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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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  24. Tao Wu & Glenn Rudebusch, 2004. "A Macro-Finance Model of the Term Structure, Monetary Policy, and the Economy," 2004 Meeting Papers 104, Society for Economic Dynamics.
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  31. Neville Francis & Michael T. Owyang & Jennifer E. Roush & Riccardo DiCecio, 2014. "A Flexible Finite-Horizon Alternative to Long-Run Restrictions with an Application to Technology Shocks," The Review of Economics and Statistics, MIT Press, vol. 96(3), pages 638-647, October.
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  34. Jules van Binsbergen & Jesús Fernández-Villaverde & Ralph S.J. Koijen & Juan F. Rubio-Ramírez, 2010. "The Term Structure of Interest Rates in a DSGE Model with Recursive Preferences," NBER Working Papers 15890, National Bureau of Economic Research, Inc.
  35. Robert B. Barsky & Eric R. Sims, 2009. "News Shocks," NBER Working Papers 15312, National Bureau of Economic Research, Inc.
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  39. Knez, Peter J & Litterman, Robert & Scheinkman, Jose Alexandre, 1994. " Explorations into Factors Explaining Money Market Returns," Journal of Finance, American Finance Association, vol. 49(5), pages 1861-82, December.
  40. Jonas D. M. Fisher, 2006. "The Dynamic Effects of Neutral and Investment-Specific Technology Shocks," Journal of Political Economy, University of Chicago Press, vol. 114(3), pages 413-451, June.
  41. Monika Piazzesi, 2005. "Bond Yields and the Federal Reserve," Journal of Political Economy, University of Chicago Press, vol. 113(2), pages 311-344, April.
  42. Neville Francis & Michael T. Owyang & Jennifer E. Roush, 2005. "A flexible finite-horizon identification of technology shocks," International Finance Discussion Papers 832, Board of Governors of the Federal Reserve System (U.S.).
  43. Tao Wu & Glenn Rudebusch, 2003. "Macroeconomics and the Yield Curve," Computing in Economics and Finance 2003 206, Society for Computational Economics.
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