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Photo of Don H. Kim

Don H. Kim

Senior Adviser Program Direction Section Monetary Affairs
202-973-6194
don.h.kim@frb.gov

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
  • 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: September 14, 2020