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Shu Wu

Personal Details

First Name:Shu
Middle Name:
Last Name:Wu
Suffix:
RePEc Short-ID:pwu71
http://www.people.ku.edu/~shuwu

Affiliation

Department of Economics
University of Kansas

Lawrence, Kansas (United States)
http://economics.ku.edu/

: (785) 864-3501
(785) 864-5270
415 Snow Hall, Lawrence, KS 66045
RePEc:edi:deuksus (more details at EDIRC)

Research output

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Jump to: Working papers Articles

Working papers

  1. Shu Wu & Yong Zeng, 2005. "The Term Structure of Interest Rates under Regime Shifts and Jumps," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200520, University of Kansas, Department of Economics, revised Oct 2005.
  2. Shu Wu, 2005. "Interest Rate Risk and the Forward Premium Anomaly in Foreign Exchange Markets," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200519, University of Kansas, Department of Economics, revised Oct 2005.
  3. Shu Wu, 2005. "Monetary Policy and Long-term Interest Rates," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200512, University of Kansas, Department of Economics, revised Apr 2005.
  4. Yong Zeng & Shu Wu, 2004. "A General Equilibrium Model of the Term Structure of Interest Rates under Regime-switching Risk," Econometric Society 2004 North American Summer Meetings 304, Econometric Society.
  5. William Barnett & Shu Wu, 2004. "Intertemporally Non-Separable Monetaryasset Risk Adjustment And Aggregation," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200405, University of Kansas, Department of Economics, revised Jun 2004.
  6. Shu Wu & Shigeru Iwata, 2004. "Estimating Monetary Policy Effects When Interest Rates are Bounded at Zero," Econometric Society 2004 Far Eastern Meetings 478, Econometric Society.
  7. William Barnett & Shu Wu, 2004. "On user costs of risy monetary assets," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200404, University of Kansas, Department of Economics, revised Jun 2004.

Articles

  1. Iwata, Shigeru & Wu, Shu, 2009. "Stock market liberalization and international risk sharing," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(3), pages 461-476, July.
  2. Shu Wu, 2008. "Monetary Policy And Long-Term Interest Rates," Contemporary Economic Policy, Western Economic Association International, vol. 26(3), pages 398-408, July.
  3. Shu Wu, 2007. "Interest Rate Risk and the Forward Premium Anomaly in Foreign Exchange Markets," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(2-3), pages 423-442, March.
  4. Iwata, Shigeru & Wu, Shu, 2006. "Macroeconomic Shocks And The Foreign Exchange Risk Premia," Macroeconomic Dynamics, Cambridge University Press, vol. 10(04), pages 439-466, September.
  5. Wu, Shu & Zeng, Yong, 2006. "The term structure of interest rates under regime shifts and jumps," Economics Letters, Elsevier, vol. 93(2), pages 215-221, November.
  6. Iwata, Shigeru & Wu, Shu, 2006. "Estimating monetary policy effects when interest rates are close to zero," Journal of Monetary Economics, Elsevier, vol. 53(7), pages 1395-1408, October.
  7. William A. Barnett & Shu Wu, 2005. "On user costs of risky monetary assets," Annals of Finance, Springer, vol. 1(1), pages 35-50, January.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Shu Wu & Yong Zeng, 2005. "The Term Structure of Interest Rates under Regime Shifts and Jumps," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200520, University of Kansas, Department of Economics, revised Oct 2005.

    Cited by:

    1. John Driffill & Turalay Kenc & Martin Sola, 2013. "Real Options With Priced Regime-Switching Risk," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 16(05), pages 1-30.
    2. El-khatib, Youssef & Hatemi-J, Abdulnasser, 2013. "On option pricing in illiquid markets with random jumps," MPRA Paper 45172, University Library of Munich, Germany.
    3. Ferland, René & Gauthier, Geneviève & Lalancette, Simon, 2010. "A regime-switching term structure model with observable state variables," Finance Research Letters, Elsevier, vol. 7(2), pages 103-109, June.
    4. Hunt, Julien & Devolder, Pierre, 2011. "Semi-Markov regime switching interest rate models and minimal entropy measure," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(21), pages 3767-3781.
    5. Samuel Chege Maina, 2011. "Credit Risk Modelling in Markovian HJM Term Structure Class of Models with Stochastic Volatility," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 5.

