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

Data archive for Wu-Xia shadow rates

Please cite as follows:

Jing Cynthia Wu and Fan Dora Xia "Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound", Journal of Money, Credit, and Banking, 2016, 48(2-3), 253-291.

Replicating code for the JMCB paper can be downloaded here

United States shadow fed funds rate

Download data here in Matlab format, and here in Excel format

First column: date in yyyymm from January 1960 to November 2015.
Second column: policy rate from Wu and Xia (JMCB 2016).

Note: On December 16, 2015, the FOMC raised the target range for the federal funds rate to 25 to 50 basis points, hence the liftoff from the zero lower bound. We recommend researchers to update the policy rate with the subsequent effective federal funds rate.

European Central Bank shadow rate

Download data here in Matlab format, and here in Excel format (updated to 201607)

First column: date in yyyymm from September 2004 to now.
Second column: shadow rate computed using the method of Wu and Xia (JMCB 2016) .

United Kindom shadow rate

Download data here in Matlab format, and here in Excel format (updated to 201607)

First column: date in yyyymm from January 1990 to now.
Second column: shadow rate computed using the method of Wu and Xia (JMCB 2016).


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