Instructors

Eric Swanson (University of California, Irvine)

Dates

24-28 August 2026

Hours

15:00 to 18:30 CEST

Format

In person

Practical Classes

No.

Intended for

Academic researchers and policy analysts who are interested in using high-frequency financial market data to study the effects of conventional and unconventional monetary policies on domestic and foreign financial markets and their economies.

Prerequisites

A basic familiarity with macroeconomics, econometrics, probability, and statistics at the advanced undergraduate level.

Overview

Estimating causal effects in macroeconomics is often very difficult, because issues of omitted variables or reverse causality are often very plausible. High-frequency changes in financial markets around significant events (e.g., FOMC or OPEC announcements) represent one of the most appealing methods of causal identification. By focusing on narrow windows of time around these significant events, the problems of omitted variables and reverse causality are essentially eliminated, because they are dominated by the importance of the significant event itself within that narrow time window. These financial market changes can then be used in high-frequency OLS regressions to measure causal effects in financial markets, or as an instrumental variable for lower-frequency (e.g., monthly or quarterly) changes to measure causal effects in macroeconomic VARs or local projections regressions.

The goal of this course is to familiarize students with all the main tools using high-frequency event studies for causal identification in macroeconomic applications. We will place a heavy emphasis on examples from highly-cited research papers throughout the course.

Topics

• High-frequency measures of monetary policy shocks
• High-frequency measures of macroeconomic data release surprises
• Estimating the effects of conventional monetary policy and macroeconomic data releases on financial markets
• High-frequency measures of forward guidance
• High-frequency measures of large-scale asset purchases
• Estimating the effects of unconventional monetary policies (forward guidance and LSAPs) on financial markets
• The “Fed Information Effect”
• High-frequency evidence from prediction markets
• Estimating the effects of conventional and unconventional monetary policies on macroeconomic variables using high-frequency identification in VARs and local projections
• High-frequency instrument relevance and exogeneity conditions
• High-frequency measures of oil price, fiscal policy, and other shocks
• Monetary policy spillovers across countries
• Using VARs and LPs to evaluate policy counterfactuals

Eric Swanson is a Professor of Economics at the University of California, Irvine, a Research Associate of the National Bureau of Economic Research, and co-editor-in-chief of the Journal of Monetary Economics. Prof. Swanson received an M.S. in Mathematics and Ph.D. in Economics from Stanford University in 1998. From 1998-2005, he worked as an Economist and Senior Economist on the research staff at the Federal Reserve Board, and from 2005-2014 he served as a Research Advisor and Senior Research Advisor at the Federal Reserve Bank of San Francisco. His research focuses on Monetary Economics, Macroeconomics, and Macro-Finance, including the effects of the Federal Reserve’s unconventional monetary policies on financial markets and the economy.