Replication data for: News Shocks and the Slope of the Term Structure of Interest Rates: Reply
Principal Investigator(s): View help for Principal Investigator(s) André Kurmann; Christopher Otrok
Version: View help for Version V1
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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: Reply. Nashville, TN: American Economic Association [publisher], 2017. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-12. https://doi.org/10.3886/E113170V1
Project Description
Summary:
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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).
Scope of Project
JEL Classification:
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E23 Macroeconomics: Production
E32 Business Fluctuations; Cycles
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
E32 Business Fluctuations; Cycles
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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