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American Economic Review Vol. 107 No. 10 2017

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

André Kurmann1; Christopher Otrok2

1 School of Economics, LeBow College of Business, Drexel University, 3220 Market Street, Philadelphia, PA 19103 (email: ) · 2 Department of Economics, University of Missouri, 909 University Avenue, Columbia, MO 65211 and Federal Reserve Bank of St. Louis (email: )

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).

DOI
10.1257/aer.20161946
Volume
107
Issue
10
Pages
3250-3256
Language
en
Sources
bibtex:phds-export.bib openalex crossref

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