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1、AmericanEconomicReview2013,103(6):2612–2632http://dx.doi.org/10.1257/aer.103.6.2612NewsShocksandtheSlopeofthe†TermStructureofInterestRatesByAndréKurmannandChristopherOtrok*Theslopeofthetermstructure—commonlydefinedasthespreadbetweentheyieldonalong-termtreasu
2、rybondandashort-termbillrate—hasdrawntheatten-tionofmanyseparateliteratures.Inforecasting,itiswellestablishedthattheslopeprovidesvaluablepredictivecontentforfutureeconomicactivity(e.g.,Estrellaand1Hardouvelis1991).Infinance,latentfactorno-arbitragemodelsiden
3、tifytheslopeasanimportantexplanatoryvariablefortheentirecrosssectionofbondyields(e.g.,DuffieandKan1996).Inmacroeconomics,theslopeofthetermstructureplaysacentralroleforthetransmissionofmonetarypolicy(e.g.,Clarida,Gali,andGertler1999).Anumberofrecentstudiesatt
4、empttobridgethegapbetweentheselitera-tures,eitherbyincorporatingmacrodeterminantsintomulti-factoryieldmodels(e.g.,AngandPiazzesi2003;Diebold,Rudebusch,andAruoba2006)orbybuild-ingconsumption-basedassetpricingmodelsthatestablishastructuralrelationshipbetweenth
5、etermstructure,consumption,andinflation(e.g.,PiazzesiandSchneider2007;RudebuschandSwanson2012).Thelessonfromthesestudiesisthattherearestronglinkagesbetweentheslopeandmacroeconomicdynamics.However,impor-tantquestionsremainunanswered.Inparticular,whatarethefun
6、damentalsourcesofmovementsintheslope?Dothesefundamentalslooklikemacroeconomicshocksorshouldweassociatethemwithshocksarisingindependentlyinthefinancialsec-tor?Cantheidentifiedshockexplainthewell-documentedlinkagesbetweentheslopeandmacroeconomicvariables?Thisp
7、aperprovidesanswerstothesequestions.Weapplyanovelstatisticaliden-tificationstrategytoshowthat50percentormoreofallunpredictablemovementsintheslopeoveraten-yearforecasthorizonareduetonewsshocksaboutfuturetotalfactorproductivity(TFP).Akeydriverofthisresultisthe
8、endogenousresponseofmonetarypolicy.Afterapositivenewsshock,theFederalFundsrate,andwithitthe*Kurmann:FederalReserveBoard,20thandCSt.NW,Mailstop77,Washington,DC20551(e-mail:andre.kurmann@frb.gov);
