News Shocks and the Slope of the Term Structure of Interest Rates: Reply
回复Cascaldi-Garcia的评论，指出其混淆正负新闻冲击，通过修正代码符号后重新确认了原研究的结论。
This reply to Cascaldi-Garcia's (2017) comment argues that by using the original code of Kurmann and Otrok (2013) with new data on utilization-adjusted TFP, Cascaldi-Garcia (2017) confounds positive and negative news shocks. With a small modification to the code—how a news shock is signed as positive—we obtain news shock responses consistent with Sims (2016) and Kurmann and Sims (2017) and largely reestablish the results of Kurmann and Otrok (2013).