• About
  • Policies
  • What is open access
  • Library
  • Contact
Advanced search
      View Item 
      •   BUIR Home
      • Scholarly Publications
      • Faculty of Economics, Administrative And Social Sciences
      • Department of Economics
      • View Item
      •   BUIR Home
      • Scholarly Publications
      • Faculty of Economics, Administrative And Social Sciences
      • Department of Economics
      • View Item
      JavaScript is disabled for your browser. Some features of this site may not work without it.

      Missing events in event studies: Identifying the effects of partially measured news surprises

      Thumbnail
      View / Download
      959.3 Kb
      Author(s)
      Gürkaynak, Refet S.
      Kısacıkoğlu, Burçin
      Wright, J. H.
      Date
      2020
      Source Title
      American Economic Review
      Print ISSN
      0002-8282
      Publisher
      American Economic Association
      Volume
      110
      Issue
      12
      Pages
      3871 - 3912
      Language
      English
      Type
      Article
      Item Usage Stats
      123
      views
      325
      downloads
      Abstract
      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 heteroscedasticity-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.
      Keywords
      Event study
      Bondmarkets
      High-frequency data
      Identification
      Permalink
      http://hdl.handle.net/11693/75404
      Published Version (Please cite this version)
      https://dx.doi.org/10.1257/AER.20181470
      Collections
      • Department of Economics 724
      Show full item record

      Browse

      All of BUIRCommunities & CollectionsTitlesAuthorsAdvisorsBy Issue DateKeywordsTypeDepartmentsCoursesThis CollectionTitlesAuthorsAdvisorsBy Issue DateKeywordsTypeDepartmentsCourses

      My Account

      Login

      Statistics

      View Usage StatisticsView Google Analytics Statistics

      Bilkent University

      If you have trouble accessing this page and need to request an alternate format, contact the site administrator. Phone: (312) 290 2976
      © Bilkent University - Library IT

      Contact Us | Send Feedback | Off-Campus Access | Admin | Privacy