Central bank research hub - Papers by Taeyoung Doh
https://www.bis.org/cbhub/list/author/author_6807/index.rss
Research hub papers by author Taeyoung DohenTrend and Uncertainty in the Long-Term Real Interest Rate: Bayesian Exponential Tilting with Survey Data
https://www.kansascityfed.org/~/media/files/publicat/reswkpap/pdf/rwp17-08.pdf?la=en
Kansas City Fed Working Papers by Taeyoung DohTrend and Uncertainty in the Long-Term Real Interest Rate: Bayesian Exponential Tilting with Survey Data2017-07-31T00:00:00ZTrend and Uncertainty in the Long-Term Real Interest Rate: Bayesian Exponential Tilting with Survey DataFull texthttps://www.kansascityfed.org/~/media/files/publicat/reswkpap/pdf/rwp17-08.pdf?la=enTaeyoung DohTaeyoung Doh2017-07-31Federal Reserve Bank of Kansas City Research Working PapersC11E43The Equilibrium Term Structure of Equity and Interest Rates
https://www.kansascityfed.org/~/media/files/publicat/reswkpap/pdf/rwp16-11.pdf?la=en
Kansas City Fed Working Papers by Taeyoung Doh and Shu WuThe Equilibrium Term Structure of Equity and Interest Rates2016-11-30T00:00:00ZWe develop an equilibrium asset pricing model with Epstein-Zin recursive preferences that accounts for major stylized facts of the term structure of bond and equity risk premia. While the term structure of bond risk premia tends to be upward-sloping on average, the term structure of equity risk premia is known to be downward-sloping. {{p}} The equilibrium asset pricing model with long-run consumption risks has difficulty matching these stylized facts simultaneously. The standard calibration of these models follows Bansal and Yaron (2004), in which agents prefer the early resolution of uncertainty and have the inter-temporal elasticity of substitution greater than one; this calibration implies an upward-sloping term structure of equity risk premia and a downward-sloping term structure of real bond risk premia. Although the standard model can match a downward-sloping term structure of equity risk premia by amplifying the short-run risk of dividend growth, it does not fully reconcile with empirical evidence implying an upward-sloping average yield curve and a downward-sloping term structure of Sharpe ratios of dividend strips. We extend a standard model in two dimensions. First, we incorporate time-varying market prices of risks by allowing marginal utility of consumption to be nonlinearly dependent on risk factors. Second, we endogenously determine expected cash flows and expected inflation as potentially nonlinear functions of risk factors. With these extensions, our model can match the average slope of both bond and equity risk premia together with the term structure of Sharpe ratios of dividend strips. At the same time, the model generates the behavior of the aggregate stock market return in line with the data.The Equilibrium Term Structure of Equity and Interest RatesFull texthttps://www.kansascityfed.org/~/media/files/publicat/reswkpap/pdf/rwp16-11.pdf?la=enTaeyoung DohShu WuTaeyoung Doh and Shu Wu2016-11-30Federal Reserve Bank of Kansas City Research Working PapersE43G12Cash flow and risk premium dynamics in an equilibrium asset-pricing model with recursive preferences
https://www.kansascityfed.org/~/media/files/publicat/reswkpap/pdf/rwp15-12.pdf
Kansas City Fed Working Papers by Taeyoung Doh and Shu WuCash flow and risk premium dynamics in an equilibrium asset-pricing model with recursive preferences2015-10-01T00:00:00ZUnder linear approximations for asset prices and the assumption of independence between expected consumption growth and time-varying volatility, long-run risks models imply constant market prices of risks and often generate counterfactual results about asset return and cash ﬂow predictability. We develop and estimate a nonlinear equilibrium asset pricing model with recursive preferences and a ﬂexible econometric speciﬁcation of cash ﬂow processes. While in many long-run risks models time-varying volatility inﬂuences only risk premium but not expected cash ﬂows, in our model a common set of risk factors drive both expected cash ﬂow and risk premium dynamics. This feature helps the model to overcome two main