Hello,
I would like to conduct a similar t-test to the one done in the following paper Ranaldo and Rossi (2007) see Table 4.1. However I only have daily data not intraday data. I have daily data for the Swiss Performance Index, the surprise is calculated by taking the daily change in the CHF 3M Libor which I have data for and I have data on all the policy announcements by the Swiss National Bank.
I think I need to conduct some sort of event study however I am unsure of how I would calculate the abnormal returns etc. And if I even need to do that.
How would I test if the monetary policy announcements have a significant effect on the daily return of the Swiss Performance Index (SPI)?
Thanks for your help!
Regards,
Elias
Related Posts with Testing for the significance of monetary policy announcements
Changing the contents in a variableI wanted to change the contents in a variable. The variable, termed "outcome" contains integer numbe…
different results with rhausman codeDear All, I get different results each time when I run the code "rhausman FE RE, cluster " for the …
Logistic Delta Method Standard ErrorsHi all, I have a few basic questions regarding the output associated with logistic command. Code:…
Bonferroni Correction with Dunn TestWhat exactly does the Bonferroni correction in the Dunn Test code do: Code: dunntest rating, by(o…
ppml: e(converged) equals neither 0 nor 1When I run the following command Code: ppml value ExporterFE* ImporterFE* ${bilaterals} and then ty…
Subscribe to:
Post Comments (Atom)
0 Response to Testing for the significance of monetary policy announcements
Post a Comment