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Missing Events in Event Studies: Identifying the Effects of Partially Measured News Surprises
Citations
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Cited by:
- Moench, Emanuel & Soofi-Siavash, Soroosh, 2022.
"What moves treasury yields?,"
Journal of Financial Economics, Elsevier, vol. 146(3), pages 1016-1043.
- Soroosh Soofi-Siavash & Emanuel Moench, 2021. "What Moves Treasury Yields?," Bank of Lithuania Working Paper Series 88, Bank of Lithuania.
- Moench, Emanuel & Soofi Siavash, Soroosh, 2022. "What Moves Treasury Yields?," CEPR Discussion Papers 15978, C.E.P.R. Discussion Papers.
- Ricardo Nunes & Ali Ozdagli & Jenny Tang, 2022.
"Interest Rate Surprises: A Tale of Two Shocks,"
Working Papers
22-2, Federal Reserve Bank of Boston.
- Ricardo Nunes & Ali Ozdagli & Jenny Tang, 2022. "Interest Rate Surprises: A Tale of Two Shocks," Working Papers 2213, Federal Reserve Bank of Dallas.
- Ricardo Nunes & Ali Ozdagli & Jenny Tang, 2023. "Interest Rate Surprises: A Tale of Two Shocks," Discussion Papers 2320, Centre for Macroeconomics (CFM).
- Ricardo Nunes & Ali Ozdagli & Jenny Tang, 2023. "Interest Rate Surprises: A Tale of Two Shocks," School of Economics Discussion Papers 0923, School of Economics, University of Surrey.
- Fatum, Rasmus & Hattori, Takahiro & Yamamoto, Yohei, 2023.
"Reserves and risk: Evidence from China,"
Journal of International Money and Finance, Elsevier, vol. 134(C).
- Rasmus Fatum & Takahiro Hattori & Yohei Yamamoto, 2020. "Reserves and Risk: Evidence from China," Globalization Institute Working Papers 387, Federal Reserve Bank of Dallas.
- Fatum, Rasmus & Hattori, Takahiro & Yamamoto, Yohei, 2020. "Reserves and Risk : Evidence from China," Discussion paper series HIAS-E-98, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
- Rasmus Fatum & Takahiro Hattori & Yohei Yamamoto, 2020. "Reserves and Risk: Evidence from China," GRU Working Paper Series GRU_2020_013, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
- Miescu, Mirela & Rossi, Raffaele, 2021.
"COVID-19-induced shocks and uncertainty,"
European Economic Review, Elsevier, vol. 139(C).
- Mirela Miescu & Raffaele Rossi, 2020. "COVID-19-Induced Shocks and Uncertainty," Economics Discussion Paper Series 2013, Economics, The University of Manchester, revised Aug 2021.
- Christoph E. Boehm & Niklas Kroner, 2024.
"Monetary Policy without Moving Interest Rates: The Fed Non-Yield Shock,"
International Finance Discussion Papers
1392, Board of Governors of the Federal Reserve System (U.S.).
- Christoph Boehm & T. Niklas Kroner, 2024. "Monetary Policy without Moving Interest Rates: The Fed Non-Yield Shock," NBER Working Papers 32636, National Bureau of Economic Research, Inc.
- Kerssenfischer, Mark & Helmus, Caspar, 2024. "Outages in sovereign bond markets," Working Paper Series 2944, European Central Bank.
- Christian Conrad & Julius Theodor Schoelkopf & Nikoleta Tushteva, 2023.
"Long-Term Volatility Shapes the Stock Market’s Sensitivity to News,"
Working Paper series
23-16, Rimini Centre for Economic Analysis.
- Conrad, Christian & Schoelkopf, Julius Theodor & Tushteva, Nikoleta, 2023. "Long-Term Volatility Shapes the Stock Market’s Sensitivity to News," Working Papers 0739, University of Heidelberg, Department of Economics.
- Andrade, Philippe & Ferroni, Filippo, 2021.
"Delphic and odyssean monetary policy shocks: Evidence from the euro area,"
Journal of Monetary Economics, Elsevier, vol. 117(C), pages 816-832.
- Philippe Andrade & Filippo Ferroni, 2016. "Delphic and Odyssean monetary policy shocks: Evidence from the euro-area," School of Economics Discussion Papers 1216, School of Economics, University of Surrey.
- Philippe Andrade & Filippo Ferroni, 2019. "Delphic and Odyssean Monetary Policy Shocks: Evidence from the Euro Area," Working Papers 19-17, Federal Reserve Bank of Boston.
- Philippe Andrade & Filippo Ferroni, 2018. "Delphic and Odyssean Monetary Policy Shocks: Evidence from the Euro Area," Working Paper Series WP-2018-12, Federal Reserve Bank of Chicago.
- Filippo Ferroni, 2018. "Delphic and Odyssean monetary policy shocks: Evidence from the euro-area," 2018 Meeting Papers 60, Society for Economic Dynamics.
- Hansen, Stephen & McMahon, Michael & Tong, Matthew, 2019.
"The long-run information effect of central bank communication,"
Journal of Monetary Economics, Elsevier, vol. 108(C), pages 185-202.
- Hansen, Stephen & McMahon, Michael & Tong, Matthew, 2019. "The long-run information effect of central bank communication," Bank of England working papers 777, Bank of England.
- McMahon, Michael & , & Tong, Matthew, 2019. "The Long-Run Information Effect of Central Bank Communication," CEPR Discussion Papers 13438, C.E.P.R. Discussion Papers.
