Missing Events in Event Studies: Identifying the Effects of Partially-Measured News Surprises

52 Pages Posted: 31 Oct 2018

See all articles by Refet S. Gurkaynak

Refet S. Gurkaynak

Bilkent University - Department of Economics

Burçin Kısacıkoğlu

Bilkent University - Department of Economics

Jonathan H. Wright

Johns Hopkins University - Department of Economics

Multiple version iconThere are 3 versions of this paper

Date Written: 2018

Abstract

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 heteroscedasticity-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.

Keywords: event study, bondmarkets, high-frequency data, identification

JEL Classification: E430, E520, E580, G120, G140

Suggested Citation

Gurkaynak, Refet S. and Kısacıkoğlu, Burçin and Wright, Jonathan H., Missing Events in Event Studies: Identifying the Effects of Partially-Measured News Surprises (2018). CESifo Working Paper No. 7229. Available at SSRN: https://ssrn.com/abstract=3275403

Refet S. Gurkaynak (Contact Author)

Bilkent University - Department of Economics ( email )

06533 Ankara
Turkey

Burçin Kısacıkoğlu

Bilkent University - Department of Economics

Bilkent University FEASS
Department of Economics
Bilkent, 06800
Turkey

Jonathan H. Wright

Johns Hopkins University - Department of Economics ( email )

3400 Charles Street
Baltimore, MD 21218-2685
United States

Register to save articles to
your library

Register

Paper statistics

Downloads
23
Abstract Views
120
PlumX Metrics