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

André Kurmann | Zendy; Christopher Otrok | Zendy

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

Author(s) -

André Kurmann,

Christopher Otrok

Publication year - 2017

Publication title -

american economic review

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 16.936

H-Index - 297

eISSN - 1944-7981

pISSN - 0002-8282

DOI - 10.1257/aer.20161946

Subject(s) - garcia , shock (circulatory) , economics , term (time) , monetary economics , econometrics , humanities , physics , philosophy , medicine , astronomy

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

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