- Hansen, Stephen & McMahon, Michael & Tong, Matthew, 2020. "The long-run information effect of central bank communication," Working Paper Series 2363, European Central Bank.
- Sun, Rongrong, 2020.
"Monetary policy announcements and market interest rates’ response: Evidence from China,"
Journal of Banking & Finance, Elsevier, vol. 113(C).
- Sun, Rongrong, 2018. "Monetary Policy Announcements and Market Interest Rates’ Response: Evidence from China," MPRA Paper 87703, University Library of Munich, Germany.
- Rongrong Sun, 2018. "Monetary Policy Announcements and Market Interest Rates Response: Evidence from China," CFDS Discussion Paper Series 2018/5, Center for Financial Development and Stability at Henan University, Kaifeng, Henan, China.
- Christoph E. Boehm & T. Niklas Kroner, 2020.
"The US, Economic News, and the Global Financial Cycle,"
Working Papers
677, Research Seminar in International Economics, University of Michigan.
- Christoph E. Boehm & T. Niklas Kroner, 2023. "The US, Economic News, and the Global Financial Cycle," NBER Working Papers 30994, National Bureau of Economic Research, Inc.
- Christoph E. Boehm & Niklas Kroner, 2023. "The US, Economic News, and the Global Financial Cycle," International Finance Discussion Papers 1371, Board of Governors of the Federal Reserve System (U.S.).
- Ferreira, Leonardo N., 2022.
"Forward guidance matters: Disentangling monetary policy shocks,"
Journal of Macroeconomics, Elsevier, vol. 73(C).
- Leonardo N. Ferreira, 2020. "Forward Guidance Matters: disentangling monetary policy shocks," Working Papers Series 530, Central Bank of Brazil, Research Department.
- Leonardo N. Ferreira, 2020. "Forward Guidance Matters: Disentangling Monetary Policy Shocks," Working Papers 912, Queen Mary University of London, School of Economics and Finance.
- Luca Vincenzo Ballestra & Enzo D’Innocenzo & Andrea Guizzardi, 2024. "Score-Driven Modeling with Jumps: An Application to S&P500 Returns and Options," Journal of Financial Econometrics, Oxford University Press, vol. 22(2), pages 375-406.
- Cieslak, Anna & Pang, Hao, 2020. "Common shocks in stocks and bonds," CEPR Discussion Papers 14708, C.E.P.R. Discussion Papers.
- Arbatli-Saxegaard, Elif & Furceri, Davide & Gonzalez Dominguez, Pablo & Ostry, Jonathan & Peiris, Shanaka, 2022. "Spillovers from US Monetary Shocks: Role of Policy Drivers and Cyclical Conditions," ADBI Working Papers 1317, Asian Development Bank Institute.
- Jeon, Yoontae & McCurdy, Thomas H. & Zhao, Xiaofei, 2022. "News as sources of jumps in stock returns: Evidence from 21 million news articles for 9000 companies," Journal of Financial Economics, Elsevier, vol. 145(2), pages 1-17.
- Pallotti, Filippo & Paz-Pardo, Gonzalo & Slacalek, Jiri & Tristani, Oreste & Violante, Giovanni L., 2023. "Who bears the costs of inflation? Euro area households and the 2021–2022 shock," Working Paper Series 2877, European Central Bank.
- Canetg, Fabio & Kaufmann, Daniel, 2022. "Overnight rate and signalling effects of central bank bills," European Economic Review, Elsevier, vol. 143(C).
- Luca Brugnolini & Antonello D’Agostino & Alex Tagliabracci, 2021. "Is Anything Predictable in Market-Based Surprises?," Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti, Springer;Società Italiana degli Economisti (Italian Economic Association), vol. 7(3), pages 387-410, November.
- Ostapenko, Nataliia, 2020.
"Central Bank Communication: Information and Policy shocks,"
MPRA Paper
101278, University Library of Munich, Germany, revised 21 Jun 2020.
- Ostapenko, Nataliia, 2020. "Central Bank Communication: Information and Policy shocks," MPRA Paper 104501, University Library of Munich, Germany, revised 21 Jun 2020.
- Kerssenfischer, Mark & Schmeling, Maik, 2024.
"What moves markets?,"
Journal of Monetary Economics, Elsevier, vol. 145(C).
- Kerssenfischer, Mark & Schmeling, Maik, 2022. "What moves markets?," Discussion Papers 16/2022, Deutsche Bundesbank.
- Cieslak, Anna & Pang, Hao, 2021. "Common shocks in stocks and bonds," Journal of Financial Economics, Elsevier, vol. 142(2), pages 880-904.
- Griller, Stefan & Huber, Florian & Pfarrhofer, Michael, 2024. "Financial markets and legal challenges to unconventional monetary policy," European Economic Review, Elsevier, vol. 163(C).
- Xu Zhang, 2021. "A New Measure of Monetary Policy Shocks," Staff Working Papers 21-29, Bank of Canada.
- Bruno Feunou & James Kyeong & Raisa Leiderman, 2018. "Markets Look Beyond the Headline," Staff Analytical Notes 2018-37, Bank of Canada.
- Daniel J. Lewis, 2019. "Announcement-Specific Decompositions of Unconventional Monetary Policy Shocks and Their Macroeconomic Effects," Staff Reports 891, Federal Reserve Bank of New York.
- Bingxin Ann Xing & Bruno Feunou & Morvan Nongni-Donfack & Rodrigo Sekkel, 2024. "U.S. Macroeconomic News and Low-Frequency Changes in Small Open Economies’ Bond Yields," Staff Working Papers 24-12, Bank of Canada.