| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13153 |
| 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 |
| URL | https://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. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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