Macroeconomic News Announcements, Systemic Risk, Financial Market Volatility and Jumps

54 Pages Posted: 13 Nov 2015

See all articles by Xin Huang

Xin Huang

Board of Governors of the Federal Reserve System

Date Written: 2015-10-30

Abstract

This paper studies financial market volatility and jump responses to macroeconomic news announcements. Based on two decades of high-frequency data, we finds that there are significantly more jumps on news days than on no-news days, with the bond market being more responsive than the equity market, and nonfarm payroll employment being the most influential news. Both the first moment of news surprises and the second moments of disagreement and uncertainty affect financial market responses, with their impact significance changing over different market and response types. Market responses to news vary with economic situations, financial systemic risk and the zero-lower-bound policy.

Keywords: Macroeconomic news announcements, realized variance, jumps, disagreement and uncertainty, economic derivatives, financial systemic risk

Suggested Citation

Huang, Xin, Macroeconomic News Announcements, Systemic Risk, Financial Market Volatility and Jumps (2015-10-30). FEDS Working Paper No. 2015-97, Available at SSRN: https://ssrn.com/abstract=2684653 or http://dx.doi.org/10.17016/FEDS.2015.097

Xin Huang (Contact Author)

Board of Governors of the Federal Reserve System ( email )

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Washington, DC 20551
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