Ji Zhang

Tsinghua University
43 Chengfu Road
PBC School of Finance
Haidian District, Beijing, 100083

E-Mail: EmailAddress: hidden: you can email any NBER-related person as first underscore last at nber dot org
Institutional Affiliation: Tsinghua University

NBER Working Papers and Publications

September 2020Stock-bond Return Correlation, Bond Risk Premium Fundamental, and Fiscal-monetary Policy Regime
with Erica X.N. Li, Tao Zha, Hao Zhou: w27861
We incorporate regime switching between monetary and fiscal policies in a general equilibrium model to explain three stylized facts: (1) the positive stock-bond return correlation from 1971 to 2000 and the negative one after 2000, (2) the negative correlation between consumption and inflation from 1971 to 2000 and the positive one after 2000, and (3) the coexistence of positive bond risk premiums and the negative stock-bond return correlation. We show that two distinctive shocks---the technology and investment shocks---drive positive and negative stock-bond return correlations under two policy regimes, but positive bond risk premiums are driven by the same technology shock.
June 2018Global Effective Lower Bound and Unconventional Monetary Policy
with Jing Cynthia Wu
in NBER International Seminar on Macroeconomics 2018, Jordi GalĂ­ and Kenneth West, organizers
Global Effective Lower Bound and Unconventional Monetary Policy
with Jing Cynthia Wu: w24714
In a standard open-economy New Keynesian model, the effective lower bound causes anomalies: output and terms of trade respond to a supply shock in the opposite direction compared to normal times. We introduce a tractable framework to accommodate for unconventional monetary policy. In our model, these anomalies disappear. We allow unconventional policy to be partially active and asymmetric between countries. Empirically, we find the US, Euro area, and UK have implemented a considerable amount of unconventional monetary policy: the US follows the historical Taylor rule, whereas the others have done less compared to normal times.

Published: Jing Cynthia Wu & Ji Zhang, 2019. "Global effective lower bound and unconventional monetary policy," Journal of International Economics, . citation courtesy of

November 2016A Shadow Rate New Keynesian Model
with Jing Cynthia Wu: w22856
We propose a tractable and coherent framework that captures both conventional and unconventional monetary policies with the shadow fed funds rate. Empirically, we document the shadow rate's resemblance to an overall financial conditions index, various private interest rates, the Fed's balance sheet, and the Taylor rule. Theoretically, we demonstrate the impact of unconventional policies, such as QE and lending facilities, on the economy is identical to that of a negative shadow rate, making the latter a useful summary statistic for these policies. Our model generates the data-consistent result: a negative supply shock is always contractionary. It also salvages the New Keynesian model from the zero lower bound induced structural break.

Published: Jing Cynthia Wu & Ji Zhang, 2019. "A Shadow Rate New Keynesian Model," Journal of Economic Dynamics and Control, . citation courtesy of

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