  2. Shu Wu, 2005. "Interest Rate Risk and the Forward Premium Anomaly in Foreign Exchange Markets," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200519, University of Kansas, Department of Economics, revised Oct 2005.

    Cited by:

    1. Stavrakeva, Vania & Tang, Jenny, 2015. "Exchange rates and monetary policy," Working Papers 15-16, Federal Reserve Bank of Boston.
    2. Wagner, Christian, 2012. "Risk-premia, carry-trade dynamics, and economic value of currency speculation," Journal of International Money and Finance, Elsevier, vol. 31(5), pages 1195-1219.
    3. Carmen Gloria Silva, 2010. "Forward premium puzzle and term structure of interest rates: the case of New Zealand," Working Papers Central Bank of Chile 570, Central Bank of Chile.
    4. Stavrakeva, Vania & Tang, Jenny, 2016. "Exchange rates and the yield curve," Working Papers 16-21, Federal Reserve Bank of Boston.
    5. Yutaka Kurihara, 2015. "Are Japanese Stock Prices Important Deterministic Elements of Exchange Rate Returns?," Bulletin of Applied Economics, Risk Market Journals, vol. 2(2), pages 1-9.
    6. Ahmet Can Ýnci, 2007. "Currency and yield Co-integration between a developed and an emerging Country: The Case of Turkey," Bogazici Journal, Review of Social, Economic and Administrative Studies, Bogazici University, Department of Economics, vol. 21(1+2), pages 1-20.
    7. Leo Krippner, 2006. "A Yield Curve Perspective on Uncovered Interest Parity," Working Papers in Economics 06/16, University of Waikato.

  3. Shu Wu, 2005. "Monetary Policy and Long-term Interest Rates," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200512, University of Kansas, Department of Economics, revised Apr 2005.

    Cited by:

    1. Pieter Jansen, 2009. "Did capital market convergence lower the effectiveness of monetary policy?," Applied Financial Economics, Taylor & Francis Journals, vol. 19(12), pages 975-984.

  4. William Barnett & Shu Wu, 2004. "Intertemporally Non-Separable Monetaryasset Risk Adjustment And Aggregation," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200405, University of Kansas, Department of Economics, revised Jun 2004.

    Cited by:

    1. William A. Barnett & Liting Su, 2016. "Joint aggregation over money and credit card services under risk," Economics Bulletin, AccessEcon, vol. 36(4), pages 2301-2310.

  5. William Barnett & Shu Wu, 2004. "On user costs of risy monetary assets," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 200404, University of Kansas, Department of Economics, revised Jun 2004.

    Cited by:

