Gürkaynak R.S., Kisacikoglu, B. and Wright, J.H.
Missing events in event studies: Identifying the effects of partially measured news surprises - The American Economic Review - 110(12), Dec, 2020: p.3871-3912
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. – Reproduced
Interest rates, Determination, Term structure
Missing events in event studies: Identifying the effects of partially measured news surprises - The American Economic Review - 110(12), Dec, 2020: p.3871-3912
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. – Reproduced
Interest rates, Determination, Term structure