Testing the dimensionality of policy shocks
This paper provides a nonparametric test for deciding the dimensionality of a policy shock as manifest in the abnormal change in asset returns' stochastic covariance matrix, following the release of a macroeconomic announcement. We use high-frequency data in local windows before and after the e...
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Main Authors: | , , |
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Format: | text |
Language: | English |
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Institutional Knowledge at Singapore Management University
2022
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Subjects: | |
Online Access: | https://ink.library.smu.edu.sg/soe_research/2563 https://ink.library.smu.edu.sg/context/soe_research/article/3562/viewcontent/Testing_the_Dimensionality_of_Policy_Shocks.pdf |
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Institution: | Singapore Management University |
Language: | English |