update and Discussions

FEDS Notes No. 2019-05-21-1
Posted: 13 Aug 2019 Last Revised: 14 Dec 2020
Don H. Kim, Cait Walsh and Min Wei
Board of Governors of the Federal Reserve System, Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

Abstract:

Loading...

Front-End Term Premiums in Federal Funds Futures Rates and Implied Probabilities of Future Rate Hikes

FEDS Notes No. 2016-11-18
Posted: 09 Jul 2021
Don H. Kim and Hiroatsu Tanaka
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

Abstract:

Loading...

Front-End Term Premiums in Federal Funds Futures Rates and Implied Probabilities of Future Rate Hikes

FEDS Notes No. 2016-11-18 https://doi.org/10.17016/2380-7172.1884
Posted: 22 Oct 2016
Hiroatsu Tanaka and Don H. Kim
Board of Governors of the Federal Reserve System and Board of Governors of the Federal Reserve System

Abstract:

Loading...