News Shocks and the Slope of the Term Structure of Interest Rates: Reply
André Kurmann () and
Christopher Otrok ()
American Economic Review, 2017, vol. 107, issue 10, 3250-56
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-codes: E23 E32 E43 E52 G12 G14 (search for similar items in EconPapers)
Note: DOI: 10.1257/aer.20161946
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