Jumps and Post-FOMC Announcement Returns in Currency Markets
研究了FOMC公告前后外汇市场日内回报动态，发现公告后回报显著走低，抵消了约65%的公告前正向漂移，这种反转主要源于不确定性消除，且与公告引发的负向跳跃波动率显著相关。
Abstract We investigate intraday return dynamics in currency markets around FOMC announcements. Using comprehensive high-frequency exchange rate data, we reveal that post-FOMC announcement returns are significantly low, cancelling out approximately 65% of positive pre-FOMC announcement drifts. These post-announcement reversals mainly result from uncertainty resolution and are mostly realized between 12 and 24 hours after FOMC announcements. This return behavior is significantly related to the negative jump volatilities driven by FOMC announcements. Our findings suggest that our signed jump volatility measures capture informational shocks and uncertainty resolutions and tend to be high under illiquid market conditions.