Phone: +41 076 350 8707
Curriculum Vitae

Current position
  • Economist, Bank for International Settlements, 2016 - now
Previous positions
  • US rates strategist, Bank of America Merrill Lynch, 2014 - 2016
  • Ph.D., Economics, University of California, San Diego, 2014
  • M.S., Physics, University of California, San Diego, 2009
  • Ph.D. student, Physiology and Biophysics, Weill Cornell Medical College, New York, 2006-2007
  • B.S., Applied Physics (First Class Honors), Hong Kong Baptist University, 2006


Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower BoundJournal of Money, Credit, and Banking, 2016, 48(2-3), 253-291 (with Jing Cynthia Wu)

Abstract: 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 the economy since July 2009 succeeded in making the unemployment rate in December 2013 1% lower, which is 0.13% more compared to the historical behavior of the Fed.

Code and data

Download Matlab code

Download data (for shadow rates of US, UK, and ECB)

Download data for US shadow rate from Federal Reserve Bank of Atlanta

Working Paper

Time-Varying Lower Bound of Interest Rates in Europe (with Jing Cynthia Wu)

Abstract: We study the effectiveness of negative interest rate policy on the yield curve with a new shadow-rate term structure model. We price bonds with forward-looking agents in a model with a discrete policy rate and a non-constant spread between it and short term government bond yields. Our model matches the yield data, and we find increasing and decreasing the lower bound have asymmetric effects on the yield curve. A 10 basis-point drop in the lower bound lowers the 10-year yield by 6.5 to 8.5 basis points, and a 10 basis-point initial rise increases it by 9 to 14 basis points.

Abstract: I propose a parsimonious Gaussian Affine Term Structure Model (GATSM) to reconcile empirical findings that while the level, slope and curvature (or the first three principal components of yields) can quite accurately describe the cross-section of yields, different linear combinations of interest rates and other macro variables are useful to predict excess returns. I introduce a forecasting factor, which compactly summarizes rich information in expected excess returns, to a conventional three-factor (the level, slope and curvature) GATSM.  This fourth factor is constructed by reduced rank forecasting regression with a large predictor set, and it can explain one-year excess returns of two- to five-year maturity bonds from 1964 to 2007 with R-squared up to 0.71. Considering the fact that the forecasting factor and the first three principal components span the cross-section of expected excess returns and that of yields, respectively, I restrict parameters of the four-factor GATSM. In contrast with the conventional three-factor GATSM, the restricted four-factor GATSM generates plausible countercyclical term premia.


Teaching assistant experience
ECON 3: Principle of Macroeconomics
ECON 100A: Microeconomics A
ECON 110A: Macroeconomics A
ECON 120B: Econometrics B
ECON 173A: Financial Investments
ECON 173AL: Applied Finance Laboratory
ECON 174: Financial Risk Management
ECON 178: Economic & Business Forecasting
MGT 232: Portfolio Theory in Practice (MBA class)
Teaching Assistant Excellence Award, Department of Economics, UCSD, 2011