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We have time series data. Depended variable – interest rates, about 15 years, monthly data. Independent variable – event, rating announcement (rating may change or may not), happens 2-3 times per year, irregularly. Rating score announcement and/or change may affect interest rates. Impact may appear in current month, or in following month or two. How to check if affect takes place? What methodology should we use?

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You could look into using event study methodologies, which are often used within economics and finance (for example to look at the impact of policy changes or stock market announcements). You can find a lot of information on this topic, but the wikipedia page on event study is a good introduction to the topic.

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