Announcements

ECONOMICS SEMINAR -Refet Gürkaynak

Author: CASE
Time: 16:00
Location: CASE 127

KOC UNIVERSITY
FACULTY OF ADMINISTRATIVE SCIENCES AND ECONOMICS
ECONOMICS SEMINAR
Wednesday, 15 November ,2017


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Speaker  : Refet Gürkaynak -Bilkent University

Title        : "Identifying the Effects of Partially-Measured News Surprises"

Time       : 16:00-17:30

Place      : CASE 127 

Date       : 15 November 2017

Abstract: Macroeconomic news announcements are elaborate and multi-dimensional. We consider a model in which jumps in asset prices around macroeconomic news announcements and monetary policy decisions reáect both the response to observed surprises in headline numbers and latent factors, incorporating the details in the release. The details of the non-headline news, for which there are no expectations surveys, are unobservable to the econometrician, but nonetheless elicit a market response. We estimate the model by the Kalman Filter, which essentially combines OLS- and heteroskedasticity-based event study estimators in one step, showing that those methods are better thought of as complements rather than substitutes. The inclusion of a single latent factor greatly increases the fit to the asset price movements bracketing macroeconomic and monetary policy announcements. The latent factor is similar to the level factor that dominates yield curve movements and helps relate level changes to macroeconomic fundamentals.