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Analysis of Macroeconomic Events Impact Using the Event Study Methodology

Author

Listed:
  • Radu LUPU

    (Romanian Academy, Institute for Economic Forecasting)

  • Alexandra MATEESCU

    (Romanian Academy, Institute for Economic Forecasting)

  • Mihai MITRACHE

    (Romanian Academy, Institute for Economic Forecasting)

Abstract

This article examines the impact of the most important macroeconomic events form Eurozone on the returns of financial assets such as exchange rates, stock market indexes, swap and futures contracts. By applying the event study methodology, we computed the abnormal square returns. Results have demonstrated that events with the highest impact were macroeconomic indicator announcements like consumer price index, unemployment rate and interest rate communication by the European Central Bank.

Suggested Citation

  • Radu LUPU & Alexandra MATEESCU & Mihai MITRACHE, 2017. "Analysis of Macroeconomic Events Impact Using the Event Study Methodology," Hyperion Economic Journal, Faculty of Economic Sciences, Hyperion University of Bucharest, Romania, vol. 5(2), pages 3-13, June.
    • Handle: RePEc:hyp:journl:v:5:y:2017:i:2:p:3-13
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    References listed on IDEAS

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    More about this item

    Keywords

    event study; macroeconomic events; high frequency data;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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