Analysis of Macroeconomic Events Impact Using the Event Study Methodology

Keywords: event study , macroeconomic events , high frequency data

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Authors:
  • Radu Lupu, Affiliation: Institute for Economic Forecasting, Romanian Academy, Bucharest, Romania;
  • Alexandra Mateescu, Affiliation: Institute for Economic Forecasting, Romanian Academy, Bucharest, Romania;
  • Mihai Mitrache, Affiliation: Institute for Economic Forecasting, Romanian Academy, Bucharest, Romania.
Pages:  3 : 13
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.

JEL classification:  G14, E44

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