Replication data for: News Shocks and the Slope of the Term Structure of Interest Rates

Name	File Type	Size	Last Modified
MS20110331_KurmannOtrok_Computer_Code_and_Data			10/11/2019 07:16:PM
LICENSE.txt	text/plain	14.6 KB	10/11/2019 03:16:PM

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: 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:
      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

Related Publications

Download this project

Published Versions

V1 [2019-10-11]

Export Metadata

Dublin Core

DDI 2.5

Report a Problem

Found a serious problem with the data, such as disclosure risk or copyrighted content? Let us know.

This material is distributed exactly as it arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigator(s) if further information is desired.