Bank of Lithuania
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In the podcast the researcher discusses one of his recent papers, identifying a yield curve news shock. Yield curve news shock is an innovation that does not move yields contemporaneously but explains a maximum share of the forecast error variance of yields over the next year. The discussion evolves around this shock’s contribution to the variation of Treasury yields for several years, its relationship to the macroeconomic and financial variables and its similarity to other shocks in the empirical literature.