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

The American economic review, 2013-10, Vol.103 (6), p.2612-2632 [Peer Reviewed Journal]

Copyright© 2013 American Economic Association ;Copyright American Economic Association Oct 2013 ;ISSN: 0002-8282 ;EISSN: 1944-7981 ;DOI: 10.1257/aer.103.6.2612 ;CODEN: AENRAA

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Title:
News Shocks and the Slope of the Term Structure of Interest Rates
Author: Kurmann, André ; Otrok, Christopher
Subjects: Benchmarking ; Central banks ; Consumption ; Economic fluctuations ; Economic models ; Economic theory ; Federal funding ; Federal funds rate ; Federal Reserve monetary policy ; Finance ; Inflation rates ; Inflation shocks ; Interest rates ; Labor supply ; Macroeconomics ; Monetary policy ; Productivity ; Shorter Papers ; Statistical analysis ; Structural analysis ; Studies ; Supply shocks ; Variables ; Vector autoregression
Is Part Of: The American economic review, 2013-10, Vol.103 (6), p.2612-2632
Description: 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. (JEL E23, E43, E52, G12, G14)
Publisher: Nashville: American Economic Association
Language: English
Identifier: ISSN: 0002-8282
EISSN: 1944-7981
DOI: 10.1257/aer.103.6.2612
CODEN: AENRAA
Source: ProQuest Central

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

Copyright© 2013 American Economic Association ;Copyright American Economic Association Oct 2013 ;ISSN: 0002-8282 ;EISSN: 1944-7981 ;DOI: 10.1257/aer.103.6.2612 ;CODEN: AENRAA

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