Identification and Inference Using Event Studies

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

No 9388, CEPR Discussion Papers from C.E.P.R. Discussion Papers

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.

Keywords: Bond markets; Event study; High-frequency data; Identification; Taf (search for similar items in EconPapers)
JEL-codes: E43 E52 E58 G12 G14 (search for similar items in EconPapers)
Date: 2013-03
New Economics Papers: this item is included in nep-mac and nep-mst
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Citations: View citations in EconPapers (66)

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