criticisms against long-run risk models following Bansal and Yaron (2004): the over-predictability of cash ﬂows by asset prices and the tight relation between time-varying risk premia and growth volatility. Our model extends the approach in Le and Singleton (2010) to a setting with multiple cash ﬂows. We estimate the model using the long-run historical data in the U.S. and ﬁnd that the model with generalized market prices of risks produces cash ﬂow and return predictability that are more consistent with the data.Cash flow and risk premium dynamics in an equilibrium asset-pricing model with recursive preferencesFull texthttps://www.kansascityfed.org/~/media/files/publicat/reswkpap/pdf/rwp15-12.pdfTaeyoung DohShu WuTaeyoung Doh and Shu Wu2015-10-01Federal Reserve Bank of Kansas City Research Working PapersE21G12Yield Curve and Monetary Policy Expectations in Small Open Economies
http://www.kansascityfed.org/publicat/reswkpap/pdf/rwp14-13.pdf
Kansas City Fed Working Papers by Kwan Soo Bong, Taeyoung Doh and Woong Yong Park,Yield Curve and Monetary Policy Expectations in Small Open Economies2014-11-24T12:33:59ZThis paper estimates a New Keynesian dynamic stochastic general equilibrium (DSGE) model in small open economies using the yield curve data as well as standard macro data. The DSGE model is estimated on the data of three inflation-targeting small open economies (Australia,Canada, and New Zealand) using Bayesian methods. We find that the long-end of the yield curve is highly correlated with the current and future short-term interest rates determined by domestic
central banks. Yield curve data are particularly informative about the future stance of monetary policy in Australia and Canada in that the correlation between the model-implied monetary policy expectations and the ex-post realized policy interest rates increases when the yield curve data are used in estimation. Unlike the estimation results solely based on the macro data that imply the cental bank's relatively strong focus on inflation stabilization, our results using yield curve information suggest that even inflation-targeting central banks have a significant concern for output stabilization. We also document that persistent domestic shocks, not foreign disturbances,
drive the average level of the yield curve in these three countries.Yield Curve and Monetary Policy Expectations in Small Open EconomiesFull texthttp://www.kansascityfed.org/publicat/reswkpap/pdf/rwp14-13.pdfWoong Yong ParkTaeyoung DohKwan Soo BongKwan Soo Bong, Taeyoung Doh and Woong Yong Park,2014-11Federal Reserve Bank of Kansas City Research Working PapersThe State Space Representation and Estimation of a Time-Varying Parameter VAR with Stochastic...
http://www.kansascityfed.org/publicat/reswkpap/pdf/rwp12-04.pdf
Kansas City Fed Working Papers by Taeyoung Doh and Michael ConnollyThe State Space Representation and Estimation of a Time-Varying Parameter VAR with Stochastic...2012-11-16T12:39:00ZTo capture the evolving relationship between multiple economic variables, time variation in either coefficients or volatility is often incorporated into vector autoregressions (VARs). However, allowing time variation in coefficients or volatility without restrictions on their dynamic behavior can increase the number of parameters too much, making the estimation of such a model practically infeasible. For this reason, researchers typically assume that time-varying coefficients or volatility are not directly observed but follow random processes which can be characterized by a few parameters. The state space representation that links the transition of possibly unobserved state variables with observed variables is a useful tool to estimate VARs with time-varying coefficients or stochastic volatility.The State Space Representation and Estimation of a Time-Varying Parameter VAR with Stochastic...Full texthttp://www.kansascityfed.org/publicat/reswkpap/pdf/rwp12-04.pdfMichael ConnollyTaeyoung DohTaeyoung Doh and Michael Connolly2012-07Federal Reserve Bank of Kansas City Research Working PapersYield Curve in an Estimated Nonlinear Macro Model
http://www.kc.frb.org/PUBLICAT/RESWKPAP/PDF/RWP09-04.pdf
