In this paper we examine the intraday effects of surprises from scheduled and
unscheduled announcements on six major exchange rate returns (jumps) using an
extension of the standard Tobit model with heteroskedastic and asymmetric errors.
Since observed volatility at high frequency often contains microstructure noise, we use
a recently proposed non parametric test to filter out noise and extract jumps from
noise-free FX returns (Lee and Mykland (2012)). We found that the most influential
scheduled macroeconomic news are globally related to job markets, output growth
indicators and public debt. These surprises impact FX jumps rather in the form of
good news, as a result of pessimistic forecasts from traders during the crisis period
analyzed. We reconfirmed for most of the currencies the hypothesis that negative
volatility shocks have a greater impact on volatility than positive shocks of the same
magnitude, reflecting markets’ concern about the cost of stabilization policies.