Prof. Jing Cynthia Wu



Working Papers

11. "Term Structure of Interest Rate Volatility and Macroeconomic Uncertainty" with Drew D. Creal, January 2014.
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10. "Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound" with Fan Dora Xia, February 2014.
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9. "Estimation of Non-Gaussian Affine Term Structure Models" with Drew D. Creal, September 2013.
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8. "Inflation Announcements and Social Dynamics" with Kinda Hachem, August 2013.
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Publications

7. "Effects of Index-Fund Investing on Commodity Futures Prices" with James D. Hamilton, forthcoming in International Economic Review.
Abstract | Working Paper Version | 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 | Working Paper Version | 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 | Working Paper Version | In the news
4. "Testable Implications of Affine Term Structure Models" with James D. Hamilton, Journal of Econometrics, 2014, 178, 231-242.
Abstract | Working Paper Version
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 | Working Paper Version | 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 | Working Paper Version | 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 | Working Paper Version | Data | In the news

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