Missing Events in Event Studies: Identifying the Effects of Partially Measured News Surprises

Refet S. Gürkaynak, Burçin Kısacıkoğlu and Jonathan Wright
Authors registered in the RePEc Author Service: Refet S. Gürkaynak

American Economic Review, 2020, vol. 110, issue 12, 3871-3912

Abstract: Macroeconomic news announcements are elaborate and multi-dimensional. We consider a framework in which jumps in asset prices around announcements reflect both the response to observed surprises in headline numbers and to latent factors, reflecting other news in the release. Non-headline news, for which there are no expectations surveys, is unobservable to the econometrician but nonetheless elicits a market response. We estimate the model by the Kalman filter, which efficiently combines OLS and heteroskedasticity-based event study estimators in one step. With the inclusion of a single latent surprise factor, essentially all yield curve variance in event windows are explained by news.

JEL-codes: C51 E43 E52 G12 G14 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (24)

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Related works:
Working Paper: Missing Events in Event Studies: Identifying the Effects of Partially-Measured News Surprises (2018)
Working Paper: Missing Events in Event Studies: Identifying the Effects of Partially-Measured News Surprises (2018)
Working Paper: Missing Events in Event Studies: Identifying the Effects of Partially-Measured News Surprises (2018)
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DOI: 10.1257/aer.20181470

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