Work

Jumps, cojumps and macro announcements

Year: 2010

Type: article

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.

Source: Journal of Applied Econometrics

DOI: 10.1002/jae.1149

Authors: Jérôme Lahaye, Sébastien Laurent, Christopher J. Neely

Institutions: University of Namur, University of Lausanne, Maastricht University, UCLouvain, Federal Reserve Bank of St. Louis

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funders: Schweizerischer Nationalfonds zur Förderung der Wissenschaftlichen Forschung, Université de Namur

OpenAlex ID: W2058479869

FWCI: 31.18

Cites: 44

Cited by: 301

Related to: 10