Jumps, Cojumps and Macro Announcements

34 Pages Posted: 13 Oct 2008 Last revised: 26 Aug 2009

Jerome Lahaye

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

Sébastien Laurent

French National Center for Scientific Research (CNRS) - Research Group in Quantitative Saving (GREQAM)

Christopher J. Neely

Federal Reserve Bank of St. Louis - Research Division

Date Written: August 24, 2009

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.

Suggested Citation

Lahaye, Jerome and 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: https://ssrn.com/abstract=1282217 or http://dx.doi.org/10.2139/ssrn.1282217

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

Sébastien Laurent

French National Center for Scientific Research (CNRS) - Research Group in Quantitative Saving (GREQAM) ( email )

Centre de la Vieille Charité
2, rue de la Charité
Marseille, 13002
France

Christopher J. Neely

Federal Reserve Bank of St. Louis - Research Division ( email )

411 Locust St
Saint 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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