Testing the dimensionality of policy shocks

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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Bibliographic Details
Main Authors: LI, Jia, TODOROV, Viktor, ZHANG, Qiushi.
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2022
Subjects:
Bootstrap
High-frequency data
Macroeconomic announcement
Rank test
Structural identification
Yield curve
Econometrics
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

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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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