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

被引：1

作者：

Kurmann, Andre ^{[1
]}

Otrok, Christopher ^{[2
,3
]}

机构：

[1] Drexel Univ, LeBow Coll Business, Sch Econ, 3220 Market St, Philadelphia, PA 19103 USA

[2] Univ Missouri, Dept Econ, 909 Univ Ave, Columbia, MO 65211 USA

[3] Fed Reserve Bank St Louis, St Louis, MO USA

来源：

AMERICAN ECONOMIC REVIEW | 2017年 / 107卷 / 10期

关键词：

D O I：

10.1257/aer.20161946

中图分类号：

F [经济];

学科分类号：

02 ;

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).

引用

页码：3250 / 3256

页数：7

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