Currency jumps, cojumps and the role of macro news

被引：67

作者：

Chatrath, Arjun ^{[1
]}

Miao, Hong ^{[2
]}

Ramchander, Sanjay ^{[2
]}

Villupuram, Sriram ^{[2
]}

机构：

[1] Univ Portland, Portland, OR 97203 USA

[2] Colorado State Univ, Ft Collins, CO 80523 USA

来源：

JOURNAL OF INTERNATIONAL MONEY AND FINANCE | 2014年 / 40卷

关键词：

Currency jumps; Cojumps; Macroeconomic news; EXCHANGE-RATE DETERMINATION; ECONOMIC-NEWS; MODELS; ANNOUNCEMENTS; VOLATILITY; MARKETS; DOLLAR;

D O I：

10.1016/j.jimonfin.2013.08.018

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This study investigates the impact of macro news on currency jumps and cojumps. The analysis uses intra-day data, sampled at 5-min frequency, for four currencies for the period 2005-2010. Results indicate that currency jumps are a good proxy for news arrival. We find 9-15% of currency jumps can be directly linked to U.S. announcements. Notably, news can explain 22-56% of the 5-min jump returns, and there is evidence that better-than-expected news about the U.S. economy has a negative impact on currency jumps. Cojump statistics suggest close dependencies among European currencies, especially between the euro and the Swiss franc. We also provide evidence on the uncertainty resolution to news. (C) 2013 Elsevier Ltd. All rights reserved.

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收藏

页码：42 / 62

页数：21

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