Wu-Xia Shadow Federal Funds Rate

Since December 2008 the federal funds rate has been in the 0 to 1/4 percent range targeted by the Federal Open Market Committee. In this "zero lower bound" environment, a number of researchers have used shadow rate models to characterize the term structure of interest rates (Kim and Singleton (2012) and Bauer and Rudebusch (2013)) or quantify the stance of monetary policy (Bullard (2012) and Krippner (2013)). This web page hosts estimates from the Wu and Xia (2014) model of the shadow rate.

Latest update — November 4, 2015

The Wu-Xia shadow federal funds rate stood at -0.53 percent on October 30. The rate is constructed with underlying input data for Gurkaynak, Sack, and Wright yield curve estimates.