Journal Title

Journal of International Money and Finance

Publication Date

2014

Abstract

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.

Author Supplied Keywords

Currency jumps, Cojumps, Macroeconomic news

Subjects

Analysis; Currencies; Statistics; Macroeconomic; Money

Publication Information

Journal of International Money and Finance, 2014, Volume 40, 42-62.

© 2013 Elsevier Ltd.

Archived version is the accepted manuscript.

DOI

10.1016/j.jimonfin.2013.08.018

Peer-Reviewed

Yes

Document Type

Journal Article

Included in

Business Commons

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