TI Econometrics Lectures 2023: Sydney C. Ludvigson (New York University)
The Tinbergen Institute Lectures are an annual series of advanced PhD-level courses. Qualified internal and external research master and PhD students are explicitly invited to participate (free of charge). The Econometrics Lectures are organized jointly with the Econometric Institute and the Princeton University Press.
Sydney C. Ludvigson, 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, will teach the Tinbergen Institute Econometrics Lecture 2023.
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). 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.
Learn more and find all information regarding registration on the webpage of the lectures.