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Jiyoung Chae

Federal Reserve Bank of Richmond

About me

I am a senior quantitative analyst in the supervision department of the Federal Reserve Bank of Richmond. My research focuses on applied econometrics, spatial econometrics, and real estate finance economics.

Education

  • Ph.D. in Economics, May 2021

    University of Illinois at Urbana-Champaign

  • M.S. in Policy Economics, 2014

    University of Illinois at Urbana-Champaign

CV

Find my CV in PDF here.

Working Papers

A Flexible Model for Spatial Volatility with an Application to Chicago Housing Market

Existing volatility models normally emphasize the behavior of prices in a temporal sense and comparatively few studies have explicitly …
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Spatial Market Inefficiency in Housing Market: A Spatial Quantile Regression Approach (Revise and Resubmit, Journal of Real Estate Finance and Economics)

This paper empirically tests housing market efficiency in the spatial dimension by using the spatial autoregressive conditional …
PDF

Bayesian Inference in Spatial Stochastic Volatility Models with An Application to House Price Returns in Chicago (Revise and Resubmit, Oxford Bulletin of Economics and Statistics)

In this study, we consider a spatial stochastic volatility model in which the latent log-volatility term is specified through a spatial …
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The House Price-Supply Curve: A Spatial Panel Approach

This paper investigates spillover effects of house supply on nearby house prices across the housing cycle. Over the past five years, …

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