    1. William A. Barnett & Unja Chae & John W. Keating, 2011. "The Discounted Economic Stock of Money with VAR Forecasting," World Scientific Book Chapters,in: Financial Aggregation And Index Number Theory, chapter 4, pages 107-150 World Scientific Publishing Co. Pte. Ltd..
    2. Barnett, William A. & Chauvet, Marcelle & Tierney, Heather L. R., 2008. "Measurement Error in Monetary Aggregates: A Markov Switching Factor Approach," MPRA Paper 10179, University Library of Munich, Germany.
    3. Barnett, William & Liu, Jinan, 2017. "User Cost of Credit Card Services under Risk with Intertemporal Nonseparability," MPRA Paper 81461, University Library of Munich, Germany.
    4. Barnett, William A., 2007. "Multilateral aggregation-theoretic monetary aggregation over heterogeneous countries," Journal of Econometrics, Elsevier, vol. 136(2), pages 457-482, February.
    5. Elger, Thomas & Jones, Barry E. & Nilsson, Birger, 2006. "Forecasting with Monetary Aggregates: Recent Evidence for the United States," Journal of Economics and Business, Elsevier, vol. 58(5-6), pages 428-446.
    6. Barnett, William & Chauvet, Marcelle & Leiva-Leon, Danilo & Su, Liting, 2016. "The credit-card-services augmented Divisia monetary aggregates," MPRA Paper 73245, University Library of Munich, Germany.
    7. James J. Heckman & Apostolos Serletis, "undated". "Introduction to Internally Consistent Modeling, Aggregation, Inference, and Policy," Working Papers 2014-73, Department of Economics, University of Calgary, revised 29 Sep 2014.
    8. William A Barnett & Unja Chae & John W Keating, 2012. "Forecast Design In Monetary Capital Stock Measurement," Global Journal of Economics (GJE), World Scientific Publishing Co. Pte. Ltd., vol. 1(01), pages 1-53.
    9. Barnett, William & Chauvet, Marcelle & Leiva-Leon, Danilo & Su, Liting, 2016. "Nowcasting nominal gdp with the credit-card augmented Divisia monetary aggregates," MPRA Paper 73246, University Library of Munich, Germany.
    10. William Barnett & Marcelle Chauvet, 2009. "International Financial Aggregation and Index Number Theory: A Chronological Half-century Empirical Overview," Open Economies Review, Springer, vol. 20(1), pages 1-37, February.
    11. William A. Barnett, Chang Ho Kwag, 2006. "Exchange Rate Determination from Monetary Fundamentals: an Aggregation Theoretic Approach," Frontiers in Finance and Economics, SKEMA Business School, vol. 3(1), pages 29-48, June.
    12. William Barnett & Liting Su, 2016. "Risk Adjustment of the Credit-Card Augmented Divisia Monetary Aggregates," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 201606, University of Kansas, Department of Economics, revised Aug 2016.
    13. Binner, J.M. & Tino, P. & Tepper, J. & Anderson, R. & Jones, B. & Kendall, G., 2010. "Does money matter in inflation forecasting?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(21), pages 4793-4808.
    14. Travis D. Nesmith, 2005. "Solving stochastic money-in-the-utility-function models," Finance and Economics Discussion Series 2005-52, Board of Governors of the Federal Reserve System (U.S.).
    15. William A. Barnett & Shu Wu, 2004. "Intertemporally non-separable monetary-asset risk adjustment and aggregation," Macroeconomics 0406010, EconWPA.
    16. Barnett, William A. & Chauvet, Marcelle, 2011. "How better monetary statistics could have signaled the financial crisis," Journal of Econometrics, Elsevier, vol. 161(1), pages 6-23, March.
    17. Richard G. Anderson & Jason J. Buol, 2005. "Revisions to user costs for the Federal Reserve Bank of St. Louis monetary services indices," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 735-750.
    18. Barnett, William A. & Chauvet, Marcelle, 2008. "The End of the Great Moderation: “We told you so.”," MPRA Paper 11642, University Library of Munich, Germany.
    19. , & Diewert, Erwin, 2014. "The Treatment of Financial Transactions in the SNA: A User Cost Approach," Economics working papers erwin_diewert-2014-8, Vancouver School of Economics, revised 20 Feb 2014.

Articles

  1. Iwata, Shigeru & Wu, Shu, 2009. "Stock market liberalization and international risk sharing," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(3), pages 461-476, July.

    Cited by:

    1. Vithessonthi, Chaiporn & Tongurai, Jittima, 2012. "The impact of capital account liberalization measures," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(1), pages 16-34.
    2. Arouri, Mohamed El Hedi & Nguyen, Duc Khuong & Pukthuanthong, Kuntara, 2012. "An international CAPM for partially integrated markets: Theory and empirical evidence," Journal of Banking & Finance, Elsevier, vol. 36(9), pages 2473-2493.
    3. Esqueda, Omar A. & Assefa, Tibebe A. & Mollick, André Varella, 2012. "Financial globalization and stock market risk," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(1), pages 87-102.
    4. Ahmed, Walid M.A., 2017. "The impact of foreign equity flows on market volatility during politically tranquil and turbulent times: The Egyptian experience," Research in International Business and Finance, Elsevier, vol. 40(C), pages 61-77.

