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

News Shocks and the Slope of the Term Structure of Interest Rates: Reply† AbstractThis 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). (JEL E23, E32, E43, E52, G12, G14) http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png American Economic Review American Economic Association

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

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Publisher
American Economic Association
Copyright
Copyright © 2017 © American Economic Association
ISSN
0002-8282
D.O.I.
10.1257/aer.20161946
Publisher site
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Abstract

AbstractThis 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). (JEL E23, E32, E43, E52, G12, G14)

Journal

American Economic ReviewAmerican Economic Association

Published: Oct 1, 2017

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