Wu-Xia Shadow Federal Funds Rate

The Federal Open Market Committee has targeted the federal funds rate between 0 to ¼ percent from December 16, 2008, to December 15, 2015, and, subsequently, since March 15, 2020. In these "zero lower bound" environments, 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 (2016) model of the shadow rate.

Latest update — September 9, 2020

The Wu-Xia shadow federal funds rate stood at 0.26 percent on August 31. The rate is constructed with underlying input data for Gurkaynak, Sack, and Wright yield curve estimates.