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IDENTIFICATION AND INFERENCE USING EVENT STUDIES

机译:使用事件研究进行识别和推断

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摘要

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.
机译:我们讨论了事件研究在宏观经济学和金融学中的应用,认为许多重要的宏观金融问题只能通过使用具有高频金融市场数据的事件研究来回答。我们提供了事件研究及其局限性的广泛使用情况。例如,我们研究金融市场对特定事件的反应,这些事件有助于解决诸如债券需求函数的斜率和央行流动性计划的有效性之类的问题。我们还研究了金融市场对薪资和失业新闻的反应的变化,以回应美联储前主席格林斯潘关于薪资更具信息性的说法。

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