The effect of macro news on volatility and jumps

This paper investigates the impact of the major US macroeconomic announcements on volatility and jumps of US financial markets. Results indicate significant volatility spillover effects on the following financial markets: exchange traded funds, exchange rates, equity index futures, Treasury bonds futures, volatility indices and equity spot indices. The expected component of changes of macro variables insignificantly affect volatility. The corresponding surprise component positively and significantly affect volatility. The exchange rate market is mostly affected by macro announcements. Moreover, news related jumps are higher in magnitude than non-news-related jumps. Most of the announcements cause significant increases in jump size. © 2015, Central University of Finance and Economics. All rights reserved.