Refet S. Gürkaynak (Bilkent University)

Profile photo of Professor Refet S. Gürkaynak (Bilkent University and CEPR)

Asset Price Reactions to News: High Frequency Methods and Applications

With Refet S. Gürkaynak, Professor of Economics Bilkent University and the program director of CEPR’s Monetary Economics and Fluctuations group.

7-8 September 2022

Classes: 9am -12pm, 1.30pm - 4.30pm
University of Glasgow Main Building

This course is designed to introduce the tools required to use high frequency changes asset prices for macroeconomic and financial analysis. Expectations of monetary policy, market participants’ perceptions of policy surprises and decompositions of these into policy action, forward guidance and QE components, asset price reactions to these are among the core topics. Choice of event and asset to answer policy and portfolio relevant questions will be covered. The relationship between shocks in models and surprises as measured from event studies, using event study measured as instruments for VAR shocks will also be discussed. Analysing nominal and real yield curves will be a common thread.

Who should attend

Economist interested in macro-finance, high-frequency asset price analysis, and event studies.

Course level

Intermediate / advanced

Software requirements

 Stata (Data organisation and basic analysis functions)

Learning outcomes

By the end of this course, you will be able to:

  1. use appropriate assets to answer macro-finance questions
  2. use state-of-the-art methods in event studies
  3. relate event studies to macroeconomic analysis.

Topics covered

  • Shocks in VARs and surprises in event studies. Examples and identification.
  • Measuring market perceptions of monetary policy, forward guidance, QE surprises. Effects on asset prices, cross country spillovers.
  • OLS vs. Heteroskedasticity-based identification. Application to inference using yield curve changes. Market-based real rate and inflation expectations.
  • Unobserved news and yield curve movements.
  • Proxy VARS and central bank information effects.

Readings

  • Gürkaynak, R. S., and J. H. Wright. “Identification and Inference Using Event Studies.” Manchester School, 2013, 48-65.
  • Gürkaynak, R. S., A. Levin, and E. Swanson. “Does Inflation Targeting Anchor Long-Run Inflation Expectations? Evidence from Long-Term Bond Yields in the U.S., U.K., and Sweden.” Journal of the European Economic Association 8(6), December 2010, 1208-1242.
  • Altavilla, C., L. Brugnolini, R. S. Gürkaynak, G. Ragusa, and R. Motto. “Measuring Euro Area Monetary Policy.” Journal of Monetary Economics 108, December 2019, 162-179.
  • Gürkaynak, R. S., Kısacıkoğlu, and J. H. Wright “Missing Events in Event Studies: Identifying Effects of Partially-Measured News Surprises.” American Economic Review 110(12), December 2020, 3871-3912.
  • Bauer. M., and E. Swanson. “An Alternative Explanation for the ‘Fed Information Effect.’” 2021. Working Paper, UC Irvine.

Biography

Refet S. Gürkaynak is Professor of Economics Bilkent University and the program director of CEPR’s Monetary Economics and Fluctuations group. He is also a Research Fellow of the CEPR, CESIfo, and Center for Financial Studies. Gürkaynak has a BA from Bilkent and a PhD from Princeton Universities, both in Economics. Prior to his current position he was an Economist at the Monetary Affairs Division of the Federal Reserve Board. He is a frequent consultant to various central banks and was a visiting faculty member at MIT.

Gürkaynak’s research interests are monetary economics, financial markets, and international economics. In particular, he has worked on extracting information from asset prices that help answer monetary policy related questions. His research along these lines has been published in journals such as Journal of Monetary Economics, Review of Economics and Statistics, and American Economic Review. Gürkaynak has held editorial positions at the Journal of Business and Economic Statistics, Journal of Monetary Economics, and Economic Policy, and has been the recipient of awards from the Central Bank of Turkey, the European Central Bank, and the Turkish Academy of Sciences, as well as an ERC Grant.