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We apply nonparametric statistical procedures to extract jumps around scheduled macroeconomic news in U.S. Treasury bond, U.S. Treasury note and Eurodollar futures prices from 2001 to 2004. Volatility and trading activity during announcement days with jumps versus no jumps are also analyzed with computerized trade reconstruction (CTR) and time and sales high frequency data. Several interesting results are obtained. First, while jumps often occur during announcement periods, many jumps cannot bedoi:10.2139/ssrn.1570824 fatcat:fsknw3o7vjdxfmt2rthkjkg3ke