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

  • Christopher Otrok

    (University of Virginia)

  • Andre Kurmann

    (University of Quebec-Montreal)

the model's response to news shocks in general.

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File URL: https://www.economicdynamics.org/meetpapers/2010/paper_72.pdf
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Paper provided by Society for Economic Dynamics in its series 2010 Meeting Papers with number 72.

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Date of creation: 2010
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Handle: RePEc:red:sed010:72
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  32. John H. Cochrane & Monika Piazzesi, 2002. "Bond Risk Premia," NBER Working Papers 9178, National Bureau of Economic Research, Inc.
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  34. Diebold, Francis X. & Rudebusch, Glenn D. & Borag[caron]an Aruoba, S., 2006. "The macroeconomy and the yield curve: a dynamic latent factor approach," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 309-338.
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  36. De Graeve, Ferre & Emiris, Marina & Wouters, Raf, 2009. "A structural decomposition of the US yield curve," Journal of Monetary Economics, Elsevier, vol. 56(4), pages 545-559, May.
  37. Lawrence J. Christiano & Martin Eichenbaum & Charles Evans, 2001. "Nominal rigidities and the dynamic effects of a shock to monetary policy," Proceedings, Federal Reserve Bank of San Francisco, issue Jun.
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  39. Wachter, Jessica A., 2006. "A consumption-based model of the term structure of interest rates," Journal of Financial Economics, Elsevier, vol. 79(2), pages 365-399, February.
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