Jumps, cojumps and macro announcements

Jerome Lahaye, Sébastien Laurent and Christopher Neely

No 2007-032, Working Papers from Federal Reserve Bank of St. Louis

Abstract: We analyze and assess the impact of macroeconomic announcements on the discontinuities in many assets: stock index futures, bond futures, exchange rates, and gold. We use bi-power variation and the recently proposed non-parametric techniques of Lee and Mykland (2006) to extract jumps. Beyond characterizing the jump and cojump dynamics of many assets, we analyze how news arrival causes jumps and cojumps and estimate limited-dependent-variable models to quantify the impact of surprises. We confirm previous findings that some surprises create jumps. However, many announcements do not create jumps and many jumps are not related to announcements. The propensity of surprises to create jumps differs across asset classes, i.e., exchange rates, bonds, stock index. Payroll announcements are most important on stocks and bonds futures markets. Trade related news often creates cojumps on exchange rate markets.

Keywords: Foreign exchange rates; bond markets (search for similar items in EconPapers)
Date: 2007
New Economics Papers: this item is included in nep-mst and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

Downloads: (external link)
https://s3.amazonaws.com/real.stlouisfed.org/wp/2007/2007-032.pdf Full Text (application/pdf)

Related works:
Journal Article: Jumps, cojumps and macro announcements (2011)
Working Paper: Jumps, cojumps and macro announcements (2011)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fip:fedlwp:2007-032

Ordering information: This working paper can be ordered from

DOI: 10.20955/wp.2007.032

Access Statistics for this paper

More papers in Working Papers from Federal Reserve Bank of St. Louis Contact information at EDIRC.
Bibliographic data for series maintained by Scott St. Louis ().