C32 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T09:22:56+00:00Unconventional Monetary Policy and the Great Recession: Estimating the Macroeconomic Effects of a Spread Compression at the Zero Lower Bound
https://www.bankofcanada.ca/2012/07/working-paper-2012-21/
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.2012-07-23T07:55:26+00:00enUnconventional Monetary Policy and the Great Recession: Estimating the Macroeconomic Effects of a Spread Compression at the Zero Lower Bound2012-07-23Econometric and statistical methodsInterest ratesMonetary policy frameworkMonetary policy transmissionWorking Paper 2012-21https://www.bankofcanada.ca/wp-content/uploads/2012/07/wp2012-21.pdfUnconventional Monetary Policy and the Great Recession: Estimating the Macroeconomic Effects of a Spread Compression at the Zero Lower BoundChristiane BaumeisterLuca BenatiJuly 2012CC1C11C3C32EE5E52E58