Jing Cynthia Wu

University of Chicago - Booth School of Business

5807 South Woodlawn Avenue

Chicago, IL 60637

United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

14

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4,984

CITATIONS
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Top 5,127

in Total Papers Citations

101

Scholarly Papers (14)

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 Chicago - Booth School of Business and University of California, San Diego (UCSD)
Downloads 2,342 (3,923)
Citation 3

Abstract:

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 Chicago - Booth School of Business and University of California, San Diego (UCSD)
Downloads 10 (500,811)
Citation 3
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Abstract:

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 D. Creal and Jing Cynthia Wu
University of Chicago - Booth School of Business - Econometrics and Statistics and University of Chicago - Booth School of Business
Downloads 806 (22,213)
Citation 1

Abstract:

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
Drew D. Creal and Jing Cynthia Wu
University of Chicago - Booth School of Business - Econometrics and Statistics and University of Chicago - Booth School of Business
Downloads 8 (511,746)
Citation 1
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Abstract:

3.
Downloads 311 ( 76,306)

A Shadow Rate New Keynesian Model

Chicago Booth Research Paper No. 16-18
Number of pages: 55 Posted: 28 Sep 2016 Last Revised: 22 Dec 2016
Jing Cynthia Wu and Ji Zhang
University of Chicago - Booth School of Business and Tsinghua University - PBC School of Finance
Downloads 308 (76,661)

Abstract:

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: 55 Posted: 28 Nov 2016
Jing Cynthia Wu and Ji Zhang
University of Chicago - Booth School of Business and Tsinghua University - PBC School of Finance
Downloads 3 (537,128)
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Abstract:

Bond Risk Premia in Consumption-Based Models

Chicago Booth Research Paper No. 16-10
Number of pages: 59 Posted: 13 Apr 2016
Drew D. Creal and Jing Cynthia Wu
University of Chicago - Booth School of Business - Econometrics and Statistics and University of Chicago - Booth School of Business
Downloads 213 (113,650)

Abstract:

bond risk premia, habit formation, term structure of interest rates, recursive preferences, stochastic volatility, MCMC, particle filter

Bond Risk Premia in Consumption-Based Models

NBER Working Paper No. w22183
Number of pages: 59 Posted: 25 Apr 2016
Drew D. Creal and Jing Cynthia Wu
University of Chicago - Booth School of Business - Econometrics and Statistics and University of Chicago - Booth School of Business
Downloads 8 (511,746)
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Abstract:

5.

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: 03 Oct 2014
Drew D. Creal and Jing Cynthia Wu
University of Chicago - Booth School of Business - Econometrics and Statistics and University of Chicago - Booth School of Business
Downloads 217 (110,437)
Citation 2

Abstract:

affine term structure models, unspanned stochastic volatility, estimation

6.

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 D. Bauer, Glenn D. Rudebusch and Jing Cynthia Wu
Federal Reserve Bank of San Francisco, Federal Reserve Bank of San Francisco and University of Chicago - Booth School of Business
Downloads 201 (120,659)
Citation 14

Abstract:

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

7.
Downloads 186 (129,655)
Citation 1

Inflation Announcements and Social Dynamics

Chicago Booth Research Paper No. 13-76
Number of pages: 53 Posted: 07 Sep 2013 Last Revised: 14 Sep 2016
Kinda Hachem and Jing Cynthia Wu
University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads 186 (129,544)
Citation 1

Abstract:

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: 53 Posted: 26 May 2014
Kinda Hachem and Jing Cynthia Wu
University of Chicago - Booth School of Business and University of Chicago - Booth School of Business
Downloads 0
Citation 1
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Abstract:

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 Chicago - Booth School of Business
Downloads 170 (140,746)
Citation 7

Abstract:

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 Chicago - Booth School of Business
Downloads 13 (483,763)
Citation 7

Abstract:

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 Chicago - Booth School of Business
Downloads 145 (161,757)
Citation 16

Abstract:

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
James D. Hamilton and Jing Cynthia Wu
University of California at San Diego and University of Chicago - Booth School of Business
Downloads 11 (495,165)
Citation 16

Abstract:

10.
Downloads 142 (164,217)
Citation 9

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 Chicago - Booth School of Business
Downloads 137 (169,472)
Citation 9

Abstract:

Risk Premia in Crude Oil Futures Prices

NBER Working Paper No. w19056
Number of pages: 64 Posted: 18 May 2013
James D. Hamilton and Jing Cynthia Wu
University of California at San Diego and University of Chicago - Booth School of Business
Downloads 5 (527,119)
Citation 9

Abstract:

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 Chicago - Booth School of Business
Downloads 54 (308,873)
Citation 39

Abstract:

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
James D. Hamilton and Jing Cynthia Wu
University of California at San Diego and University of Chicago - Booth School of Business
Downloads 19 (449,483)
Citation 39

Abstract:

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 Chicago - Booth School of Business
Downloads 43 (342,232)
Citation 9

Abstract:

Testable Implications of Affine Term Structure Models

NBER Working Paper No. w16931
Number of pages: 45 Posted: 11 Apr 2011
James D. Hamilton and Jing Cynthia Wu
University of California at San Diego and University of Chicago - Booth School of Business
Downloads 13 (483,763)
Citation 9

Abstract:

13.

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 D. Bauer, Glenn D. Rudebusch and Jing Cynthia Wu
Federal Reserve Bank of San Francisco, Federal Reserve Bank of San Francisco and University of Chicago - Booth School of Business
Downloads 54 (275,343)

Abstract:

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

14.

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
Drew D. Creal and Jing Cynthia Wu
University of Chicago - Booth School of Business - Econometrics and Statistics and University of Chicago - Booth School of Business
Downloads 3 (512,124)
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Abstract: