Identification and Estimation of Causal Effects in High-Frequency Event Studies
高频事件研究中因果效应的识别与估计
We provide precise conditions for nonparametric identification of causal effects by high-frequency event study regressions, which have been used widely in the recent macroeconomics, financial economics and political economy literatures. The high-frequency event study method regresses changes in an outcome variable on a measure of unexpected changes in a policy variable in a narrow time window around an event or a policy announcement (e.g., a 30-minute window around an FOMC…