We fit a Bayesian time-varying parameters structural VAR with stochastic volatility to the Federal Funds rate, GDP deflator inflation, real GDP growth, and the rate of growth of M2. We identify 4 shocksmonetary policy, demand non-policy, supply, and money demandby imposing sign restrictions on...

We explore the macroeconomic impact of a compression in the long-term bond yield spread within the context of the Great Recession of 2007-2009 via a Bayesian time-varying parameter structural VAR. We identify a 'pure' spread shock which, leaving the short-term rate unchanged by construction,...