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      • Department of Economics
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      Identification and inference using event studies

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      Author
      Gürkaynak, R. S.
      Wright, J. H.
      Date
      2013
      Source Title
      The Manchester School
      Print ISSN
      1463-6786
      Electronic ISSN
      1467-9957
      Publisher
      Wiley-Blackwell Publishing Ltd.
      Volume
      81
      Issue
      Suppl. 1
      Pages
      48 - 65
      Language
      English
      Type
      Article
      Item Usage Stats
      127
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      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. Copyright © 2013.
      Permalink
      http://hdl.handle.net/11693/20839
      Published Version (Please cite this version)
      http://dx.doi.org/10.1111/manc.12020
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      • Department of Economics 649
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