Prof.Jing Cynthia Wu - 吴菁 cynthia.wu@chicagobooth.edu



Working Papers

"A Shadow Rate DSGE Model" with Ji Zhang, coming soon.
"Bond Risk Premia in Consumption-based Models" with Drew D. Creal, April 2016.
Abstract
"Inflation Announcements and Social Dynamics" with Kinda Hachem, August 2014.
Abstract | In the news

Publications

10. "Monetary Policy Uncertainty and Economic Fluctuations" with Drew D. CrealInternational Economic Review, forthcoming.
Abstract | In the news | Video
9. "Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound" with Fan Dora Xia, Journal of Money, Credit, and Banking, 2016, 48(2-3), 253-291. (lead article)
Abstract | Shadow rates | Code | Online Table and Figures | In the news
8. "Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility" with Drew D. Creal, Journal of Econometrics, 2015, 185(1), 60-81.
Abstract | Data and code | Online Appendix | In the news
7. "Effects of Index-Fund Investing on Commodity Futures Prices" with James D. Hamilton, International Economic Review, 2015, 56(1), 187-205.
Abstract | In the news
6. "Risk Premia in Crude Oil Futures Prices" with James D. Hamilton, Journal of International Money and Finance, 2014, 42, 9-37.
Abstract | Data and code | In the news
5. "Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset: Comment" with Michael D. Bauer and Glenn D. Rudebusch, American Economic Review, 2014, 104(1), 323-337.
Abstract | Data and code | In the news
4. "Testable Implications of Affine Term Structure Models" with James D. Hamilton, Journal of Econometrics, 2014, 178, 231-242.
Abstract
3. "Correcting Estimation Bias in Dynamic Term Structure Models" with Michael D. Bauer and Glenn D. Rudebusch, Journal of Business & Economic Statistics, 2012, 30 (3), 454-467.
Abstract | Data and Code | Online Appendix | In the news
2. "Identification and Estimation of Gaussian Affine Term Structure Models" with James D. HamiltonJournal of Econometrics, 2012, 168 (2), 315-331.
Abstract | Data and Code | In the news
1. "The Effectiveness of Alternative Monetary Policy Tools in a Zero Lower Bound Environment" with James D. Hamilton, Journal of Money, Credit, and Banking, 2012, 44 (s1), 3-46. (lead article)
Abstract | Data | In the news

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