Announcements and Markets: A Mixed Frequency Structural Estimation

TI-lectures
Image of the campus woudestein, showcasing the flags of the School's and Institutes
Speaker
Sydney Ludvigson
Date
Monday 15 May 2023, 09:30 - Tuesday 16 May 2023, 16:30
Type
Lecture
Spoken Language
English
Room
TBA
Location
Campus Woudestein
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Apple phone with a feed of news items

The lectures introduce the audience to a "mixed-frequency structural approach" for measuring market reaction to news.

It allows for the integration of a high-frequency event study into a mixed-frequency structural model where agents are faced with genuine news shocks. The empirical strategy also proposes an innovative way of modeling expectations in the presence of structural breaks (rather than recurrent regime switching).

Lecture schedule on 15 - 16 May

In the lectures, Professor Ludvigson will apply the mixed-frequency structural approach to central bank news. Yet, applications can address the reasons for jumps in markets or other types of returns and indices around any kind of news.

Monday May 15: Lectures9:30-12:00 and 14:00-16:30
Tuesday May 16: Lectures9:30-12:00 and 14:00-16:30

 

Sydney Ludvigson smiling at the camera

More about Sydney Ludvigson

Sydney C. Ludvigson is Julius Silver, Roslyn S. Silver, and Enid Silver Winslow Professor of Economics at New York University, and a Co-Director of the National Bureau of Economic Research Asset Pricing Program.

Her research centers on the interplay between asset markets and macroeconomic activity, with applications to role of monetary policy in stock market fluctuations, the measurement and analysis of systematic and demonstrable errors in macroeconomic expectations by both professional forecasters households, the use of machine learning and AI algorithms to measure errors in human judgement, the pricing and risk premia of stock, bond, and housing markets, the role of heterogeneity and wealth inequality in housing and stock market valuations, and the dynamic causal effects of uncertainty for business cycle fluctuations. 

More information about the lectures

You can find more info about the lectures on the Tinbergen website.

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