Identification and inference using event studies

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dc.citation.epage65en_US
dc.citation.issueNumberSuppl. 1en_US
dc.citation.spage48en_US
dc.citation.volumeNumber81en_US
dc.contributor.authorGürkaynak, R. S.en_US
dc.contributor.authorWright, J. H.en_US
dc.date.accessioned2016-02-08T09:36:17Z
dc.date.available2016-02-08T09:36:17Z
dc.date.issued2013en_US
dc.departmentDepartment of Economicsen_US
dc.description.abstractWe 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.en_US
dc.description.provenanceMade available in DSpace on 2016-02-08T09:36:17Z (GMT). No. of bitstreams: 1 bilkent-research-paper.pdf: 70227 bytes, checksum: 26e812c6f5156f83f0e77b261a471b5a (MD5) Previous issue date: 2013en
dc.identifier.doi10.1111/manc.12020en_US
dc.identifier.eissn1467-9957
dc.identifier.issn1463-6786
dc.identifier.urihttp://hdl.handle.net/11693/20839
dc.language.isoEnglishen_US
dc.publisherWiley-Blackwell Publishing Ltd.en_US
dc.relation.isversionofhttp://dx.doi.org/10.1111/manc.12020en_US
dc.source.titleThe Manchester Schoolen_US
dc.titleIdentification and inference using event studiesen_US
dc.typeArticleen_US

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