Dewachter, Hans; Iania, Leonardo - CESifo - 2010
model outperforms significantly most structural and non-structural Macro-Finance yield curve models in terms of cross …-sectional fit of the yield curve. Second, we find that financial shocks, either in the form of liquidity or risk premium shocks …, have a statistically and economically significant impact on the yield curve. The impact of financial shocks extends …