Prepared for the 2012 Money, Macro, and Finance conference in Dublin. We are grateful to conference participants and Rob Shimer for very helpful comments. All errors are our sole responsibility.
Identification and Inference Using Event Studies
Article first published online: 12 AUG 2013
© 2013 John Wiley & Sons Ltd and The University of Manchester
The Manchester School
Special Issue: Proceedings of the Money, Macroeconomics and Finance Research Group, 2012
Volume 81, Issue Supplement S1, pages 48–65, September 2013
How to Cite
Gürkaynak, R. S. and Wright, J. H. (2013), Identification and Inference Using Event Studies. The Manchester School, 81: 48–65. doi: 10.1111/manc.12020
- Issue published online: 12 AUG 2013
- Article first published online: 12 AUG 2013
- Manuscript Revised: 22 APR 2013
- Manuscript Received: 12 MAR 2013
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.