News Shocks and the Slope of the Term Structure of Interest Rates
采用统计方法识别出解释利率期限结构斜率大部分波动的冲击，发现该冲击本质上是关于未来全要素生产率的新闻冲击，为斜率与宏观经济基本面的关系提供了新解释。
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.