Jing Cynthia Wu
Biographic Data
| ID | 8880126 |
|---|---|
| NAME | Jing Cynthia Wu |
| GIVEN NAMES | Jing Cynthia |
| FAMILY NAME | Wu |
| SIGNATURE | WU J C |
| AFFILIATIONS | Notre Dame and NBER |
| VERIFIED | No |
| TOTAL WORKS | 4 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 4 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2012 |
| LATEST PUBLICATION YEAR | 2023 |
| H-INDEX | 0 |
The Four-Equation New Keynesian Model
This paper develops a New Keynesian model featuring financial intermediation, short- and long-term bonds, credit shocks, and scope for unconventional monetary policy. The log-linearized model reduces to four equations: Phillips and IS curves, as well as policy rules for the short-term interest rate and the central bank's long-bond portfolio (QE). Credit shocks and QE appear in both the IS and Phillips curves. In equilibrium, optimal monetary poli…
Negative interest rate policy and the yield curve
We evaluate the implications of the ECB's negative interest rate policy (NIRP) on the yield curve. To capture various shapes of the short end of the yield curve induced by the NIRP, we introduce two policy indicators, which summarize the immediate and longer horizon future monetary policy stances. We find that the four NIRP events lowered the short‐term interest rate by the same amount. The impact is dampened at longer maturities for the first tw…
Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound
This paper employs an approximation that makes a nonlinear term structure model extremely tractable for analysis of an economy operating near the zero lower bound for interest rates. We show that such a model offers an excellent description of the data compared to the benchmark model and can be used to summarize the macroeconomic effects of unconventional monetary policy. Our estimates imply that the efforts by the Federal Reserve to stimulate th…
Correcting Estimation Bias in Dynamic Term Structure Models
The affine dynamic term structure model (DTSM) is the canonical empirical finance representation of the yield curve. However, the possibility that DTSM estimates may be distorted by small-sample bias has been largely ignored. We show that conventional estimates of DTSMcoefficients are indeed severely biased, andthis bias results in misleading estimates of expected future short-term interest rates and of long-maturity term premia. We provide a var…
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Correcting Estimation Bias in Dynamic Term Structure Models
The affine dynamic term structure model (DTSM) is the canonical empirical finance representation of the yield curve. However, the possibility that DTSM estimates may be distorted by small-sample bias has been largely ignored. We show that conventional estimates of DTSMcoefficients are indeed severely biased, andthis bias results in misleading estimates of expected future short-term interest rates and of long-maturity term premia. We provide a var…
Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound
This paper employs an approximation that makes a nonlinear term structure model extremely tractable for analysis of an economy operating near the zero lower bound for interest rates. We show that such a model offers an excellent description of the data compared to the benchmark model and can be used to summarize the macroeconomic effects of unconventional monetary policy. Our estimates imply that the efforts by the Federal Reserve to stimulate th…
Negative interest rate policy and the yield curve
We evaluate the implications of the ECB's negative interest rate policy (NIRP) on the yield curve. To capture various shapes of the short end of the yield curve induced by the NIRP, we introduce two policy indicators, which summarize the immediate and longer horizon future monetary policy stances. We find that the four NIRP events lowered the short‐term interest rate by the same amount. The impact is dampened at longer maturities for the first tw…
The Four-Equation New Keynesian Model
This paper develops a New Keynesian model featuring financial intermediation, short- and long-term bonds, credit shocks, and scope for unconventional monetary policy. The log-linearized model reduces to four equations: Phillips and IS curves, as well as policy rules for the short-term interest rate and the central bank's long-bond portfolio (QE). Credit shocks and QE appear in both the IS and Phillips curves. In equilibrium, optimal monetary poli…
Econometrics (4 works) · Economics (4 works) · Interest rate (4 works) · Monetary Policy and Economic Impact (4 works) · Monetary economics (3 works) · Monetary policy (3 works) · Economic theories and models (2 works) · Economic Theory and Policy (2 works) · Finance (2 works) · Macroeconomics (2 works)