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Jumps, cojumps and macro announcements
Author(s) -
Lahaye Jérôme,
Laurent Sébastien,
Neely Christopher J.
Publication year - 2010
Publication title -
journal of applied econometrics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 2.878
H-Index - 99
eISSN - 1099-1255
pISSN - 0883-7252
DOI - 10.1002/jae.1149
Subject(s) - nonfarm payrolls , futures contract , economics , asset (computer security) , econometrics , financial economics , federal funds , volatility (finance) , jump , monetary economics , monetary policy , computer science , ecology , physics , computer security , quantum mechanics , biology , agriculture
We use recently proposed tests to extract jumps and cojumps from three types of assets: stock index futures, bond futures, and exchange rates. We then characterize the dynamics of these discontinuities and informally relate them to US macroeconomic releases before using limited dependent variable models to formally model how news surprises explain (co)jumps. Nonfarm payroll and federal funds target announcements are the most important news across asset classes. Trade balance shocks are important for foreign exchange jumps. We relate the size, frequency and timing of jumps across asset classes to the likely sources of shocks and the relation of asset prices to fundamentals in the respective classes. Copyright © 2010 John Wiley & Sons, Ltd.