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

  • University of Notre Dame - Department of Economics

  • National Bureau of Economic Research (NBER)

SCHOLARLY PAPERS

28

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1,398

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969

Scholarly Papers (28)

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1.

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

Downloads 3,464 ( 5,390)
Citation 491

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 3,387 (5,488)
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 Last Revised: 21 Dec 2022
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 77 (498,491)
Citation 320

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2.

A Shadow Rate New Keynesian Model

Downloads 1,470 (20,949)
Citation 17

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 1,442 (21,172)
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: 15 Dec 2022
Jing Cynthia Wu and Ji Zhang
University of Notre Dame - Department of Economics and Tsinghua University - PBC School of Finance
Downloads 28 (772,160)
Citation 3

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3.

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 1,421 (22,071)
Citation 46

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

4.

The Four Equation New Keynesian Model

Downloads 1,205 (28,139)
Citation 5

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 601 (71,854)

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

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 306 (158,433)

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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 261 (186,917)
Citation 2

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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

NBER Working Paper No. w26067
Number of pages: 43 Posted: 16 Jul 2019 Last Revised: 24 Mar 2023
Eric R. Sims and Jing Cynthia Wu
University of Michigan at Ann Arbor and University of Notre Dame - Department of Economics
Downloads 37 (704,995)
Citation 4

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5.

Reconstructing the Yield Curve

Downloads 1,046 (34,492)
Citation 15

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 996 (36,407)
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 2022
Yan Liu and Jing Cynthia Wu
Purdue University and University of Notre Dame - Department of Economics
Downloads 50 (624,082)
Citation 1

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6.

Monetary Policy Uncertainty and Economic Fluctuations

Downloads 995 (37,007)
Citation 36

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 963 (38,152)
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 2022
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 32 (741,078)
Citation 16

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7.

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

Downloads 557 (79,975)
Citation 46

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 536 (82,934)
Citation 13

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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' Tool Kit: Past, Present, and Future

NBER Working Paper No. w26040
Number of pages: 59 Posted: 09 Jul 2019 Last Revised: 25 Feb 2023
Eric R. Sims and Jing Cynthia Wu
University of Michigan at Ann Arbor and University of Notre Dame - Department of Economics
Downloads 21 (831,344)
Citation 15

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8.

Bond Risk Premia in Consumption-Based Models

Downloads 547 (81,805)
Citation 7

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 389 (121,721)

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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 131 (346,421)
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 2023
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 27 (780,261)

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9.

Wall Street QE vs. Main Street Lending

Downloads 532 (84,685)
Citation 2

Wall Street QE vs. Main Street Lending

Number of pages: 32 Posted: 19 May 2020 Last Revised: 02 Feb 2022
Eric R. Sims and Jing Cynthia Wu
University of Michigan at Ann Arbor and University of Notre Dame - Department of Economics
Downloads 442 (104,869)

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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: 30 Jan 2022
Eric R. Sims and Jing Cynthia Wu
University of Michigan at Ann Arbor and University of Notre Dame - Department of Economics
Downloads 62 (562,165)
Citation 1

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Wall Street QE vs. Main Street Lending

European Economic Review, Forthcoming
Number of pages: 48 Posted: 03 May 2023
Dario Cardamone, Eric R. Sims and Jing Cynthia Wu
University of Notre Dame - Department of Economics, University of Michigan at Ann Arbor and University of Notre Dame - Department of Economics
Downloads 28 (772,160)

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Main Street Lending Program, Paycheck Protection Program, COVID-19, Great Recession, quantitative easing, DSGE

10.

(Un)Conventional Monetary and Fiscal Policy

Downloads 427 (110,266)

(Un)Conventional Monetary and Fiscal Policy

Number of pages: 64 Posted: 25 Jul 2022 Last Revised: 23 Nov 2022
Jing Cynthia Wu and Yinxi Xie
University of Notre Dame - Department of Economics and Bank of Canada
Downloads 419 (111,659)

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monetary policy, quantitative easing, fiscal policy, tax finance, debt finance

(Un)Conventional Monetary and Fiscal Policy

NBER Working Paper No. w30706
Number of pages: 65 Posted: 05 Dec 2022 Last Revised: 27 May 2023
Jing Cynthia Wu and Yinxi Xie
University of Notre Dame - Department of Economics and Bank of Canada
Downloads 8 (955,082)
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11.

Unconventional Monetary Policy According to HANK

Downloads 404 (117,583)
Citation 1

Unconventional Monetary Policy According to HANK

PBCSF-NIFR Research Paper Forthcoming
Number of pages: 50 Posted: 10 May 2022 Last Revised: 14 Apr 2023
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 401 (117,496)

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Unconventional Monetary Policy According to Hank

NBER Working Paper No. w30329
Number of pages: 51 Posted: 08 Aug 2022 Last Revised: 15 May 2023
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 3 (999,167)
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12.

