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Identification and Inference Using Event Studies
Author(s) -
Gürkaynak Refet S.,
Wright Jonathan H.
Publication year - 2013
Publication title -
the manchester school
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.361
H-Index - 42
eISSN - 1467-9957
pISSN - 1463-6786
DOI - 10.1111/manc.12020
Subject(s) - identification (biology) , economics , event study , market liquidity , financial market , inference , event (particle physics) , unemployment , financial economics , finance , macroeconomics , computer science , artificial intelligence , paleontology , context (archaeology) , botany , physics , quantum mechanics , biology
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 F ed C hairman G reenspan's statement that payrolls are more informative.