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

S-Tier
Journal: American Economic Review
Year: 2017
Volume: 107
Issue: 10
Pages: 3250-56

Score contribution per author:

4.022 = (α=2.01 / 2 authors) × 4.0x S-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

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).

Technical Details

RePEc Handle
repec:aea:aecrev:v:107:y:2017:i:10:p:3250-56
Journal Field
General
Author Count
2
Added to Database
2026-01-25