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News shocks: the impact on the term structure
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TheaimofthisworkprojectistogetbettersenseofwhatmovestheTermStructureand,consequently,theslopeoftheYieldCurve.Todoso,wefirstpresentthemostcommoneconomictheoriesthatattemptatexplainingwhatdrivesinvestors’expectationsandtheshapeoftheYieldCurve.FollowingtheresearchofKurmannandOtrok(2013),wethenanalysetheimpactofanewsshockonbothmacroeconomicandmonetarypolicyvariablesusingaVectorAutoregression(VAR)identificationmodelandtheimpulseresponsefunctions(IRFs)oftheaforementionedvariablesintheVAR.Afterhavingcarriedoutthisanalysis,thefinallessonis:newsshockaboutfuturegrowthofTotalFactorProductivity(TFP)determinesaconstantdropinInflationaswellasFederalFundRateswhile,atthesametime,increasingtheslopeoftheTermStructure,andtheseresultscouldbeusedtoforecastapossiblefuturescenarioforthe Euro Area.
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Term Structure Expectation Hypothesis Vector Autoregression Total Factor Productivity news shock