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

• 成果类型: Article
• 署名作者: Gurkaynak, Refet S.; Kisacikoglu, Burcin; Wright, Jonathan H.
• 署名单位: Ihsan Dogramaci Bilkent University; Center for Economic & Policy Research (CEPR); Leibniz Association; Ifo Institut; Johns Hopkins University; National Bureau of Economic Research
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.20181470
• 发表日期: 2020
• 页码: 3871-3912
• 关键词: monetary-policy surprises; federal-reserve; interest-rates; stock-prices; MARKETS; bond

摘要

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.