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Identification and Inference Using Event Studies

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  • Refet S. Gürkaynak
  • Jonathan H. Wright

Abstract

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.

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File URL: http://hdl.handle.net/10.1111/manc.12020
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Bibliographic Info

Article provided by University of Manchester in its journal The Manchester School.

Volume (Year): 81 (2013)
Issue (Month): (09)
Pages: 48-65

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Handle: RePEc:bla:manchs:v:81:y:2013:i::p:48-65

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Cited by:
  1. Ozdagli, Ali K., 2013. "Not so fast: high-frequency financial data for macroeconomic event studies," Working Papers 13-19, Federal Reserve Bank of Boston.
  2. Linda S. Goldberg & Christian Grisse, 2013. "Time variation in asset price responses to macro announcements," Staff Reports 626, Federal Reserve Bank of New York.

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