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Jumps, Cojumps and Macro Announcements
Social Science Research Network
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 aredoi:10.2139/ssrn.1282217 fatcat:xm4qg62bgvbann4de7rm3y43li