Currency jumps, cojumps and the role of macro news
Currency jumps, cojumps and the role of macro news
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DOI：
10.1016/j.jimonfin.2013.08.018
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发表时间：
2014-02-01
影响因子：
2.5
通讯作者：
Villupuram, Sriram
中科院分区：
文献类型：
--
作者：
Chatrath, Arjun;Miao, Hong;Villupuram, Sriram
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.
