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Macroeconomic news announcements, systemic risk, financial market volatility, and jumps
Author(s) -
Huang Xin
Publication year - 2018
Publication title -
journal of futures markets
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.88
H-Index - 55
eISSN - 1096-9934
pISSN - 0270-7314
DOI - 10.1002/fut.21898
Subject(s) - economics , volatility (finance) , bond , futures contract , zero lower bound , equity (law) , financial market , financial crisis , implied volatility , interest rate , monetary economics , bond market , monetary policy , financial economics , keynesian economics , finance , political science , law
I study the second‐moment response to macroeconomic news announcements in financial markets. Responses can be decomposed into contributions from continuous volatility and discrete jumps. Disagreement and uncertainty are introduced to measure the second moments of market forecasts. Two decades of high frequency equity and bond futures data are examined including the global financial crisis. I report evidence that uncertainty has a stronger effect on the second‐moment response than disagreement and the second‐moment response is influenced by the level of financial stress and monetary policy regime. The zero‐lower‐bound interest rate policy constrains second‐moment responses in the bond market.