Min Wei

Curriculum Vitae (Adobe PDF format)              my FRB website and Google Scholar site

Working Papers

• UPDATED!  "Macroeconomic Effects of Large-Scale Asset Purchases: New Evidence" (with Kyungmin Kim and Thomas Laubach), November 2025. 

Abstract: We quantify the macroeconomic effects of the Federal Reserve’s balance sheet policy using a structural VAR combining survey-based measures of policy stance with high-frequency identification over 2009-2019. A $500 billion surprise increase in expected year-ahead Fed asset holdings lowers the 10-year Treasury yield by about 20 basis points, raises output and the price level by 0.7% and 0.3%, respectively, and reduces the unemployment rate by 0.2 percentage points. Results are robust to central bank information effects and variations in the maturity composition of Fed securities holdings, with little evidence of asymmetry between quantitative easing and quantitative tightening shocks.

• "Why Does the Yield Curve Predict GDP Growth? The Role of Banks" (with Camelia Minoiu and Andres Schneider), September 2025. 

Abstract: We show that the slope of the yield curve affects bank lending and economic activity through an ``expected bank profitability channel.'' Using detailed banking data and term premium shocks identified via instrumental variables or event studies, we show that a steeper yield curve---when driven by higher term premiums rather than higher expected short rates---increases bank profits and loan supply. Intuitively, a higher term premium raises the expected returns from maturity transformation---a core banking activity---thereby incentivizing bank lending. This effect is more pronounced for banks with higher leverage. We interpret these findings using a simple bank portfolio model.

• "Inflation Disagreement Weakens the Power of Monetary Policy" (with Ding Dong, Zheng Liu, and Pengfei Wang), June 2025.

Abstract: Household inflation disagreement weakens the impact of forward guidance and monetary policy shocks, especially when inflation forecasts are positively skewed. This attenuation effect is not driven by endogenous responses of inflation disagreement to contemporaneous shocks. A model with heterogeneous beliefs about the central bank’s inflation target explains these observations. Agents expecting higher future inflation perceive lower real interest rates and borrow more, constrained by borrowing limits. Increased inflation disagreement results in more borrowing-constrained agents, leading to slower aggregate consumption responses to interest rate changes. This mechanism also provides a microeconomic foundation for Euler equation discounting, helping to resolve the forward guidance puzzle.

Publications

• “Flights to Safety” (with Lieven Baele, Geert Bekaert, and Koen Inghelbrecht), 2020, Review of Financial Studies, 33(20), 689-746. 

  • • • Daily FTS Dummies for 23 countries, updated October 16, 2023.

• "Expectations about the Federal Reserve's Balance Sheet and the Term Structure of Interest Rates" (with Jane Ihrig, Elizabeth Klee, Canlin Li, and Brett Schulte), 2018, International Journal of Central Banking, 14(2), 341-390.

• "Tips from TIPS: the informational content of Treasury Inflation-Protected Security prices" (with Stefania D'Amico and Don H. Kim), 2018, Journal of Financial and Quantitative Analysis, 53(1), 395-436.  Here's a supplementary appendix.

  • • • Most recent estimates, updated monthly.

• "Term Structure Modeling with Supply Factors and the Federal Reserve's Large Scale Asset Purchase Programs" (with Canlin Li), 2013, International Journal of Central Banking, 9(1), 3-39.

• "Reverse Regressions and Long-Horizon Forecasting" (with Jonathan Wright), 2013, Journal of Applied Econometrics, 28(3), 353-371.

• "Evolving Macroeconomic Perceptions and the Term Structure of Interest Rates" (with Athanasios Orphanides), Journal of Economic Dynamics and Control, 2012, 36(2), 239-254. Here is a web appendix.

• "The Term Structure of Real Rates and Expected Inflation" (with Geert Bekaert and Andrew Ang), 2008, Journal of Finance, 63(2), 797-849.

• "Uncovered Interest Rate Parity and the Term Structure" (with Geert Bekaert and Yuhang Xing), 2007, Journal of International Money and Finance, 26(6), 1038-1069.

• "Do Macro Variables, Asset Markets or Surveys Forecast Inflation Better?" (with Andrew Ang and Geert Bekaert), 2007, Journal of Monetary Economics, 54(4), 1163-1212.

• "What does the Yield Curve Tell us about GDP Growth?" (with Andrew Ang and Monika Piazzesi), 2006, Journal of Econometrics, 131(1-2), 359-403.

Policy Publications

• "What Drove Recent Trends in Corporate Bonds and Loans Usage?" (with Jacob Bochner and Jie Yang), October 2020, FEDS Notes.

• “Measuring the Natural Rate of Interest: The Role of Inflation Expectations” (with David Lopez-Salido, Gerardo Sanz-Maldonado, and Carly Schippits), June 2020, FEDS Notes.

• “Tips from TIPS: Update and Discussions” (with Don Kim and Cait Walsh), May 2019, FEDS Notes.

• “Projected Evolution of the SOMA Portfolio and the 10-year Treasury Term Premium Effect” (with Brian Bonis and Jane Ihrig), September 2017, FEDS Notes.

• "The Effect of the Federal Reserve’s Securities Holdings on Longer-term Interest Rates" (with Brian Bonis and Jane Ihrig), April 2017, FEDS Notes. Here is the most recent update.

