Meet the Economists
Don H. Kim
Senior Adviser
Program Direction Section
Monetary Affairs
202-973-6194
[email protected]
[email protected]
Education
- Ph.D., Finance, Stanford Graduate School of Business, 2005
- Ph.D., Physics, Massachusetts Institute of Technology, 1998
- A.B., Physics, Harvard University, 1994
Senior Adviser
Board of Governors of the Federal Reserve System
2019 - presentVisiting Professor of Finance
Yonsei University
2018Adviser
Board of Governors of the Federal Reserve System
2016 - 2019Assistant Director
Board of Governors of the Federal Reserve System
2015 - 2016Chief, Monetary and Financial Market Analysis section
Board of Governors of the Federal Reserve System
2013 - 2015Senior Economist
Board of Governors of the Federal Reserve System
2012 - 2013Assistant Professor of Finance
Yonsei University
2008 - 2012Economist
Bank for International Settlements
2006 - 2007Economist
Board of Governors of the Federal Reserve System
2003 - 2008
- Stefania D'Amico, Don H. Kim, and Min Wei (2018). "Tips from TIPS: The Informational Content of Treasury Inflation-Protected Security Prices," Journal of Financial and Quantitative Analysis, vol. 53, no. 1, pp. 395-436.
- Choi, Hanbok, Young Ho Eom, Woon Wook Jang, and Don H. Kim (2017). "Covered Interest Parity Deviation and Counterparty Default Risk: U.S. Dollar/Korean Won FX Swap Market," Pacific-Basin Finance Journal, vol. 44, pp. 47-63.
- Kim, Don, and Hiroatsu Tanaka (2016). "Front-End Term Premiums in Federal Funds Futures Rates and Implied Probabilities of Future Rate Hikes," FEDS Notes 2016-11-18. Board of Governors of the Federal Reserve System (U.S.).
- Kim, Don H., and Jonathan H. Wright (2014). "Jumps in Bond Yields at Known Times," Finance and Economics Discussion Series 2014-100r. Board of Governors of the Federal Reserve System (U.S.).
- Kim, Don H. (2014). "Swaption Pricing in Affine and Other Models," Mathematical Finance, vol. 24, no. 4, pp. 790-820.
- Jang, Woon Wook, Young Ho Eom, and Don H. Kim (2014). "Empirical Performance of Alternative Option Pricing Models with Stochastic Volatility and Leverage Effects," Asia-Pacific Journal of Financial Studies, vol. 43, no. 3, pp. 432-464.
- Kim, Don H., and Athanasios Orphanides (2012). "Term Structure Estimation with Survey Data on Interest Rate Forecasts," Journal of Financial and Quantitative Analysis, vol. 47, no. 1, pp. 241-272.
- Kim, Don H., and Kenneth J. Singleton (2012). "Term Structure Models and the Zero Bound: An Empirical Investigation of Japanese Yields," Journal of Econometrics, vol. 170, pp. 32-49.
- Kim, Don H., Mico Loretan, and Eli M. Remolona (2010). "Contagion and Risk Premia in the Amplification of Crisis: Evidence from Asian Names in the Global CDS Market," Journal of Asian Economics, vol. 21, no. 3, pp. 314-326.
- D'Amico, Stefania, Don H. Kim, and Min Wei (2008). "Tips from TIPS: The Informational Content of Treasury Inflation-Protected Security Prices," Finance and Economics Discussion Series 2008-30. Board of Governors of the Federal Reserve System (U.S.).
- Kim, Don H. (2008). "Zero Bound, Option-Implied PDFs, and Term Structure Models," Finance and Economics Discussion Series 2008-31. Board of Governors of the Federal Reserve System (U.S.).
- Kim, Don H., and Athanasios Orphanides (2007). "The Bond Market Term Premium: What is it, and how can we Measure it?" BIS Quarterly Review, June, pp. 27-40.
- Kim, Don H. (2007). "Spanned Stochastic Volatility in Bond Markets: A Reexamination of the Relative Pricing between Bonds and Bond Options," BIS Working Papers, no. 239. Bank for International Settlements.
- Kim, Don H., and Jonathan H. Wright (2005). "An Arbitrage-Free Three-Factor Term Structure Model and the Recent Behavior of Long-Term Yields and Distant-Horizon Forward Rates," Finance and Economics Discussion Series 2005-33. Board of Governors of the Federal Reserve System (U.S.).
Last update:
October 3, 2022