Arbeitspapier
Macroeconomic news, announcements, and stock market jump intensity dynamics
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. It is found that the day of the announcement, per se, has 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 show only short-lived effects. Also, the jump intensity responds asymmetrically to macroeconomic shocks. Evidence that macroeconomic variables are relevant to explain jump dynamics and improve volatility forecasts on event days is provided.
- Language
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Englisch
- Bibliographic citation
-
Series: Working Papers ; No. 2009-15
- Classification
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Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Information and Market Efficiency; Event Studies; Insider Trading
- Subject
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conditional jump intensity
conditional volatility
macroeconomic announcements
- Event
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Geistige Schöpfung
- (who)
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Rangel, José Gonzalo
- Event
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Veröffentlichung
- (who)
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Banco de México
- (where)
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Ciudad de México
- (when)
-
2009
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Rangel, José Gonzalo
- Banco de México
Time of origin
- 2009
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