Prof. Jing Cynthia Wu



Working Papers

11. "Term Structure of Interest Rate Volatility and Macroeconomic Uncertainty" with Drew D. Creal, January 2014.
Abstract
10. "Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound" with Fan Dora Xia, July 2014.
Abstract | Download data from Atlanta Fed | Download data locally | In the news
9. "Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility" with Drew D. Creal, May 2014.
Abstract | In the news
8. "Inflation Announcements and Social Dynamics" with Kinda Hachem, May 2014.
Abstract | In the news

Publications

7. "Effects of Index-Fund Investing on Commodity Futures Prices" with James D. Hamilton, forthcoming in International Economic Review.
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 | 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.
Abstract | Data | In the news

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