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Identification and Inference Using Event Studies

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  • Gürkaynak, Refet S.
  • Wright, Jonathan

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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Paper provided by C.E.P.R. Discussion Papers in its series CEPR Discussion Papers with number 9388.

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Date of creation: Mar 2013
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Handle: RePEc:cpr:ceprdp:9388

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Keywords: Bond Markets; Event Study; High-Frequency Data; Identification; TAF;

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Cited by:
  1. Linda S. Goldberg & Christian Grisse, 2013. "Time Variation in Asset Price Responses to Macro Announcements," NBER Working Papers 19523, National Bureau of Economic Research, Inc.
  2. Ozdagli, Ali K., 2013. "Not so fast: high-frequency financial data for macroeconomic event studies," Working Papers 13-19, Federal Reserve Bank of Boston.

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