The Chinese Stock Market Volume II: Evaluation and Prospects - Google Livres

Journal of Banking and Finance, Forthcoming. This paper examines the effect of macroeconomic releases on stock market volatility through a Poisson-Gaussian-GARCH process with time varying jump intensity, which is allowed to respond to such information. It is found that the day of the announcement, per se, has little impact on jump intensities. Employment releases are an exception. However, when macroeconomic surprises are considered, inflation shocks show persistent effects while monetary policy and employment shocks show only short-lived effects.

Also, the jump intensity responds asymmetrically to macroeconomic shocks. Evidence that macroeconomic variables are relevant to explain jump dynamics and improve volatility forecasts on event days is provided.

Conditional Volatility, Conditional Jump Intensity, News Impacts, Announcement Effects, Nonlinear Time Series. Rangel, Jose Gonzalo, Macroeconomic News, Announcements, and Stock Market Jump Intensity Dynamics July 15, Subscribe to this fee journal for more curated articles on this topic. Monetary Policy Surprises and Interest Rates: Evidence from the Fed Funds Futures Market.

Evidence from the Fed Funds Futures Markets. What Explains the Stock Market's Reaction to Federal Reserve Policy? By Ben Bernanke and Kenneth Kuttner. The Effect of Changes in the Federal Funds Rate Target on Market Interest Rates in the s. By Timothy Cook and Thomas Hahn. The Impact of Monetary Policy on Asset Prices. By Brian Sack and Roberto Rigobon. Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets. By Torben Andersen , Clara Vega , Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets.

Cookies are used by this site. To decline or learn more, visit our Cookies page. This page was processed by apollo7 in 0. Your Account User Home Personal Info Affiliations Subscriptions My Papers My Briefcase Sign out.

Download this Paper Open PDF in Browser Share: Using the URL or DOI link below will ensure access to this page indefinitely. Jose Gonzalo Rangel Goldman Sachs Group, Inc.

EconPapers: Macroeconomic news, announcements, and stock market jump intensity dynamics

Abstract This paper examines the effect of macroeconomic releases on stock market volatility through a Poisson-Gaussian-GARCH process with time varying jump intensity, which is allowed to respond to such information. Jose Gonzalo Rangel Contact Author Goldman Sachs Group, Inc.

Download this Paper Open PDF in Browser.

Related eJournals Risk Management eJournal Follow. Risk Management eJournal Subscribe to this fee journal for more curated articles on this topic FOLLOWERS. Jacob Boudoukh at Affiliation not provided to SSRN, Robert Sales at Global Association of Risk Professionals.

Market Efficiency eJournal Follow. Market Efficiency eJournal Subscribe to this fee journal for more curated articles on this topic FOLLOWERS. Recommended Papers Monetary Policy Surprises and Interest Rates: Evidence from the Fed Funds Futures Market By Kenneth Kuttner Monetary Policy Surprises and Interest Rates: Evidence from the Fed Funds Futures Markets By Kenneth Kuttner What Explains the Stock Market's Reaction to Federal Reserve Policy? By Ben Bernanke and Kenneth Kuttner What Explains the Stock Market's Reaction to Federal Reserve Policy?

By Ben Bernanke and Kenneth Kuttner The Effect of Changes in the Federal Funds Rate Target on Market Interest Rates in the s By Timothy Cook and Thomas Hahn The Impact of Monetary Policy on Asset Prices By Brian Sack and Roberto Rigobon The Impact of Monetary Policy on Asset Prices By Brian Sack and Roberto Rigobon Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets By Torben Andersen , Clara Vega , Real-Time Price Discovery in Stock, Bond and Foreign Exchange Markets By Torben Andersen , Clara Vega , Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets By Torben Andersen , Clara Vega , Eastern, Monday - Friday.

Submit a Paper Section Text Only Pages.

Macroeconomic News, Announcements, and Stock Market Jump Intensity Dynamics by Jose Gonzalo Rangel :: SSRN

Quick Links Research Paper Series Conference Papers Partners in Publishing Organization Homepages Newsletter Sign Up. Rankings Top Papers Top Authors Top Organizations. About SSRN Objectives Network Directors Presidential Letter Announcements Contact us FAQs.

Copyright Terms and Conditions Privacy Policy.