News Shocks and the Slope of the Term Structure of Interest Rates: Reply
成果类型：
Editorial Material
署名作者：
Kurmann, Andre; Otrok, Christopher
署名单位：
Drexel University; University of Missouri System; University of Missouri Columbia; Federal Reserve System - USA; Federal Reserve Bank - St. Louis
刊物名称：
AMERICAN ECONOMIC REVIEW
ISSN/ISSBN：
0002-8282
DOI：
10.1257/aer.20161946
发表日期：
2017
页码：
3250-3256
关键词：
摘要：
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).