Dooyeon Cho - Research

* Mind the Tone: Responses of Inflation Expectations to Central Bankers’ Speeches (with Jaehun Jung), Journal of International Money and Finance, forthcoming.

* Machine Learning Goes Beyond: Time-Varying Monetary Policy and Oil Price Pass-Through to Inflation Expectations (with Jaehun Jung), Journal of Macroeconomics, forthcoming.

Household Indebtedness and the Effectiveness of Fiscal Policy (with Dong-Eun Rhee), International Journal of Finance & Economics, forthcoming.

* Effects of Fiscal Policy Uncertainty and Asymmetric Spillovers: Evidence from Korea (with Yeonjin Song), Pacific Economic Review, forthcoming.

Government Size and the Effectiveness of Fiscal Policy: The Bigger the Better? (with Kyung-woo Lee), Macroeconomic Dynamics 29, e27, 2025.

* Economic Policy Uncertainty and the Kimchi Premium in the Cryptocurrency Market (with Kyung-woo Lee), Southern Economic Journal 92, 359-381, 2025.

Pension Sustainability and Government Effectiveness in the Presence of Population Aging (with Kyung-woo Lee), Economic Modelling 147, 107048, 2025. - Invited contribution to the Special Issue

Inflation Target Adjustments: Does an Improvement in Institutional or Economic Preconditions Matter? (with Husang Kim), International Finance 27, 129-179, 2024.

Government Debt and Fiscal Multipliers in the Era of Population Aging (with Dong-Eun Rhee), Macroeconomic Dynamics 28, 1161-1181, 2024.

Reassessing Growth Vulnerability (with Seunghwa Rho), Journal of Applied Econometrics 39, 225-234, 2024.

Determinants of Market-assessed Sovereign Default Risk: Macroeconomic Fundamentals or Global Shocks? (with Dong-Eun Rhee), International Finance 27, 35-60, 2024.

Combining Long and Short Memory in Time Series Models: The Role of Asymptotic Correlations of the MLEs (with Richard T. Baillie and Seunghwa Rho), Econometrics and Statistics 29, 88-112, 2024.

* Effects of Monetary Policy Uncertainty on Debt Financing: Evidence from Korean Heterogeneous Firms (with Pullip Im), Journal of International Money and Finance, 139, 102960, 2023.

* Dynamic Spillovers of Economic Policy Uncertainty across the US, Europe, and East Asia (with Husang Kim and Kyung-woo Lee), Global Economic Review, 52, 187-201, 2023.

Approximating Long Memory Processes with Low Order Autoregressions: Implications for Modeling Realized Volatility (with Richard T. Baillie and Seunghwa Rho), Empirical Economics 64, 2911-2937, 2023.

* Macroeconomic Effects of Uncertainty Shocks: Evidence from Korea (with Husang Kim), Journal of Asian Economics 84, 101571, 2023. Paper, New Korea EPU Index

Population Aging and Fiscal Sustainability: Nonlinear Evidence from Europe (with Kyung-woo Lee), Journal of International Money and Finance 126, 102665, 2022.

On Asymmetric Volatility Effects in Currency Markets (with Seunghwa Rho), Empirical Economics 62, 2149-2177, 2022.

On the Predictability of the Distribution of Excess Returns in Currency Markets, International Journal of Forecasting 37, 511-530, 2021.

The Tail Behavior of Safe Haven Currencies: A Cross-Quantilogram Analysis (with Heejoon Han), Journal of International Financial Markets, Institutions & Money 70, 101257, 2021.

Measuring the Time-Varying Effects of Fiscal Policy on Private Saving in the Process of Financial Integration (with Ju Hyun Pyun), Review of International Economics 28, 82-104, 2020.

Time Variation in the Persistence of Unemployment over the Past Century (with Seunghwa Rho), Economics Letters 182, 19-22, 2019.

Long Memory, Realized Volatility and Heterogeneous Autoregressive Models (with Richard T. Baillie, F. Calonaci, and Seunghwa Rho), Journal of Time Series Analysis 40, 609-628, 2019.

Carry Trades and Endogenous Regime Switches in Exchange Rate Volatility (with Heejoon Han and Na Kyeong Lee), Journal of International Financial Markets, Institutions & Money 58, 255-268, 2019.

Can Structural Changes in the Persistence of the Forward Premium Explain the Forward Premium Anomaly? (with Sungju Chun), Journal of International Financial Markets, Institutions & Money 58, 225-235, 2019.

On the Persistence of the Forward Premium in the Joint Presence of Nonlinearity, Asymmetry, and Structural Changes, Economic Modelling 70, 310-319, 2018.

Nonlinear Adjustments on the Excess Sensitivity of Consumption with Liquidity Constraints (with Dong-Eun Rhee), Applied Economics 49, 4180-4187, 2017.

Assessing Euro Crises from a Time Varying International CAPM Approach (with Richard T. Baillie), Journal of Empirical Finance 39, 197-208, 2016.

The Role of Covered Interest Parity in Explaining the Forward Premium Anomaly Within a Nonlinear Panel Framework, Journal of Empirical Finance 34, 229-238, 2015.

An Assessment of Inflation Targeting in a Quantitative Monetary Business Cycle Framework: Evidence from Four Early Adopters (with Dong-Eun Rhee), Applied Economics 47, 3395-3413, 2015.

Time Variation in the Standard Forward Premium Regression: Some New Models and Tests (with Richard T. Baillie), Journal of Empirical Finance 29, 52-63, 2014.

When Carry Trades in Currency Markets are not Profitable (with Richard T. Baillie), Review of Development Economics 18, 794-803, 2014.

Trade Intensity and Purchasing Power Parity (with Antonio Doblas-Madrid), Journal of International Economics 93, 194-209, 2014.

Nonlinear Effects of Government Debt on Private Consumption: Evidence from OECD Countries (with Dong-Eun Rhee), Economics Letters 121, 504-507, 2013.

Business Cycle Accounting East and West: Asian Finance and the Investment Wedge (with Antonio Doblas-Madrid), Review of Economic Dynamics 16, 724-744, 2013.