Macroeconomic News, Announcements, and Stock Market Jump Intensity Dynamics

Jose Rangel (jgrangell@gmail.com)

No 2009-15, Working Papers from Banco de México

Abstract: This paper examines the effect of macroeconomic releases on stock market volatility through a Poisson-Gaussian-GARCH process with time varying jump intensity, which is allowed to respond to such information. It is found that the day of the announcement, per se, has little impact on jump intensities. Employment releases are an exception. However, when macroeconomic surprises are considered, inflation shocks show persistent effects while monetary policy and employment shocks show only short-lived effects. Also, the jump intensity responds asymmetrically to macroeconomic shocks. Evidence that macroeconomic variables are relevant to explain jump dynamics and improve volatility forecasts on event days is provided.

JEL-codes: C22 G14 (search for similar items in EconPapers)
Date: 2009-12
New Economics Papers: this item is included in nep-mac, nep-mon and nep-mst
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Citations: View citations in EconPapers (2)

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Related works:
Journal Article: Macroeconomic news, announcements, and stock market jump intensity dynamics (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:bdm:wpaper:2009-15

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