Concepedia

Unconventional Monetary Policy and the Great Recession: Estimating the Macroeconomic Effects of a Spread Compression at the Zero Lower Bound

International journal of central banking · 2015 · 323 citations · 32 references

Open access

Concepts

Unconventional Monetary PolicyMonetary PolicyEconomicsTerm Structure ModelMacroeconomicsBusinessEconometricsEconomic FluctuationMacroeconomic ForecastingBond MarketGreat RecessionMacroeconomic ModelMacroeconomic EffectsFinanceSpread CompressionZero Lower BoundFinancial Crisis

Abstract

We explore the macroeconomic effects of a compression in the long-term bond yield spread within the context of the Great Recession of 2007-2009 via a time-varying parameter structural VAR model.

References

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