Jumps,cojumps and macro announcements |
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| Authors: | Jérôme Lahaye Sébastien Laurent Christopher J Neely |
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| Institution: | 1. CeReFiM, University of Namur, Belgium;2. Faculty of Business and Economics, University of Lausanne, Switzerland;3. CORE, Université Catholique de Louvain, Belgium;4. Maastricht University, School of Business and Economics, The Netherlands;5. Research Department, Federal Reserve Bank of St Louis, MO, USA |
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| 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. Copyright © 2010 John Wiley & Sons, Ltd. |
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