Wu-Xia Shadow Rate
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).
Jing Cynthia Wu and Fan Dora Xia "Time Varying Lower Bound of Interest Rates in Europe", Chicago Booth Working Paper (2017).
Shadow Rate for the US
The shadow rate can be downloaded in Matlab format and Excel format. (First column: January 1990 to Apirl 2022. Second column: shadow rate computed using the method from Wu and Xia (JMCB, 2016).
Shadow Rate for the EA
The shadow rate for the EA can be downloaded in Matlab format and Excel format. (First column: January 1990 to April 2021. Second column: shadow rate computed using the method from Wu and Xia (2017).
Shadow Rate for the UK
The shadow rate for the UK can be downloaded in Matlab format and Excel format. (First column: January 1990 to April 2021. Second column: shadow rate computed using the method from Wu and Xia (JMCB, 2016) and and Wu and Xia (2017).
