Jing Cynthia Wu

University of Notre Dame - Department of Economics

Notre Dame, IN 46556

United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

24

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SSRN CITATIONS
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942

CROSSREF CITATIONS

984

Scholarly Papers (24)

Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound

Chicago Booth Research Paper No. 13-77
Number of pages: 56 Posted: 08 Sep 2013 Last Revised: 19 May 2015
Jing Cynthia Wu and Fan Dora Xia
University of Notre Dame - Department of Economics and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 3,309 (4,038)
Citation 66

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monetary policy, zero lower bound, unemployment, shadow rate, dynamic term structure model

Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound

NBER Working Paper No. w20117
Number of pages: 56 Posted: 14 May 2014
Jing Cynthia Wu and Fan Dora Xia
University of Notre Dame - Department of Economics and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 55 (460,438)
Citation 205

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Downloads 1,298 ( 18,822)
Citation 8

A Shadow Rate New Keynesian Model

Chicago Booth Research Paper No. 16-18, PBCSF-NIFR Research Paper
Number of pages: 57 Posted: 28 Sep 2016 Last Revised: 29 Oct 2020
Jing Cynthia Wu and Ji Zhang
University of Notre Dame - Department of Economics and Tsinghua University - PBC School of Finance
Downloads 1,282 (18,843)
Citation 5

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shadow rate, New Keynesian model, unconventional monetary policy, zero lower bound, QE, lending facilities

A Shadow Rate New Keynesian Model

NBER Working Paper No. w22856
Number of pages: 53 Posted: 28 Nov 2016 Last Revised: 14 Jun 2021
Jing Cynthia Wu and Ji Zhang
University of Notre Dame - Department of Economics and Tsinghua University - PBC School of Finance
Downloads 16 (679,827)
Citation 3

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Time-Varying Lower Bound of Interest Rates in Europe

Chicago Booth Research Paper No. 17-06
Number of pages: 41 Posted: 05 Apr 2017
Jing Cynthia Wu and Fan Dora Xia
University of Notre Dame - Department of Economics and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 1,033 (26,430)
Citation 35

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effective lower bound, negative interest rates, shadow-rate term structure model, regime-switching model

4.
Downloads 958 ( 29,435)
Citation 28

Monetary Policy Uncertainty and Economic Fluctuations

Chicago Booth Research Paper No. 14-32
Number of pages: 61 Posted: 04 Oct 2014 Last Revised: 28 Nov 2016
Drew Creal and Jing Cynthia Wu
University of Chicago - Booth School of Business - Econometrics and Statistics and University of Notre Dame - Department of Economics
Downloads 940 (29,768)
Citation 8

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Uncertainty, monetary policy, term premium, macroeconomic fluctuations, affine term structure models, stochastic volatility, Bayesian estimation

Monetary Policy Uncertainty and Economic Fluctuations

NBER Working Paper No. w20594
Number of pages: 61 Posted: 22 Oct 2014 Last Revised: 10 Apr 2021
Drew Creal and Jing Cynthia Wu
University of Chicago - Booth School of Business - Econometrics and Statistics and University of Notre Dame - Department of Economics
Downloads 18 (664,216)
Citation 16

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Monetary Policy Uncertainty and Economic Fluctuations

International Economic Review, Vol. 58, Issue 4, pp. 1317-1354, 2017
Number of pages: 38 Posted: 05 Dec 2017
Drew Creal and Jing Cynthia Wu
University of Chicago - Booth School of Business - Econometrics and Statistics and University of Notre Dame - Department of Economics
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5.
Downloads 754 ( 41,064)
Citation 4

Reconstructing the Yield Curve

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 85 Posted: 28 Nov 2018 Last Revised: 30 Dec 2020
Yan Liu and Jing Cynthia Wu
Purdue University and University of Notre Dame - Department of Economics
Downloads 747 (41,012)
Citation 3

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yield curve, non-parametric, term structure, excess volatility, return forecasting

Reconstructing the Yield Curve

NBER Working Paper No. w27266
Number of pages: 59 Posted: 02 Jun 2020 Last Revised: 03 Jul 2021
Yan Liu and Jing Cynthia Wu
Purdue University and University of Notre Dame - Department of Economics
Downloads 7 (754,756)
Citation 1
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6.
Downloads 575 ( 58,431)
Citation 2

The Four Equation New Keynesian Model

Number of pages: 42 Posted: 10 Jul 2019
Eric R. Sims and Jing Cynthia Wu
University of Michigan at Ann Arbor and University of Notre Dame - Department of Economics
Downloads 283 (132,280)

