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Photo of Don H. Kim

Don H. Kim

Senior Adviser Program Direction Section Monetary Affairs
202-973-6194
[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 - present
  • Visiting Professor of Finance

    Yonsei University

    2018
  • Adviser

    Board of Governors of the Federal Reserve System

    2016 - 2019
  • Assistant Director

    Board of Governors of the Federal Reserve System

    2015 - 2016
  • Chief, Monetary and Financial Market Analysis section

    Board of Governors of the Federal Reserve System

    2013 - 2015
  • Senior Economist

    Board of Governors of the Federal Reserve System

    2012 - 2013
  • Assistant Professor of Finance

    Yonsei University

    2008 - 2012
  • Economist

    Bank for International Settlements

    2006 - 2007
  • Economist

    Board of Governors of the Federal Reserve System

    2003 - 2008
  • International Yield Spillovers
    Don H. Kim and Marcelo Ochoa
    Journal of Financial and Quantitative Analysis (Forthcoming)
    See also » FRB Working Paper (2021)
  • Are Shadow Rate Models of the Treasury Yield Curve Structurally Stable?
    Don H. Kim and Marcel A. Priebsch
    Finance and Economics Discussion Series (2020)
    https://doi.org/10.17016/FEDS.2020.061
  • Tips from TIPS: Update and Discussions
    Don Kim, Cait Walsh, and Min Wei
    FEDS Notes (2019)
    https://doi.org/10.17016/2380-7172.2355
  • Tips from TIPS: The Informational Content of Treasury Inflation-Protected Security Prices
    Stefania D'Amico, Don H. Kim, and Min Wei
    Journal of Financial and Quantitative Analysis (2018)
    https://doi.org/10.1017/S0022109017000916
    See also » FRB Working Paper (2008)
  • Covered Interest Parity Deviation and Counterparty Default Risk: U.S. Dollar/Korean Won FX Swap Market
    Hanbok Choi, Young Ho Eom, Woon Wook Jang, and Don H. Kim
    Pacific-Basin Finance Journal (2017)
    https://doi.org/10.1016/j.pacfin.2017.05.002
  • Front-End Term Premiums in Federal Funds Futures Rates and Implied Probabilities of Future Rate Hikes
    Don Kim and Hiroatsu Tanaka
    FEDS Notes (2016)
    https://doi.org/10.17016/2380-7172.1884
  • Jumps in Bond Yields at Known Times
    Don H. Kim and Jonathan H. Wright
    NBER Working Paper Series (2014)
    https://doi.org/10.3386/w20711
    See also » FRB Working Paper (2014)
  • Empirical Performance of Alternative Option Pricing Models with Stochastic Volatility and Leverage Effects
    Woon Wook Jang, Young Ho Eom, and Don H. Kim
    Asia-Pacific Journal of Financial Studies (2014)
    https://doi.org/10.1111/ajfs.12054
  • Swaption Pricing in Affine and Other Models
    Don H. Kim
    Mathematical Finance (2014)
    https://doi.org/10.1111/mafi.12014
  • Term Structure Models and the Zero Bound: An Empirical Investigation of Japanese Yields
    Don H. Kim and Kenneth J. Singleton
    Journal of Econometrics (2012)
    https://doi.org/10.1016/j.jeconom.2011.12.005
  • Term Structure Estimation with Survey Data on Interest Rate Forecasts
    Don H. Kim and Athanasios Orphanides
    Journal of Financial and Quantitative Analysis (2012)
    https://doi.org/10.1017/S0022109011000627
    See also » FRB Working Paper (2005)
  • Contagion and Risk Premia in the Amplification of Crisis: Evidence from Asian Names in the Global CDS Market
    Don H. Kim, Mico Loretan, and Eli M. Remolona
    Journal of Asian Economics (2010)
    https://doi.org/10.1016/j.asieco.2009.07.010
  • Challenges in Macro-Finance Modeling
    Don H. Kim
    Federal Reserve Bank of St. Louis Review (2009)
    https://doi.org/10.20955/r.91.519-544
  • Zero Bound, Option-Implied PDFs, and Term Structure Models
    Don H. Kim
    Finance and Economics Discussion Series (2008)
    https://doi.org/10.17016/FEDS.2008.31
  • Spanned Stochastic Volatility in Bond Markets: A Reexamination of the Relative Pricing between Bonds and Bond Options
    Don H. Kim
    BIS Working Papers (2007)
  • The Bond Market Term Premium: What Is It, and How Can We Measure It?
    Don H. Kim and Athanasios Orphanides
    BIS Quarterly Review (2007)
  • An Arbitrage-Free Three-Factor Term Structure Model and the Recent Behavior of Long-Term Yields and Distant-Horizon Forward Rates
    Don H. Kim and Jonathan H. Wright
    Finance and Economics Discussion Series (2005)
    https://doi.org/10.17016/FEDS.2005.33
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Last Update: August 2, 2024