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Journal article
News Shocks and the Slope of the Term Structure of Interest Rates: Reply
The American economic review, v 107(10), pp 3250-3256
01 Oct 2017
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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).
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Details
- Title
- News Shocks and the Slope of the Term Structure of Interest Rates: Reply
- Creators
- Andre Kurmann - Drexel UniversityChristopher Otrok - Federal Reserve Bank of St. Louis
- Publication Details
- The American economic review, v 107(10), pp 3250-3256
- Publisher
- Amer Economic Assoc
- Number of pages
- 7
- Resource Type
- Journal article
- Language
- English
- Academic Unit
- Economics (School of Economics)
- Web of Science ID
- WOS:000416398000015
- Scopus ID
- 2-s2.0-85030707376
- Other Identifier
- 991019168436304721
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- Collaboration types
- Domestic collaboration
- Web of Science research areas
- Economics