• "Macroeconomic Sources of Recent Interest Rate Fluctuations" (with Stefania D'Amico and Thomas King), June 2016, FEDS Notes.

Conference Proceedings 

• "Comments on 'Determinants of Asia-Pacific government bond yields'", BIS Papers chapters, in: Bank for International Settlements (ed.), Asia-Pacific Fixed Income Markets: Evolving Structure, Participation and Pricing, 2019, 102, 41-44. 

Research Data

• Daily estimates of nominal and real term premiums and inflation risk premiums, updated monthly, based on:

  • • • "Tips from TIPS: the informational content of Treasury Inflation-Protected Security prices" (with Stefania D'Amico and Don H. Kim), 2018, Journal of Financial and Quantitative Analysis, 53(1), 395-436.

      • “Tips from TIPS: Update and Discussions” (with Don Kim and Cait Walsh), May 2019, FEDS Notes.

• Daily Flight-to-Safety (FTS) Dummies for 23 countries, updated October 16, 2023, based on:

  • • • “Flights to Safety” (with Lieven Baele, Geert Bekaert, and Koen Inghelbrecht), 2020, Review of Financial Studies, 33(20), 689-746. 

Conference Discussions

• "Monetary Policy along the Yield Curve: Why Can Central Banks Affect Long-Term Real Rates?” by Beaudry, Cavallino and Willems, BoC-FRBCH-FRBSF 9th Conference on Fixed Income Markets, May 2025.

• “The Stock-Bond Correlation: A Tale of Two Days in the U.S. Treasury Bond Market,” by Hu, Jin and Pan, AFA Annual Meeting, Jan 2025.

• "Inflation-Consumption Correlation and the Yield Curve: Evidence from an Equilibrium Model," by Bletzinger, Lemke, and Renne, Conference on “Fixed Income Markets and Inflation, May 2024.

• "What Drives Long-Term Interest Rates? Evidence from the Entire Swiss Franc History 1852-2020," by Hauzenberger, Kaufmann, Stuart and Tille, SNB Research Conference, Sep 2023.

• "Back to the 1980s or not? The Drivers of Inflation and Real Risks in Treasury Bonds," by Pflueger, Atlanta Fed Financial Markets Conference, May 2023.

• "Unexpected Supply Effects of Quantitative Easing and Tightening," by D'Amico and Seida, Sveriges Riksbank Conference on "Evaluating the monetary-policy toolkit: lessons for the future," Sep 2022.

• "The Rising Cost of Climate Change: Evidence from the Bond Market," by Bauer and Rudebusch, 2021 Federal Reserve System Energy Meeting, Nov 2021.

• "Tracing the impact of the ECB's asset purchase programme on the yield curve," by Eser, Lemke, Nyholm, Radde, and Vladu, 9th Bundesbank Term Structure Workshop, Nov 2019.

• "Determinants of sovereign local currency bond yields: The case of Asia-Pacific," by Chernov, Creal, and Hordahl, BOK-BIS conference on "Asia-Pacific fixed income markets: evolving structure, participation and pricing," Nov 2018.

• "Ambiguity, Nominal Bond Yields, and Real Bond Yields," by Zhao, FRB Conference on Risk, Uncertainty, and Volatility, Apr 2018.

• "International Real Yields," by Ermolov, EFA Annual Meeting, Aug 2017.

• "Low Inflation: High Default Risk AND High Equity Valuations," by Bhamra, Dorion, Jeanneret and Weber, BoC-FRBSF-SFU Conference on "Advances in Fixed Income and Macro-Finance Research," Aug 2017.

• "Forward Guidance, Quantitative Easing, or Both?," by De Graeve and Theodoridis, Riksbank Conference on the Future of Forward Guidance, May 2017.

• "Level and Volatility Shocks to Fiscal Policy: Term Structure Implications," by Bretscher, Hsu and Tamoni, Fixed Income and Financial Institutions Conference, Apr 2017.

• "Monetary Policy Expectations at the Zero Lower Bound," by Bauer and Rudebusch, AEA, Jan 2016.

• "Noisy Information and Fundamental Disagreement," by Andrade, Crump, Eusepi and Moench, AEA Annual Meeting, Jan 2014.

• "A Model of the Euro-Area Yield Curve with Discrete Policy Rates," by Renne, FRBSF Workshop on Term Structure Modeling at the Zero Lower Bound, Oct 2013.

• "The Signaling Channel for Federal Reserve Bond Purchases," by Bauer and Rudebusch, Federal Reserve Day Ahead Conference, Jan 2013.

• "Unbiased Estimation of Dynamic Term Structure Models," by Bauer, Rudebusch and Wu, AEA Annual Meeting, Jan 2011.

• "How Predictable are Components of the Aggregate Market Portfolio?" by Kong, Rapach, Strauss, Tu and Zhou, China International Conference in Finance, Jul 2010.

• "Learning and the Role of Macroeconomic Factors in the Term Structure of Interest Rates," by Laubach, Tetlow and Williams, SNB Research Conference on Expectations and Monetary Policy, Sep 2007.

• "Human Capital and International Portfolio Choice," by Julliard, CIRANO-CIREQ Conference, May 2005.

Permanent Working Papers

• "Human Capital, Business Cycles and Asset Pricing", 2005. Here is a Technical Appendix.