Baumeister, Christiane; Benati, Luca - In: International Journal of Central Banking 9 (2013) 2, pp. 165-212
We explore the macroeconomic effects of a compression in the long-term bond yield spread within the context of the Great Recession of 2007–09 via a time-varying parameter structural VAR model. We identify a “pure” spread shock defined as a shock that leaves the policy rate unchanged, which...