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

Version
V0
Resource Type
Dataset
Creator
  • Kurmann, André
  • Otrok, Christopher
Publication Date
2013-10-01
Description
  • Abstract

    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.
Availability
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Relations
  • Is supplement to
    DOI: 10.1257/aer.103.6.2612 (Text)
Publications
  • Kurmann, André, and Christopher Otrok. “News Shocks and the Slope of the Term Structure of Interest Rates.” American Economic Review 103, no. 6 (October 2013): 2612–32. https://doi.org/10.1257/aer.103.6.2612.
    • ID: 10.1257/aer.103.6.2612 (DOI)

Update Metadata: 2020-05-18 | Issue Number: 2 | Registration Date: 2019-10-12

Kurmann, André; Otrok, Christopher (2013): Replication data for: News Shocks and the Slope of the Term Structure of Interest Rates. Version: V0. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. https://doi.org/10.3886/E112678