Futures-based measures of monetary policy and jump risk

Inekwe John Nkwoma*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

2 Citations (Scopus)

Abstract

We estimate the effects of anticipated and unanticipated monetary policy changes on jump variation by employing high-frequency nonparametric jump detection methods. We find that anticipated changes in the Fed funds have no significant effect on jumps. In contrast, jump variation in the price of financial market data increases with monetary policy surprises. We document evidence of asymmetries in the response of jumps to monetary policy changes. Monetary policy surprises and positive changes in the Fed target rate induce increments in jumps. Similar results exist in the sector analysis. In addition, this study uncovers no evidence of endogenous response between jumps and monetary policy surprises.

Original languageEnglish
Pages (from-to)384-405
Number of pages22
JournalMacroeconomic Dynamics
Volume21
Issue number2
DOIs
Publication statusPublished - 1 Mar 2017
Externally publishedYes

Keywords

  • Anticipated
  • Jumps
  • Monetary Policy
  • Stock Market
  • Unanticipated

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