Identification and Inference Using Event Studies

31 Pages Posted: 19 Mar 2013

See all articles by Refet S. Gürkaynak

Refet S. Gürkaynak

Bilkent University - Department of Economics

Jonathan H. Wright

Johns Hopkins University - Department of Economics

Date Written: March 2013

Abstract

We discuss the use of event studies in macroeconomics and finance, arguing that many important macro-finance questions can only be answered using event studies with high-frequency financial market data. We provide a broad picture of the use of event studies, along with their limitations. As examples, we study financial markets' responses to specific events that help address questions such as the slope of bond demand functions and the efficacy of central bank liquidity programs. We also study the change in financial market responses to news in payrolls and unemployment in response to former Fed Chairman Greenspan's statement that payrolls are more informative.

Keywords: Bond Markets, Event Study, High-Frequency Data, Identification, TAF

JEL Classification: E43, E52, E58, G12, G14

Suggested Citation

Gürkaynak, Refet S. and Wright, Jonathan H., Identification and Inference Using Event Studies (March 2013). CEPR Discussion Paper No. DP9388, Available at SSRN: https://ssrn.com/abstract=2235486

Refet S. Gürkaynak (Contact Author)

Bilkent University - Department of Economics ( email )

06533 Ankara
Turkey

Jonathan H. Wright

Johns Hopkins University - Department of Economics ( email )

3400 Charles Street
Baltimore, MD 21218-2685
United States

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