Negative Interest Rate Policy and the Yield Curve

Downloads 321 (151,578)
Citation 15

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 298 (162,911)
Citation 2

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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 2023
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 23 (814,004)
Citation 4

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13.

Average Inflation Targeting: Time Inconsistency and Ambiguous Communication

Downloads 317 (153,589)

Average Inflation Targeting: Time Inconsistency and Ambiguous Communication

Number of pages: 57 Posted: 11 Jan 2022 Last Revised: 03 May 2023
Chengcheng Jia and Jing Cynthia Wu
Federal Reserve Banks - Federal Reserve Bank of Cleveland and University of Notre Dame - Department of Economics
Downloads 255 (191,335)

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inflation expectations, average inflation targeting, time inconsistency, ambiguous communication

Average Inflation Targeting: Time Inconsistency and Intentional Ambiguity

FRB of Cleveland Working Paper No. 21-19R
Number of pages: 52 Posted: 10 Sep 2021 Last Revised: 02 Feb 2022
Chengcheng Jia and Jing Cynthia Wu
Federal Reserve Banks - Federal Reserve Bank of Cleveland and University of Notre Dame - Department of Economics
Downloads 62 (562,165)

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Bayesian VARs, stochastic volatility, pandemics

14.

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
Universität Hamburg, Federal Reserve Bank of San Francisco and University of Notre Dame - Department of Economics
Downloads 261 (187,768)
Citation 12

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

15.

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 258 (189,961)

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affine term structure models, unspanned stochastic volatility, estimation

16.

Global Effective Lower Bound and Unconventional Monetary Policy

Downloads 255 (192,143)
Citation 5

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 240 (203,158)

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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: 11 Jan 2023
Jing Cynthia Wu and Ji Zhang
University of Notre Dame - Department of Economics and Tsinghua University - PBC School of Finance
Downloads 15 (887,274)
Citation 5

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17.

Inflation Announcements and Social Dynamics

Downloads 252 (194,461)
Citation 3

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 242 (201,499)

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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: 02 Feb 2023
Kinda Hachem and Jing Cynthia Wu
University of Chicago - Booth School of Business and University of Notre Dame - Department of Economics
Downloads 10 (935,753)
Citation 2

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18.

Effects of Index-Fund Investing on Commodity Futures Prices

Downloads 251 (195,204)
Citation 56

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 213 (227,965)
Citation 12

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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 Last Revised: 10 May 2023
James D. Hamilton and Jing Cynthia Wu
University of California at San Diego and University of Notre Dame - Department of Economics
Downloads 38 (698,136)
Citation 15

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19.

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 238 (205,578)
Citation 6

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20.

Identification and Estimation of Gaussian Affine Term Structure Models

Downloads 224 (217,975)
Citation 70

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 187 (256,931)
Citation 4

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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: 23 Jan 2022
James D. Hamilton and Jing Cynthia Wu
University of California at San Diego and University of Notre Dame - Department of Economics
Downloads 37 (704,995)
Citation 27

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21.

Risk Premia in Crude Oil Futures Prices

Downloads 213 (228,538)
Citation 77

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 182 (263,296)
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: 26 Jan 2023
James D. Hamilton and Jing Cynthia Wu
University of California at San Diego and University of Notre Dame - Department of Economics
Downloads 31 (748,701)
Citation 18

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22.

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
Universität Hamburg, Federal Reserve Bank of San Francisco and University of Notre Dame - Department of Economics
Downloads 156 (300,390)
Citation 8

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

23.

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 151 (308,599)

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

24.

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

Downloads 130 (347,206)
Citation 211

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 89 (455,997)
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: 01 May 2023
James D. Hamilton and Jing Cynthia Wu
University of California at San Diego and University of Notre Dame - Department of Economics
Downloads 41 (678,096)
Citation 59

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25.

Testable Implications of Affine Term Structure Models

Downloads 111 (389,711)
Citation 14

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 77 (498,491)
Citation 10

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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 2023
James D. Hamilton and Jing Cynthia Wu
University of California at San Diego and University of Notre Dame - Department of Economics
Downloads 34 (726,342)
Citation 1

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26.

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 77 (492,775)
Citation 1

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27.

The Role of International Financial Integration in Monetary Policy Transmission

Number of pages: 55 Posted: 06 Apr 2023
Jing Cynthia Wu, Yinxi Xie and Ji Zhang
University of Notre Dame - Department of Economics, Bank of Canada and Tsinghua University - PBC School of Finance
Downloads 37 (693,136)

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monetary policy transmission, financial integration, long-term bonds, trade openness

28.

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 2022
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 28 (748,948)
Citation 16

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