Cynthia Wu

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This paper develops new results for identification and estimation of Gaussian affine term structure models. We establish that three popular canonical representations are unidentified, and demonstrate how unidentified regions can complicate numerical optimization. A separate contribution of the paper is the proposal of minimum-chi-square estimation as an(More)
This paper reviews alternative options for monetary policy when the short-term interest rate is at the zero lower bound and develops new empirical estimates of the effects of the maturity structure of publicly held debt on the term structure of interest rates. We use a model of risk-averse arbitrageurs to develop measures of how the maturity structure of(More)
We develop a simple model of futures arbitrage that implies that if purchases by commodity index funds influence futures prices, then the notional positions of the index investors should help predict excess returns in these contracts. We find no evidence that the positions of index traders in agricultural contracts as identified by the Commodity Futures(More)
  • Michael D Bauer, Glenn D Rudebusch, Jing, Cynthia Wu, Jing Cynthia Wu
  • 2012
Taylor & Francis makes every effort to ensure the accuracy of all the information (the " Content ") contained in the publications on our platform. However, Taylor & Francis, our agents, and our licensors make no representations or warranties whatsoever as to the accuracy, completeness, or suitability for any purpose of the Content. Any opinions and views(More)
  • James D Hamilton, Jing, Cynthia Wu, Bryan Brown, Michael Bauer, Ken Singleton
  • 2010
This paper develops new results for both identi…cation and estimation of Gaussian a¢ ne term structure models. In terms of identi…cation, we establish that three popular canonical representations are each, for di¤erent reasons, unidenti…ed. We also demonstrate that a failure of local identi…cation can complicate numerical search for the maximum-likelihood(More)
  • Michael D Bauer, Glenn D Rudebusch, Jing, Cynthia Wu, Cynthia Jing, Wu +5 others
  • 2011
The views in this paper are solely the responsibility of the authors and should not be interpreted as reflecting the views of the Federal Reserve Bank of San Francisco or the Board of Governors of the Federal Reserve System. Abstract The affine dynamic term structure model (DTSM) is the canonical empirical finance representation of the yield curve. However,(More)
  • Michael D Bauer, Glenn D Rudebusch, Todd Clark, Greg Duffee, Jim Hamilton, Leo Krippner +7 others
  • 2013
The views in this paper are solely the responsibility of the authors and should not be interpreted as reflecting the views of the Federal Reserve Bank of San Francisco or the Board of Governors of the Federal Reserve System. Abstract Obtaining monetary policy expectations from the yield curve is difficult near the zero lower bound (ZLB). Standard dynamic(More)
  • James D Hamilton, Jing, Cynthia Wu, Michael Bauer, Gauti Eggertsson, Je Hallman +4 others
  • 2010
This paper reviews alternative options for monetary policy when the short-term interest rate is at the zero lower bound and develops new empirical estimates of the e¤ects of the maturity structure of publicly held debt on the term structure of interest rates. We use a model of risk-averse arbitrageurs to develop measures of how the maturity structure of(More)
  • Michael D Bauer, Glenn D Rudebusch, Jing, Cynthia Wu
  • 2011
Affine dynamic term structure models (DTSMs) are the standard finance representation of the yield curve. However, the literature on DTSMs has ignored the coefficient bias that plagues estimated autoregressive models of persistent time series. We introduce new simulation-based methods for reducing or even eliminating small-sample bias in empirical affine(More)
  • Christiane Baumeister, Lutz Kilian, Reinhard Ellwanger, Ryan Kellogg, Stefan Nagel, Cynthia Wu
  • 2015
Futures markets are a potentially valuable source of information about market expectations. Exploiting this information has proved difficult in practice, because the presence of a time-varying risk premium often renders the futures price a poor measure of the market expectation of the price of the underlying asset. Even though the expectation in principle(More)