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

2017 ◽  
Vol 107 (10) ◽  
pp. 3243-3249 ◽  
Author(s):  
Danilo Cascaldi-Garcia
Keyword(s):  
Interest Rates ◽  
Total Factor Productivity ◽  
Term Structure ◽  
Productivity Growth ◽  
Economic Activity ◽  
Yield Curve ◽  
Factor Productivity ◽  
News Shocks

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). (JEL E23, E32, E43, E52, G12)

scholarly journals Revisions in Utilization-Adjusted TFP and Robust Identification of News Shocks

2020 ◽  
pp. 1-45 ◽  
Author(s):  
André Kurmann ◽  
Eric Sims
Keyword(s):  
Total Factor Productivity ◽  
Technological Innovation ◽  
Productivity Growth ◽  
Factor Productivity ◽  
News Shocks ◽  
Robust Identification ◽  
Measurement Issues ◽  
Empirical Results ◽  
Alternative Identification ◽  
Macroeconomic Aggregates

This paper documents large revisions in a widely-used series of utilization-adjusted total factor productivity (TFP) by Fernald (2014) and shows that these revisions can materially affect empirical results about the effects of news shocks. We trace these revisions to changes in estimated factor utilization that are evocative of cyclical measurement issues with productivity. We propose an alternative identification that is robust to these measurement issues. Applied to U.S. data, the shock predicts delayed productivity growth while simultaneously generating strong responses of novel indicators of technological innovation and forward-looking variables. The shock does not lead to comovement in macroeconomic aggregates.

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

2013 ◽  
Vol 103 (6) ◽  
pp. 2612-2632 ◽  
Author(s):  
André Kurmann ◽  
Christopher Otrok
Keyword(s):  
Interest Rates ◽  
Term Structure ◽  
Statistical Approach ◽  
Structural Models ◽  
Impulse Response Functions ◽  
Response Functions ◽  
Factor Productivity ◽  
News Shocks ◽  
Macroeconomic Fundamentals ◽  
The Relationship

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)

Sign in / Sign up

Export Citation Format

Share Document