joe5saia / eventstudiesdata Goto Github PK

Adding Release Information from Bloomberg

Bloomberg has data on macroeconomic news releases and other events of macroeconomic significance, such as FOMC document releases and speeches by FOMC members. I will add this somehow. If I add some script to clean these data and put them in the same format as the table on the home page of this repo, will @munchumunch merge/append/replace this into his data?

One more issue--we may want to think about adding an additional variable where we can store the name of the person that gave the speech. Or else we just call the event Fed Speech: Yellen and we can just grep that if we want to only have Fed stuff/speeches/Yellen stuff.

The issues

Bloomberg's database of FOMC speeches still needs some cleaning. In many cases the same speech/date/time is listed multiple times--we can safely drop duplicates here since the date/time is the same.

Of more concern are when a single person gives multiple speeches on one day--while this is possible in practice, some spot-checking suggests that this may be a mistake. Total this gives us 708 duplicates of 5820 speeches.

If we only keep speeches categorized as "Central Banks", the duplicate ratio goes to 255/5240. This eliminates many of the 708 cases in which the "duplicates" where within a few (1-10) minutes of one another.

To ask Bloomberg

1. Where is the data from?
2. Why do the non-categorized speeches have a slightly different timestamp than the categorized ones? How are speeches categorized?
3. Bring up a few cases where it is unlikely---based on external evidence---that someone gave two speeches on one day (Moskow at Ball State is a good one).

Putting this here for prosperity.

I just looked at the Eco calendar on Bloomberg. They do not have Jay Powells Today show appearence at 7AM 3/26/20 nor Kashkari's 60 minute appearance on 3/22. They also only have the rate decision on Sunday 3/26/20 at 5 PM, but not the announcements for the other programs over this last week.