Gambetti, Luca; Görtz, Christoph; Korobilis, Dimitris; … - In: Essays in honour of Fabio Canova, (pp. 139-164). 2022
A vector autoregression model estimated on US data before and after 1980 documents systematic differences in the response of short- and long-term interest rates, corporate bond spreads and durable spending to news total factor productivity shocks. Interest rates across the maturity spectrum...