| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP9388 |
| DP9388 Identification and Inference Using Event Studies | |
| Jonathan Wright; Refet Gürkaynak | |
| 发表日期 | 2013-03-17 |
| 出版年 | 2013 |
| 语种 | 英语 |
| 摘要 | We discuss the use of event studies in macroeconomics and finance, arguing that many important macro-finance questions can only be answered using event studies with high-frequency financial market data. We provide a broad picture of the use of event studies, along with their limitations. As examples, we study financial markets' responses to specific events that help address questions such as the slope of bond demand functions and the efficacy of central bank liquidity programs. We also study the change in financial market responses to news in payrolls and unemployment in response to former Fed Chairman Greenspan's statement that payrolls are more informative. |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | Bond markets Event study High-frequency data Identification Taf |
| URL | https://cepr.org/publications/dp9388 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/538224 |
| 推荐引用方式 GB/T 7714 | Jonathan Wright,Refet Gürkaynak. DP9388 Identification and Inference Using Event Studies. 2013. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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