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Discussion Paper Details

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Title: Identification and Inference Using Event Studies

Author(s): Refet S. Gürkaynak and Jonathan H. Wright

Publication Date: March 2013

Keyword(s): Bond Markets, Event Study, High-Frequency Data, Identification and TAF

Programme Area(s): Financial Economics and International Macroeconomics

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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Bibliographic Reference

Gürkaynak, R and Wright, J. 2013. 'Identification and Inference Using Event Studies'. London, Centre for Economic Policy Research. https://cepr.org/active/publications/discussion_papers/dp.php?dpno=9388