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September/October 2009, Part 2, 
Vol. 91, No. 5
Posted 2009-10-21

Do Macroeconomic Announcements Move Inflation Forecasts?

by Marlene Amstad and Andreas M. Fischer

This paper presents an empirical strategy that bridges the gap between event studies and macroeconomic forecasts based on common-factor models. Event studies examine the response of financial variables to a market-sensitive "surprise" component using a narrow event window.

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