  2. Shu Wu, 2008. "Monetary Policy And Long-Term Interest Rates," Contemporary Economic Policy, Western Economic Association International, vol. 26(3), pages 398-408, July.
    See citations under working paper version above.
  3. Shu Wu, 2007. "Interest Rate Risk and the Forward Premium Anomaly in Foreign Exchange Markets," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(2-3), pages 423-442, March.
    See citations under working paper version above.
  4. Iwata, Shigeru & Wu, Shu, 2006. "Macroeconomic Shocks And The Foreign Exchange Risk Premia," Macroeconomic Dynamics, Cambridge University Press, vol. 10(04), pages 439-466, September.

    Cited by:

    1. da Costa, Carlos E. & Issler, João V. & Matos, Paulo F., 2015. "A Note On The Forward And The Equity Premium Puzzles: Two Symptoms Of The Same Illness?," Macroeconomic Dynamics, Cambridge University Press, vol. 19(02), pages 446-464, March.
    2. Kodongo, Odongo & Ojah, Kalu, 2014. "The conditional pricing of currency and inflation risks in Africa's equity markets," MPRA Paper 56100, University Library of Munich, Germany.
    3. Evžen Koèenda & Tigran Poghosyan, 2010. "Exchange Rate Risk in Central European Countries," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 60(1), pages 22-39, February.
    4. Bernard Walley, 2015. "Macroeconomic sources of foreign exchange risk premium: evidence from South Africa," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 39(2), pages 382-395, April.

  5. Wu, Shu & Zeng, Yong, 2006. "The term structure of interest rates under regime shifts and jumps," Economics Letters, Elsevier, vol. 93(2), pages 215-221, November.
    See citations under working paper version above.
  6. Iwata, Shigeru & Wu, Shu, 2006. "Estimating monetary policy effects when interest rates are close to zero," Journal of Monetary Economics, Elsevier, vol. 53(7), pages 1395-1408, October.

    Cited by:

