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

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

No 13153, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: Macroeconomic news announcements are elaborate and multi-dimensional. We consider a framework in which jumps in asset prices around macroeconomic news and monetary policy announcements reflect both the response to observed surprises in headline numbers and latent factors, reflecting other details of the release. The details of the non-headline news, for which there are no expectations surveys, are unobservable to the econometrician, but nonetheless elicit a market response. We estimate the model by the Kalman filter, which essentially combines OLS- and heteroskedasticity-based event study estimators in one step, showing that those methods are better thought of as complements rather than substitutes. The inclusion of a single latent factor greatly improves our ability to explain asset price movements around announcements.

Keywords: Event study; Bond markets; High-frequency data; Identification (search for similar items in EconPapers)
JEL-codes: E43 E52 E58 G12 G14 (search for similar items in EconPapers)
Date: 2018-09
New Economics Papers: this item is included in nep-cba and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (16)

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Related works:
Journal Article: Missing Events in Event Studies: Identifying the Effects of Partially Measured News Surprises (2020)
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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