| 000 -LEADER |
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| fixed length control field |
01278nam a22001577a 4500 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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| fixed length control field |
210722b ||||| |||| 00| 0 eng d |
| 100 ## - MAIN ENTRY--PERSONAL NAME |
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| Personal name |
Gürkaynak R.S., Kisacikoglu, B. and Wright, J.H. |
| 245 ## - TITLE STATEMENT |
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| Title |
Missing events in event studies: Identifying the effects of partially measured news surprises |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) |
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| Place of publication, distribution, etc |
The American Economic Review |
| 300 ## - PHYSICAL DESCRIPTION |
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| Extent |
110(12), Dec, 2020: p.3871-3912 |
| 520 ## - SUMMARY, ETC. |
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| Summary, etc |
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 |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name as entry element |
Interest rates, Determination, Term structure |
| 9 (RLIN) |
27565 |
| 773 ## - HOST ITEM ENTRY |
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| Main entry heading |
The American Economic Review |
| 906 ## - LOCAL DATA ELEMENT F, LDF (RLIN) |
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| Subject DIP |
MONETARY POLICY |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
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| Item type |
Articles |
