  We propose a non-linear observation-driven version of the Hasbrouck (1991)
model for dynamically estimating trades' market impact and information content.
We find that market impact displays an intraday pattern superimposed with large
fluctuations. Some of them are exogenous, and, as an example, we investigate
market impact dynamics around FOMC announcements. Contrary to Hasbrouck (1991),
we find that the information content of trades depends on the local liquidity
level and the recent history of prices and trades. Finally, we use the model to
estimate the time-varying permanent impact parameter, which allows performing a
dynamic transaction cost analysis.
