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Jumps, Cojumps and Macro Announcements

Jerome Lahaye
Facultés Universitaires Notre-Dame de la Paix (FUNDP); University of Namur; Catholic University of Louvain

Sébastien Laurent
University Faculties Our-Lady of Peace (FUNDP); Catholic University of Louvain - Center for Operations Research and Econometrics (CORE)

Christopher J. Neely
Federal Reserve Bank of St. Louis - Research Division


August 24, 2009

AFFI/EUROFIDAI, Paris December 2008 Finance International Meeting AFFI - EUROFIDAI

Abstract:     
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 U.S. 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.

Keywords: exchange rate, futures, bonds, realized volatility, bipower variation, jumps, macroeconomic announcement.

Working Paper Series

Date posted: October 13, 2008 ; Last revised: August 26, 2009

Suggested Citation

Lahaye, Jerome, Laurent, Sébastien and Neely, Christopher J., Jumps, Cojumps and Macro Announcements (August 24, 2009). AFFI/EUROFIDAI, Paris December 2008 Finance International Meeting AFFI - EUROFIDAI. Available at SSRN: http://ssrn.com/abstract=1282217


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Contact Information

Jerome Lahaye (Contact Author)
Facultés Universitaires Notre-Dame de la Paix (FUNDP) ( email )
Rempart de la Vierge, 8
Namur 5000 Belgium
University of Namur ( email )
8 rempart de la vierge
Namur 5000
Belgium
Catholic University of Louvain ( email )
34 Voie du Roman Pays
B-1348 Louvain-la-Neuve b-1348
Belgium
Sebastien Laurent
University Faculties Our-Lady of Peace (FUNDP) ( email )
Rempart de la Vierge, 8
Namur 5000
Belgium
+32 81 72 48 69 (Phone)
+32 81 72 48 40 (Fax)
HOME PAGE: http://www.core.ucl.ac.be/~laurent/
Catholic University of Louvain - Center for Operations Research and Econometrics (CORE) ( email )
34 Voie du Roman Pays
B-1348 Louvain-la-Neuve b-1348
Belgium
Christopher J. Neely
Federal Reserve Bank of St. Louis - Research Division ( email )
411 Locust St
St. Louis, MO 63011
United States
314-444-8568 (Phone)
314-444-8731 (Fax)
HOME PAGE: http://www.stls.frb.org/research/econ/cneely/
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