Minchul Shin

Senior Economic Advisor and Machine Learning Economist at the Federal Reserve Bank of Philadelphia.

Working papers

  1. On the Wisdom of Crowds (of Economists)
    with Frank Diebold (Penn) and Aaron Mora (University of South Carolina)
    [Local copy]
  2. Testing for Endogeneity: A Moment-Based Bayesian Approach
    with Siddhartha Chib (WUSTL) and Anna Simoni (CNRS)
    [Local copy]
  3. Measuring Fairness in the US Mortgage Market
    with Hadi Elzayn (Meta) and Simon Freyaldenhoven (Philadelphia Fed) and Ryan C. Kobler (Philadelphia Fed)
    [Local Copy] [Web Dashboard]
  4. Constructing Applicants from Loan-level Data: A Case Study of Mortgage Applications
    with Hadi Elzayn (Meta) and Simon Freyaldenhoven (Philadelphia Fed)
    [Local Copy] [Web Dashboard]
  5. Capital-Based Corporate Tax Benefits: Endogenous Misallocation through Lobbying
    with Tanida Arayavechkit (World Bank) and Felipe E. Saffie (University of Maryland)
    [Local copy]

Publications

  1. Inference Based on Time-Varying SVARs Identified with Sign Restrictions
    with Jonas Arias (Philadelphia Fed) and Juan F. Rubio-Ramirez (Emory) and Daniel F. Waggoner (Emory)
    Review of Economic Studies, Forthcoming
    [Local copy]
  2. On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates
    with Frank Diebold (Penn) and Boyuan Zhang (Penn)
    Journal of Econometrics, 2023
    [Local copy]
  3. Macroeconomic Forecasting and Variable Ordering in Multivariate Stochastic Volatility Models
    with Jonas Arias (Philadelphia Fed) and Juan F. Rubio-Ramirez (Emory)
    Journal of Econometrics, 2023
    [Local copy]
  4. The Causal Effects of Lockdown Policies on Health and Macroeconomic Outcomes
    with Jonas Arias (Philadelphia Fed) and Jesus Fernandez-Villaverde (Penn) and Juan F. Rubio-Ramirez (Emory)
    American Economic Journal: Macroeconomics, 2023
    [Local copy]
  5. A Statistical Learning Approach to Land Valuation: Optimizing the Use of External Information
    with David Albouy (UIUC)
    Journal of Housing Economics, 2022
    [Local copy]
  6. Bayesian Estimation and Comparison of Conditional Moment Models
    with Siddhartha Chib (WUSTL) and Anna Simoni (CNRS)
    Journal of the Royal Statistical Society: Series B, 2022
    [Local copy] [Appendix] [Code]
  7. DSGE-SVt: An Econometric Toolkit for High-Dimensional DSGE Models with SV and t Errors
    with Siddhartha Chib (WUSTL) and Fei Tan (SLU)
    Computational Economics, 2021
    [Local copy] [Code]
  8. A New Approach to Identifying the Real Effects of Uncertainty Shocks
    with Molin Zhong (FRB)
    Journal of Business and Economic Statistics, 2020
    [Local copy] [Online appendix] [Code]
  9. Probability Forecast Combination via Entropy Regularized Wasserstein Distance
    with Ryan Cumings-Menon (US Census)
    Entropy, 2020
    [Local copy]
  10. Machine Learning for Regularized Survey Forecast Combination: Partially-Egalitarian Lasso and Its Derivatives
    with Francis X. Diebold (Penn)
    International Journal of Forecasting, 2019
    [Local copy] [Code]
  11. Bayesian Estimation and Comparison of Moment Condition Models
    with Siddhartha Chib (WUSTL) and Anna Simoni (CNRS)
    Journal of the American Statistical Association, 2018
    [Local copy] [Appendix] [Code]
  12. Metropolitan Land Values
    with David Albouy (UIUC) and Gabriel Ehrlich (Michigan)
    Review of Economics and Statistics, 2018
    [Local copy]
  13. On the Comparison of Interval Forecasts
    with Ross Askanasi (Cornerstone), Francis X. Diebold (Penn), and Frank Schorfheide (Penn)​
    Journal of Time Series Analysis, 2018
    [Local copy]
  14. Measuring International Uncertainty: the Case of Korea
    with Boyuan Zhang (Penn), Molin Zhong (FRB), and Dong Jin Lee (Bank of Korea)​
    Economics Letters, 2018
    [Local copy]
  15. Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility
    with Francis X. Diebold (Penn) and Frank Schorfheide (Penn)​
    Journal of Econometrics, 2017
    [Local copy] [Code]
  16. Does Realized Volatility Help Bond Yield Density Prediction?
    with Molin Zhong (FRB)
    International Journal of Forecasting, 2017
    [Local copy]
  17. Assessing Point Forecast Accuracy by Stochastic Error Distance
    with Francis X. Diebold (Penn)
    Econometric Reviews, 2017
    [Local copy]
  18. Assessing Point Forecast Accuracy by Stochastic Loss Distance
    with Francis X. Diebold (Penn)
    Economics Letters, 2015
    [Local copy]

Other Publications

  1. Failure of Silicon Valley Bank Reduced Local Consumer Spending but Had Limited Effect on Aggregate Spending
    with Edmund S. Crawley (FRB) and Taeyoung Doh (KC Fed)
    Economic Bulletin, 2023
    [Local Copy]
  2. Measuring Disagreement in Probabilistic and Density Forecasts
    with Ryan Cumings-Menon (US Census) and Keith Sill (Philadelphia Fed)
    Joint Statistical Meeting Proceedings, Business and Economic Statistics Section, 2020
    [Local copy]
  3. Tracking U.S. Real GDP Growth During the Pandemic
    with Jonas E. Arias (Philadelphia Fed)
    Economic Insights, 2020
    [Local copy]
  4. Bayesian GMM
    Ph.D. Dissertation, 2015
    [Original, 2015], [Revised and current version, 2016]