Replication data for: News Shocks and the Slope of the Term Structure of Interest Rates
Principal Investigator(s): View help for Principal Investigator(s) André Kurmann; Christopher Otrok
Version: View help for Version V1
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MS20110331_KurmannOtrok_Computer_Code_and_Data | 10/11/2019 07:16:PM | ||
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Project Citation:
Kurmann, André, and Otrok, Christopher. Replication data for: News Shocks and the Slope of the Term Structure of Interest Rates. Nashville, TN: American Economic Association [publisher], 2013. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-11. https://doi.org/10.3886/E112678V1
Project Description
Summary:
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We adopt a statistical approach to identify the shocks that explain most of the fluctuations of the slope of the term structure of interest rates. We find that one shock can explain the majority of unpredictable movements in the slope. Impulse response functions lead us to interpret this shock as news about future total factor productivity (TFP). By showing that "slope shocks" are essentially "TFP news shocks" we provide a new explanation for the relationship between the slope and macroeconomic fundamentals. Our results also provide a new empirical benchmark for structural models at the intersection of macroeconomics and finance.
Scope of Project
JEL Classification:
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E23 Macroeconomics: Production
E43 Interest Rates: Determination, Term Structure, and Effects
E52 Monetary Policy
G12 Asset Pricing; Trading Volume; Bond Interest Rates
G14 Information and Market Efficiency; Event Studies; Insider Trading
E23 Macroeconomics: Production
E43 Interest Rates: Determination, Term Structure, and Effects
E52 Monetary Policy
G12 Asset Pricing; Trading Volume; Bond Interest Rates
G14 Information and Market Efficiency; Event Studies; Insider Trading
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