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Macroeconomic news, announcements, and stock market jump intensity dynamics

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  • Rangel, José Gonzalo

Abstract

This paper examines the effect of macroeconomic releases on stock market volatility through a Poisson-Gaussian-GARCH process with time-varying jump intensity, which is allowed to respond to such information. The day of the announcement, per se, is found to have little impact on jump intensities. Employment releases are an exception. However, when macroeconomic surprises are considered, inflation shocks show persistent effects while monetary policy and employment shocks reveal only short-lived effects. Also, the jump intensity responds asymmetrically to macroeconomic shocks. Evidence on macroeconomic variables relevance in explaining jump dynamics and improving volatility forecasts on event days is provided.

Suggested Citation

  • Rangel, José Gonzalo, 2011. "Macroeconomic news, announcements, and stock market jump intensity dynamics," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1263-1276, May.
  • Handle: RePEc:eee:jbfina:v:35:y:2011:i:5:p:1263-1276
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    More about this item

    Keywords

    Conditional jump intensity Conditional volatility Macroeconomic announcements;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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