Missing Events in Event Studies: Identifying the Effects of Partially-Measured News Surprises / Refet S. Gürkaynak, Burçin Kısacıkoğlu, Jonathan H. Wright.

Format:

Book

Author/Creator:

Gürkaynak, Refet S.

Contributor:

National Bureau of Economic Research.

Kısacıkoğlu, Burçin.

Wright, Jonathan H.

Series:

Working Paper Series (National Bureau of Economic Research) no. w25016.

NBER working paper series no. w25016

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Other Title:

Missing Events in Event Studies

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2018.

Summary:

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.

Notes:

Print version record

September 2018.