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zero lower bound, unconventional monetary policy, quantitative easing, New Keynesian model

The Four Equation New Keynesian Model

PBCSF-NIFR Research Paper
Number of pages: 55 Posted: 07 Jul 2020
Eric R. Sims, Jing Cynthia Wu and Ji Zhang
University of Michigan at Ann Arbor, University of Notre Dame - Department of Economics and Tsinghua University - PBC School of Finance
Downloads 203 (183,701)
Citation 1

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Quantitative Easing, Unconventional Monetary Policy, Small-Scale New Keynesian Model, Phillips Curve, Zero Lower Bound

The Four Equation New Keynesian Model

Review of Economics and Statistics, Forthcoming
Number of pages: 45 Posted: 09 Jun 2021 Last Revised: 10 Jun 2021
Eric R. Sims, Jing Cynthia Wu and Ji Zhang
University of Michigan at Ann Arbor, University of Notre Dame - Department of Economics and Tsinghua University - PBC School of Finance
Downloads 72 (396,892)

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quantitative easing, unconventional monetary policy, small-scale New Keynesian model, zero lower bound

The Four Equation New Keynesian Model

NBER Working Paper No. w26067
Number of pages: 43 Posted: 16 Jul 2019 Last Revised: 24 Mar 2021
Eric R. Sims and Jing Cynthia Wu
University of Michigan at Ann Arbor and University of Notre Dame - Department of Economics
Downloads 17 (671,948)
Citation 1

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Evaluating Central Banks' Tool Kit: Past, Present, and Future

Number of pages: 62 Posted: 05 Mar 2019 Last Revised: 02 Apr 2020
Eric R. Sims and Jing Cynthia Wu
University of Michigan at Ann Arbor and University of Notre Dame - Department of Economics
Downloads 509 (67,339)
Citation 9

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zero lower bound, unconventional monetary policy, quantitative easing, negative interest rate policy, forward guidance,quantitative tightening, DSGE, Great Recession, effective lower bound

Evaluating Central Banks&Apos; Tool Kit: Past, Present, and Future

NBER Working Paper No. w26040
Number of pages: 59 Posted: 09 Jul 2019 Last Revised: 18 Jun 2021
Eric R. Sims and Jing Cynthia Wu
University of Michigan at Ann Arbor and University of Notre Dame - Department of Economics
Downloads 13 (704,234)
Citation 15

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Downloads 507 ( 68,410)
Citation 2

Bond Risk Premia in Consumption-Based Models

Chicago Booth Research Paper No. 16-10
Number of pages: 81 Posted: 13 Apr 2016 Last Revised: 07 Dec 2017
Drew Creal and Jing Cynthia Wu
University of Chicago - Booth School of Business - Econometrics and Statistics and University of Notre Dame - Department of Economics
Downloads 379 (95,855)

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bond risk premia, term structure of interest rates, stochastic rate of time preference, MCMC, particle filter, recursive preferences, stochastic volatility

Bond Risk Premia in Consumption-Based Models

Number of pages: 35 Posted: 22 Apr 2019 Last Revised: 11 May 2020
Drew Creal and Jing Cynthia Wu
University of Chicago - Booth School of Business - Econometrics and Statistics and University of Notre Dame - Department of Economics
Downloads 113 (297,697)
Citation 3

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Bond Risk Premia; Term Structure of Interest Rates; Stochastic Rate of Time Preference; MCMC; Particle Filter; Recursive Preferences; Stochastic Volatility

Bond Risk Premia in Consumption-Based Models

NBER Working Paper No. w22183
Number of pages: 59 Posted: 25 Apr 2016 Last Revised: 11 Feb 2021
Drew Creal and Jing Cynthia Wu
University of Chicago - Booth School of Business - Econometrics and Statistics and University of Notre Dame - Department of Economics
Downloads 15 (687,800)

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9.
Downloads 295 (127,229)
Citation 10

Negative Interest Rate Policy and the Yield Curve

Number of pages: 41 Posted: 04 Nov 2018 Last Revised: 25 Apr 2019
Jing Cynthia Wu and Fan Dora Xia
University of Notre Dame - Department of Economics and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 283 (132,280)
Citation 4

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negative interest rate policy, effective lower bound, term structure of interest rates, shadow rate term structure model, regime-switching model

Negative Interest Rate Policy and the Yield Curve

NBER Working Paper No. w25180
Number of pages: 41 Posted: 22 Oct 2018 Last Revised: 21 Apr 2021
Jing Cynthia Wu and Fan Dora Xia
University of Notre Dame - Department of Economics and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 12 (712,627)
Citation 4

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Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility

Chicago Booth Research Paper No. 13-72
Number of pages: 61 Posted: 15 Aug 2013 Last Revised: 09 Apr 2017
Drew Creal and Jing Cynthia Wu
University of Chicago - Booth School of Business - Econometrics and Statistics and University of Notre Dame - Department of Economics
Downloads 237 (158,803)
Citation 1

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affine term structure models, unspanned stochastic volatility, estimation

11.

