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  4. October 2017
  5. News Shocks and the Slope of the Term Structure of Interest Rates: Reply

American Economic Review

ISSN 0002-8282 (Print) | ISSN 1944-7981 (Online)

News Shocks and the Slope of the Term Structure of Interest Rates: Reply

  • André Kurmann
  • Christopher Otrok
American Economic Review
vol. 107, no. 10, October 2017
(pp. 3250–56)
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Abstract

This reply to Cascaldi-Garcia's (2017) comment argues that by using the original code of Kurmann and Otrok (2013) with new data on utilization-adjusted TFP, Cascaldi-Garcia (2017) confounds positive and negative news shocks. With a small modification to the code--how a news shock is signed as positive--we obtain news shock responses consistent with Sims (2016) and Kurmann and Sims (2017) and largely reestablish the results of Kurmann and Otrok (2013).

Citation

Kurmann, André, and Christopher Otrok. 2017. "News Shocks and the Slope of the Term Structure of Interest Rates: Reply." American Economic Review, 107 (10): 3250–56. DOI: 10.1257/aer.20161946

Additional Materials

JEL Classification

  • E23 Macroeconomics: Production
  • E32 Business Fluctuations; Cycles
  • E43 Interest Rates: Determination, Term Structure, and Effects
  • E52 Monetary Policy
  • G12 Asset Pricing; Trading Volume; Bond Interest Rates
  • G14 Information and Market Efficiency; Event Studies; Insider Trading