Rudebusch, Glenn D.; Swanson, Eric T.; Wu, Tao - Federal Reserve Bank of San Francisco - 2006
market. Indeed, this is
one interpretation of the explanation suggested by Bernanke (2005), who argued that �over
the past …
term structure from the literature. The �rst is a VAR-based model developed by Bernanke,
Reinhart, and Sack (2005), denoted …, we use two macro-�nance mod-
els from the literature, the VAR-based model developed in Bernanke, Reinhart, and Sack
(2005 …