    1. Nakajima, Jouchi & Kasuya, Munehisa & Watanabe, Toshiaki, 2011. "Bayesian analysis of time-varying parameter vector autoregressive model for the Japanese economy and monetary policy," Journal of the Japanese and International Economies, Elsevier, vol. 25(3), pages 225-245, September.
    2. Belke, Ansgar & Klose, Jens, 2013. "Modifying Taylor reaction functions in the presence of the zero‐lower‐bound — Evidence for the ECB and the Fed," Economic Modelling, Elsevier, vol. 35(C), pages 515-527.
    3. Henrike Michaelis & Sebastian Watzka, 2014. "Are there Differences in the Effectiveness of Quantitative Easing at the Zero-Lower-Bound in Japan over Time?," CESifo Working Paper Series 4901, CESifo Group Munich.
    4. Tuan Phan, 2014. "Output Composition of the Monetary Policy Transmission Mechanism: Is Australia Different?," CAMA Working Papers 2014-39, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    5. Jouchi Nakajima, 2011. "Monetary Policy Transmission under Zero Interest Rates: An Extended Time-Varying Parameter Vector Autoregression Approach," IMES Discussion Paper Series 11-E-08, Institute for Monetary and Economic Studies, Bank of Japan.
    6. Ansgar Belke & Jens Klose, 2012. "Modifying Taylor Reaction Functions in Presence of the Zero-Lower-Bound: Evidence for the ECB and the Fed," Discussion Papers of DIW Berlin 1218, DIW Berlin, German Institute for Economic Research.
    7. Joshua Chan & Rodney Strachan, 2012. "Estimation in Non-Linear Non-Gaussian State Space Models with Precision-Based Methods," CAMA Working Papers 2012-13, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    8. Gregor Bäurle & Daniel Kaufmann & Sylvia Kaufmann & Rodney W. Strachan, 2016. "Changing dynamics at the zero lower bound," Working Papers 2016-16, Swiss National Bank.
    9. Michaelis, Henrike & Watzka, Sebastian, 2017. "Are there differences in the effectiveness of quantitative easing at the zero-lower-bound in Japan over time?," Journal of International Money and Finance, Elsevier, vol. 70(C), pages 204-233.
    10. Michaelis, Henrike & Watzka, Sebastian, 2014. "Are there Differences in the Effectiveness of Quantitative Easing in Japan over Time?," Discussion Papers in Economics 21087, University of Munich, Department of Economics.
    11. Jouchi Nakajima & Mike West, 2013. "Bayesian Analysis of Latent Threshold Dynamic Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 31(2), pages 151-164, April.
    12. Iwata, Shigeru & Wu, Shu, 2012. "A Note On Foreign Exchange Interventions At Zero Interest Rates," Macroeconomic Dynamics, Cambridge University Press, vol. 16(05), pages 802-817, November.
    13. Ernst Juerg Weber, 2007. "The Role of the Real Interest Rate in US Macroeconomic History," Economics Discussion / Working Papers 07-01, The University of Western Australia, Department of Economics.
    14. Michal Franta & Tomas Holub & Petr Kral & Ivana Kubicova & Katerina Smidkova & Borek Vasicek, 2014. "The Exchange Rate as an Instrument at Zero Interest Rates: The Case of the Czech Republic," Research and Policy Notes 2014/03, Czech National Bank, Research Department.
    15. Yoshiyuki Nakazono & Satoshi Ikeda, 2016. "Stock Market Responses Under Quantitative Easing: State Dependence and Transparency in Monetary Policy," Pacific Economic Review, Wiley Blackwell, vol. 21(5), pages 560-580, December.
    16. Tatsuki Okamoto & Yoichi Matsubayashi, 2017. "Empirical Evidence from a Japanese Lending Survey within the TVP-VAR Framework: Does the Credit Channel Matter for Monetary Policy?," Discussion Papers 1709, Graduate School of Economics, Kobe University.
    17. Kimura Takeshi & Nakajima Jouchi, 2016. "Identifying conventional and unconventional monetary policy shocks: a latent threshold approach," The B.E. Journal of Macroeconomics, De Gruyter, vol. 16(1), pages 277-300, January.
    18. Kiyotaka Nakashima & Masahiko Shibamoto & Koji Takahashi, 2017. "Identifying Unconventional Monetary Policy Shocks," Discussion Paper Series DP2017-05, Research Institute for Economics & Business Administration, Kobe University, revised Apr 2017.
    19. Benjamin K. Johannsen & Elmar Mertens, 2016. "A Time Series Model of Interest Rates With the Effective Lower Bound," Finance and Economics Discussion Series 2016-033, Board of Governors of the Federal Reserve System (U.S.).
    20. Michal Franta, 2011. "Identification of Monetary Policy Shocks in Japan Using Sign Restrictions within the TVP-VAR Framework," IMES Discussion Paper Series 11-E-13, Institute for Monetary and Economic Studies, Bank of Japan.
    21. Benjamin Garcia & Arsenios Skaperdas, "undated". "Inferring the Shadow Rate from Real Activity," Finance and Economics Discussion Series 2017-106, Board of Governors of the Federal Reserve System (U.S.).

  7. William A. Barnett & Shu Wu, 2005. "On user costs of risky monetary assets," Annals of Finance, Springer, vol. 1(1), pages 35-50, January.
    See citations under working paper version above.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 9 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-MAC: Macroeconomics (6) 2004-06-27 2004-10-30 2004-10-30 2005-04-16 2005-04-30 2005-11-05. Author is listed
  2. NEP-MON: Monetary Economics (6) 2004-06-27 2004-07-04 2004-10-30 2004-10-30 2005-04-30 2005-11-05. Author is listed
  3. NEP-FIN: Finance (5) 2004-07-04 2005-04-16 2005-04-24 2005-11-05 2005-11-05. Author is listed
  4. NEP-CBA: Central Banking (2) 2004-10-30 2005-04-30
  5. NEP-IFN: International Finance (2) 2004-06-27 2005-11-05
  6. NEP-FMK: Financial Markets (1) 2005-11-05
  7. NEP-RMG: Risk Management (1) 2004-06-27

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