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
Spousal dataHi there, I am working with a database for which there is information on each individual and there i…
In the analysis of continuous variables, with cases of zero value, using GLM, what would be the appropriate distribution?Dear Stata users, I am doing a social mobility study in Brazil using the most recent survey of 2014…
Formatting date variable YYYYMMHi, I would appreciate your help with formatting date variables. I use Stata 15. I would like to g…
Interpreting Regression ResultsI posted a couple of months ago asking for help in regards to a study on how London Southend Airport…
Survey data analysisI am new to STATA (15.1) and hope someone can help me with how to "Declare my survey design for my d…
Subscribe to:
Post Comments (Atom)
0 Response to Testing for the significance of monetary policy announcements
Post a Comment