A Structural Approach to High-Frequency Event Studies: The Fed and Markets as Case History
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We develop a methodology to integrate a high-frequency event study into a macro-finance model and structural estimation. The methodology is applied to Federal Reserve announcements in a model where investor beliefs about the economic state and/or regime change in future policy can jump in response
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美国国家经济研究局创建时间：
2022-05-01
