| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w25016 |
| 来源ID | Working Paper 25016 |
| Missing Events in Event Studies: Identifying the Effects of Partially-Measured News Surprises | |
| Refet S. Gürkaynak; Burçin Kısacıkoğlu; Jonathan H. Wright | |
| 发表日期 | 2018-09-10 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Macroeconomics ; Money and Interest Rates ; Monetary Policy ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w25016 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/582690 |
| 推荐引用方式 GB/T 7714 | Refet S. Gürkaynak,Burçin Kısacıkoğlu,Jonathan H. Wright. Missing Events in Event Studies: Identifying the Effects of Partially-Measured News Surprises. 2018. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w25016.pdf（514KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
