Jumps, cojumps and macro announcements
利用新提出的检验方法从股票指数期货、债券期货和汇率中提取跳跃和共同跳跃，通过有限因变量模型研究新闻意外如何解释这些跳跃，发现非农就业和联邦基金目标公告是最重要的新闻。
We use recently proposed tests to extract jumps and cojumps from three types of assets: stock index futures, bond futures, and exchange rates. We then characterize the dynamics of these discontinuities and informally relate them to US macroeconomic releases before using limited dependent variable models to formally model how news surprises explain (co)jumps. Nonfarm payroll and federal funds target announcements are the most important news across asset classes. Trade balance shocks are important for foreign exchange jumps. We relate the size, frequency and timing of jumps across asset classes to the likely sources of shocks and the relation of asset prices to fundamentals in the respective classes. Copyright © 2010 John Wiley & Sons, Ltd.