Identification and inference using event studies

Date
2013
Authors
Gürkaynak, R. S.
Wright, J. H.
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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
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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.

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Published Version (Please cite this version)