Correcting Estimation Bias in Dynamic Term Structure Models

Journal of Business and Economic Statistics, Vol. 30, No.3, pp. 454-467, 2012
Number of pages: 32 Posted: 06 Sep 2013
Michael Bauer, Glenn D. Rudebusch and Jing Cynthia Wu
Universit├Ąt Hamburg, Federal Reserve Bank of San Francisco and University of Notre Dame - Department of Economics
Downloads 235 (160,093)
Citation 12

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small-sample bias correction, vector auto-regression, dynamic term structure models, term premium

12.
Downloads 233 (161,442)
Citation 1

Wall Street QE vs. Main Street Lending

Number of pages: 32 Posted: 19 May 2020 Last Revised: 13 Jul 2021
Eric R. Sims and Jing Cynthia Wu
University of Michigan at Ann Arbor and University of Notre Dame - Department of Economics
Downloads 195 (190,685)

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Wall Street vs. Main Street QE

NBER Working Paper No. w27295
Number of pages: 36 Posted: 10 Jun 2020 Last Revised: 27 Jun 2021
Eric R. Sims and Jing Cynthia Wu
University of Michigan at Ann Arbor and University of Notre Dame - Department of Economics
Downloads 38 (533,063)
Citation 1

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13.
Downloads 232 (162,081)
Citation 1

Inflation Announcements and Social Dynamics

Chicago Booth Research Paper No. 13-76
Number of pages: 54 Posted: 07 Sep 2013 Last Revised: 06 Apr 2017
Kinda Hachem and Jing Cynthia Wu
University of Chicago - Booth School of Business and University of Notre Dame - Department of Economics
Downloads 230 (162,997)

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central bank communication, expectations heterogeneity, social dynamics, credibility, inflation targeting, quantitative easing

Inflation Announcements and Social Dynamics

NBER Working Paper No. w20161
Number of pages: 54 Posted: 26 May 2014 Last Revised: 01 Feb 2021
Kinda Hachem and Jing Cynthia Wu
University of Chicago - Booth School of Business and University of Notre Dame - Department of Economics
Downloads 2 (799,987)

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Global Effective Lower Bound and Unconventional Monetary Policy

Chicago Booth Research Paper No. 18-05
Number of pages: 45 Posted: 29 May 2018 Last Revised: 10 Apr 2019
Jing Cynthia Wu and Ji Zhang
University of Notre Dame - Department of Economics and Tsinghua University - PBC School of Finance
Downloads 216 (173,230)

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effective lower bound, unconventional monetary policy, New Keynesian model, two-country open economy

Global Effective Lower Bound and Unconventional Monetary Policy

NBER Working Paper No. w24714
Number of pages: 46 Posted: 18 Jun 2018 Last Revised: 12 Jul 2021
Jing Cynthia Wu and Ji Zhang
University of Notre Dame - Department of Economics and Tsinghua University - PBC School of Finance
Downloads 6 (763,263)
Citation 4

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Effects of Index-Fund Investing on Commodity Futures Prices

Chicago Booth Research Paper No. 13-73
Number of pages: 43 Posted: 06 Sep 2013 Last Revised: 22 Jul 2014
James D. Hamilton and Jing Cynthia Wu
University of California at San Diego and University of Notre Dame - Department of Economics
Downloads 195 (190,685)
Citation 11

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Effects of Index-Fund Investing on Commodity Futures Prices

NBER Working Paper No. w19892
Number of pages: 43 Posted: 11 Feb 2014
James D. Hamilton and Jing Cynthia Wu
University of California at San Diego and University of Notre Dame - Department of Economics
Downloads 24 (619,037)
Citation 15

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Identification and Estimation of Gaussian Affine Term Structure Models

Journal of Econometrics, Vol. 168 , No. 2, 2012, Chicago Booth Research Paper No. 13-71
Number of pages: 69 Posted: 10 Aug 2011 Last Revised: 25 Sep 2013
James D. Hamilton and Jing Cynthia Wu
University of California at San Diego and University of Notre Dame - Department of Economics
Downloads 173 (212,030)
Citation 3