Kansas City Fed Working Papers by Taeyoung DohYield Curve in an Estimated Nonlinear Macro Model2009-02-12T12:43:59ZWhat moves the yield curve? This paper specifies and estimates a dynamic stochastic general equilibrium (DSGE) model solved using a second order approximation to equilibrium conditions to answer this question. From the empirical analysis of U.S. data from 1983:Q1 to 2007:Q4, I find that the monetary policy response to the inflation gap defined by the difference between expected inflation and the inflation target of the central bank is a key channel transmitting macro shocks to the yield curve and that the degree of nominal rigidity determines which macro shocks are more important determinants of the yield curve. With the low degree of nominal rigidity, the inflation target of the central bank drives persistent movements of inflation and the yield curve while fluctuations of markups do so with the high degree of nominal rigidity. Although the estimated linear model puts nearly zero probability on the low degree of nominal rigidity, there is a positive probability mass in the nonlinear model. The analysis in this paper suggests caution on interpreting estimation results in which nonlinear terms of the DSGE model solution are ignored.Yield Curve in an Estimated Nonlinear Macro ModelAbstracthttp://www.kc.frb.org/PUBLICAT/RESWKPAP/Rwp09-04.htmFull texthttp://www.kc.frb.org/PUBLICAT/RESWKPAP/PDF/RWP09-04.pdfTaeyoung DohTaeyoung Doh2009-02Federal Reserve Bank of Kansas City Research Working PapersC32E43G12Long Run Risks in the Term Structure of Interest Rates: Estimation
http://www.kc.frb.org/PUBLICAT/RESWKPAP/PDF/RWP08-11.pdf
Kansas City Fed Working Papers by Taeyoung DohLong Run Risks in the Term Structure of Interest Rates: Estimation2009-01-01T12:00:00ZThis paper specifies and estimates a long run risks model with inflation by using the nominal term structure data in the United States from 1953 to 2006. The negative correlation between expected inflation and expected consumption growth in conjunction with the Epstein-Zin (1989) recursive preferences generates an upward sloping yield curve and fits the yield curve data better than the alternative specifications. However, the variations of the forward looking components of consumption growth and inflation in the estimated model are much smaller than implied by calibrated parameter values in the previous literature. An extended model with time varying volatilities alleviates this problem. In the extended model, estimated long run risks and volatilities, especially for inflation, are in line with survey data and the estimated inflation volatility explains a significant portion of the time variation of term premium.Long Run Risks in the Term Structure of Interest Rates: EstimationAbstracthttp://www.kc.frb.org/PUBLICAT/RESWKPAP/Rwp08-11.htmFull texthttp://www.kc.frb.org/PUBLICAT/RESWKPAP/PDF/RWP08-11.pdfTaeyoung DohTaeyoung Doh2008-12Federal Reserve Bank of Kansas City Research Working PapersC32E43G12What Does the Yield Curve Tell Us About the Federal Reserve's Implicit Inflation Target?
http://www.kc.frb.org/Publicat/Reswkpap/PDF/RWP07-10.pdf
Kansas City Fed Working Papers by Taeyoung DohWhat Does the Yield Curve Tell Us About the Federal Reserve's Implicit Inflation Target?2007-12-18T07:14:00ZWhat Does the Yield Curve Tell Us About the Federal Reserve's Implicit Inflation Target?Abstracthttp://www.kc.frb.org/Publicat/Reswkpap/RWP07-10.htmFull texthttp://www.kc.frb.org/Publicat/Reswkpap/PDF/RWP07-10.pdfTaeyoung DohTaeyoung Doh2007-12Federal Reserve Bank of Kansas City Research Working PapersC32E43G12Non-Stationary Hours in a DSGE Model
http://www.philadelphiafed.org/research-and-data/publications/working-papers/2006/wp06-3.pdf
Philadelphia Fed Working Papers by Yongsung Chang, Taeyoung Doh, and Frank SchorfheideNon-Stationary Hours in a DSGE Model2006-02-01T12:00:00ZNon-Stationary Hours in a DSGE ModelFull texthttp://www.philadelphiafed.org/research-and-data/publications/working-papers/2006/wp06-3.pdfTaeyoung DohYongsung ChangFrank SchorfheideYongsung Chang, Taeyoung Doh, and Frank Schorfheide2006Federal Reserve Bank of Philadelphia Working Papers