G2TT
来源类型Discussion paper
规范类型论文
来源IDDP13153
DP13153 Missing Events in Event Studies: Identifying the Effects of Partially-Measured News Surprises
Refet Gürkaynak; Burçin Kısacıkoğlu; Jonathan Wright
发表日期2018-09-03
出版年2018
语种英语
摘要Macroeconomic news announcements are elaborate and multi-dimensional. We consider a framework in which jumps in asset prices around macroeconomic news and monetary policy announcements reflect both the response to observed surprises in headline numbers and latent factors, reflecting other details of the release. The details of the non-headline news, for which there are no expectations surveys, are unobservable to the econometrician, but nonetheless elicit a market response. We estimate the model by the Kalman filter, which essentially combines OLS- and heteroskedasticity-based event study estimators in one step, showing that those methods are better thought of as complements rather than substitutes. The inclusion of a single latent factor greatly improves our ability to explain asset price movements around announcements.
主题Financial Economics ; Monetary Economics and Fluctuations
关键词Event study Bond markets High-frequency data Identification
URLhttps://cepr.org/publications/dp13153-0
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/541956
推荐引用方式
GB/T 7714
Refet Gürkaynak,Burçin Kısacıkoğlu,Jonathan Wright. DP13153 Missing Events in Event Studies: Identifying the Effects of Partially-Measured News Surprises. 2018.
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