DP9388 Identification and Inference Using Event Studies

Author(s): Refet S. Gürkaynak, Jonathan H. Wright
Publication Date: March 2013
Keyword(s): Bond Markets, Event Study, High-Frequency Data, Identification, TAF
JEL(s): E43, E52, E58, G12, G14
Programme Areas: International Macroeconomics, Financial Economics
Link to this Page: cepr.org/active/publications/discussion_papers/dp.php?dpno=9388

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.