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  • Testing for the significance of monetary policy announcements

    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

  • #2
    You didn't get a quick answer. This kind of initial general question often doesn't get an answer. The answer is also more a question of your discipline's norms and the substance of the problem than a general statistical issue. There has been a great many postings on event studies on Statalist. Start there.

    Most estimates of abnormal returns start with a market index as an explanatory variable. So, if SPI is the market, I don't know what you do about abnormal returns.

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