Jumps, Co-Jumps and Macro Announcements

J. Lahaye, S.F.J.A. Laurent, C.J. Neely

Research output: Contribution to journalArticleAcademicpeer-review

50 Citations (Scopus)

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 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. 

Original languageEnglish
Pages (from-to)893-921
Number of pages29
JournalJournal of Applied Econometrics
Volume26
Issue number6
DOIs
Publication statusPublished - 1 Jan 2011

Keywords

  • TIME PRICE DISCOVERY
  • FOREIGN-EXCHANGE
  • BUSINESS CYCLES
  • BOND PRICES
  • BAD-NEWS
  • VOLATILITY
  • INFORMATION
  • MARKETS
  • DYNAMICS
  • PATTERNS

Cite this

Lahaye, J., Laurent, S. F. J. A., & Neely, C. J. (2011). Jumps, Co-Jumps and Macro Announcements. Journal of Applied Econometrics, 26(6), 893-921. https://doi.org/10.1002/jae.1149