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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.

Jing Cynthia Wu and Fan Dora Xia "Negative Interest Rate Policy and Yield Curve", working paper, 2017.

Jing Cynthia Wu and Fan Dora Xia "Time Varying Lower Bound of Interest Rates in Europe", working paper, 2017.

Jing Cynthia Wu and Ji Zhang "A Shadow Rate New Keynesian Model", NBER Working Paper No. 22856, 2017.

Replicating code for Wu and Xia (JMCB 2016) 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 of Wu and Xia (JMCB 2016), extended to the end of the ZLB period.

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 201802) 

First column: date in yyyymm from September 2004 to now. 
Second column: shadow rate computed using the method of Wu and Xia (2017).


United Kingdom shadow rate

Download data here in Matlab format, and here in Excel format (updated to 201802) 

First column: date in yyyymm from January 1990 to now. 
Second column: shadow rate computed using the method of Wu and Xia (JMCB 2016), 
Wu and Xia (2017) and Wu and Xia (2017).


A Cartoon summary for


Jing Cynthia Wu and Ji Zhang "A Shadow Rate New Keynesian Model"NBER Working Paper No. 22856, 2017.