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  4. October 2017
  5. News Shocks and the Slope of the Term Structure of Interest Rates: Comment

American Economic Review

ISSN 0002-8282 (Print) | ISSN 1944-7981 (Online)

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

  • Danilo Cascaldi-Garcia
American Economic Review
vol. 107, no. 10, October 2017
(pp. 3243–49)
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Abstract

Kurmann and Otrok (2013) establish that the effects on economic activity from news on future productivity growth are similar to the effects from unexpected changes in the slope of the yield curve. This comment shows that these results become substantially weaker in the light of a recent update in the utilization-adjusted total factor productivity series produced by Fernald (2014).

Citation

Cascaldi-Garcia, Danilo. 2017. "News Shocks and the Slope of the Term Structure of Interest Rates: Comment." American Economic Review, 107 (10): 3243–49. DOI: 10.1257/aer.20160547

Additional Materials

JEL Classification

  • 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