The predictability of monetary policy surprises based on past, public information has been interpreted in two related yet fundamentally different ways. The "Fed information effect" posits that it arises due to markets updating their view of the economy, based on signals implicitly revealed by...

This paper by Blueprint Director Joshua Angrist, Alberto Abadie, Brigham Frandsen, and Jörn-Steffen Pischke surveys econometric innovations related to differences-in-differences estimators and to event-study models with time-varying treatment effects. The researchers discussion highlights...

Can government agencies in sanctioning countries deter their companies from violating laws that limit business transactions with sanctioned countries? To understand this issue, we study the Office of Foreign Assets Control (OFAC), which is the primary enforcer of sanctions in the United States....

This research studies the impact of macroeconomic announcement surprises on daily U.S. Treasury excess returns during the heart of Alan Greenspan's tenure as Federal Reserve Chair, addressing the possible limitations of standard static regression (SSR) models, which may suffer from omitted...

Macroeconomic data releases are very important benchmarks of the economy. Therefore, the vast majority of financial market analysts and traders closely monitor both the projected estimates and, the intuitively more impactful actual values. In this research, we focus on the uncertainty associated...

We ask whether ECB communication outside monetary policy meeting days moves the EUR/USD exchange rate within minutes. We build an event study on one-minute prices and a Reuters-based corpus of 1,868 statements coded as dovish, neutral, or hawkish from 2008 to 2016. Identification combines strict...

This paper proposes a mixed-frequency stochastic volatility model for intraday returns that captures fast and slow level shifts in the volatility level induced by news from both low-frequency variables and scheduled announcements. A MIDAS component describes slow-moving changes in volatility...

We examine how macroeconomic news affects firms’ extensive-margin price-setting plans in a survey that we rolled out with randomized daily invitations. These plans predict future realized inflation. Using a high-frequency event study framework, we find that inflation and employment surprises...

This study uses Baidu News data and introduces a novel proxy for the rate of information flow to examine its relationship with return volatility in Chinese commodity futures and to test two competing hypotheses. We examine the contemporaneous relationships using correlation coefficient analysis,...

We set up an experiment to test whether players use a payoff-irrelevant public message (BLUE or RED) as a possible sunspot to coordinate in a Battle of the Sexes game in which the strategies are labelled X and Y. We find that players do not play a sunspot equilibrium, instead learn to coordinate...