Jing Cynthia Wu - 吴菁

Dillon Hall Associate Professor of Economics, University of Notre Dame

NBER Faculty Research Fellow

cynthia.wu@nd.edu

[CV] [Google Scholar]

Wu-Xia shadow rates

Please cite as follows:

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 201812)

  • 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 201812)

Cartoon for

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