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affine term structure models, identification, estimation, minimum-chi-square

Identification and Estimation of Gaussian Affine Term Structure Models

NBER Working Paper No. w17772
Number of pages: 69 Posted: 21 Jan 2012 Last Revised: 25 Jul 2021
James D. Hamilton and Jing Cynthia Wu
University of California at San Diego and University of Notre Dame - Department of Economics
Downloads 22 (633,819)
Citation 20

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Downloads 182 (202,891)
Citation 69

Risk Premia in Crude Oil Futures Prices

Journal of International Money and Finance, Forthcoming, Chicago Booth Research Paper No. 13-70
Number of pages: 64 Posted: 06 Sep 2013 Last Revised: 25 Sep 2013
James D. Hamilton and Jing Cynthia Wu
University of California at San Diego and University of Notre Dame - Department of Economics
Downloads 168 (217,567)
Citation 5

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Risk Premia in Crude Oil Futures Prices

NBER Working Paper No. w19056
Number of pages: 64 Posted: 18 May 2013 Last Revised: 28 Jul 2021
James D. Hamilton and Jing Cynthia Wu
University of California at San Diego and University of Notre Dame - Department of Economics
Downloads 14 (695,944)
Citation 18

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The Negative Interest Rate Policy and the Yield Curve

BIS Working Paper No. 703
Number of pages: 42 Posted: 16 Feb 2018
Jing Cynthia Wu and Fan Dora Xia
University of Notre Dame - Department of Economics and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 130 (267,539)

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negative interest rate policy, effective lower bound, term structure of interest rates, shadow rate term structure model, regime-switching model

19.

Comment on 'Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset'

American Economic Review, Forthcoming, Chicago Booth Research Paper No. 13-74
Number of pages: 21 Posted: 06 Sep 2013 Last Revised: 27 Sep 2013
Michael Bauer, Glenn D. Rudebusch and Jing Cynthia Wu
Universit├Ąt Hamburg, Federal Reserve Bank of San Francisco and University of Notre Dame - Department of Economics
Downloads 115 (292,588)
Citation 8

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term premia, dynamic term structure model, small-sample bias

20.

Are QE and Conventional Monetary Policy Substitutable?

Number of pages: 35 Posted: 13 Jan 2020
Eric R. Sims and Jing Cynthia Wu
University of Michigan at Ann Arbor and University of Notre Dame - Department of Economics
Downloads 102 (317,786)
Citation 5

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The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment

Journal of Money, Credit, and Banking, Vol. 44, No. s1, 2012, Chicago Booth Research Paper No. 13-68
Number of pages: 76 Posted: 12 May 2011 Last Revised: 13 Oct 2016
James D. Hamilton and Jing Cynthia Wu
University of California at San Diego and University of Notre Dame - Department of Economics
Downloads 74 (390,745)
Citation 38

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The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment

NBER Working Paper No. w16956
Number of pages: 75 Posted: 18 Apr 2011 Last Revised: 02 May 2021
James D. Hamilton and Jing Cynthia Wu
University of California at San Diego and University of Notre Dame - Department of Economics
Downloads 27 (597,796)
Citation 21

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22.
Downloads 87 (351,529)
Citation 13

Testable Implications of Affine Term Structure Models

Journal of Econometrics, Forthcoming, Chicago Booth Research Paper No. 13-69
Number of pages: 34 Posted: 12 May 2011 Last Revised: 25 Sep 2013
James D. Hamilton and Jing Cynthia Wu
University of California at San Diego and University of Notre Dame - Department of Economics
Downloads 66 (416,375)
Citation 13

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Testable Implications of Affine Term Structure Models

NBER Working Paper No. w16931
Number of pages: 45 Posted: 11 Apr 2011 Last Revised: 07 Apr 2021
James D. Hamilton and Jing Cynthia Wu
University of California at San Diego and University of Notre Dame - Department of Economics
Downloads 21 (641,130)
Citation 1

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Federal Reserve Policy in a World of Low Interest Rates

Number of pages: 15 Posted: 17 Jan 2020
Eric R. Sims and Jing Cynthia Wu
University of Michigan at Ann Arbor and University of Notre Dame - Department of Economics
Downloads 43 (498,288)
Citation 1

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Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility

NBER Working Paper No. w20115
Number of pages: 61 Posted: 19 May 2014 Last Revised: 19 Jun 2021
Drew Creal and Jing Cynthia Wu
University of Chicago - Booth School of Business - Econometrics and Statistics and University of Notre Dame - Department of Economics
Downloads 11 (693,870)
Citation 7

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