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News Shocks and the Slope of the Term Structure of Interest Rates

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Table 1: Calibrated parameters
Figure 1: Variance Decomposition of First Slope Shock 0 5 10 15 20 25 30 35 4000.20.40.60.81spread  0 5 10 15 20 25 30 35 4000.20.40.60.81  TFP   0 5 10 15 20 25 30 35 4000.20.40.60.81    c   0 5 10 15 20 25 30 35 4000.20.40.60.81GDPinf  0 5 10 15 20 25 30
Figure 2: Impulse Response to First Slope Shock 0 5 10 15 20 25 30 35 40−0.500.51spread  0 5 10 15 20 25 30 35 40−0.500.51  TFP   0 5 10 15 20 25 30 35 40−0.500.511.5    c   0 5 10 15 20 25 30 35 40−0.500.5GDPinf  0 5 10 15 20 25 30 35 40−1−0.500.5  ffr
Figure 3: Impulse Response to Contemporaneous TFP Shock 0 5 10 15 20 25 30 35 40-0.500.51  TFP 0 5 10 15 20 25 30 35 40-0.500.511.5    c 0 5 10 15 20 25 30 35 40-0.500.5GDPinf 0 5 10 15 20 25 30 35 40-1-0.500.5  ffr 0 5 10 15 20 25 30 35 40-0.500.51spread
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