Missing events in event studies: Identifying the effects of partially measured news surprises
By: Gürkaynak R.S., Kisacikoglu, B. and Wright, J.H
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Material type: 
BookPublisher: The American Economic Review Description: 110(12), Dec, 2020: p.3871-3912.Subject(s): Interest rates, Determination, Term structure
In:
The American Economic ReviewSummary: 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
| Item type | Current location | Call number | Vol info | Status | Date due | Barcode |
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Articles
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Indian Institute of Public Administration | 110(12), Dec, 2020: p.3871-3912 | Available | AR124906 |
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
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