Jumps, cojumps and macro announcements
By: by Jérôme Lahaye, Sébastien Laurent, and Christopher J. Neely
Contributors: Laurent, Sébastien; Neely, Christopher J.; Federal Reserve Bank of St. Louis
Series: Working paper -- 2007-032A; Working paper (Federal Reserve Bank of St. Louis : Online) -- 2007-032A.
Publisher: Federal Reserve Bank of St. Louis
Published: 2007
Place of publication: St. Louis, Mo.]
Language: eng
Format: [electronic resource] /
Description: "We analyze and assess the impact of macroeconomic announcements on the discontinuities in many assets: stock index futures, bond futures, exchange rates, and gold.  We use bi-power variation and the recently proposed non-parametric techniques of Lee and Mykland (2006) to extract jumps.  Beyond characterizing the jump and cojump dynamics of many assets, we analyze how news arrival causes jumps and cojumps and estimate limited-dependent-variable models to quantify the impact of surprises.  We confirm previous findings that some surprises create jumps.  However, many announce-ments do not create jumps and many jumps are not related to announcements.  The propensity of surprises to create jumps differs across asset classes, i.e., exchange rates, bonds, stock index.  Payroll announcements are most important on stocks and bonds futures markets.  Trade related news often creates cojumps on exchange rate markets"--Federal Reserve Bank of St. Louis web site.
Notes: Title from PDF file as viewed on 9/10/2007.

Includes bibliographical references.

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Mode of access: World Wide Web.