Abstract
The impact of scheduled releases of macroeconomic variables on the dynamics of nancial markets has always attracted a great deal of academic attention in eorts to quantify market responses in terms of volatility and jumps. We investigate whether the occurence of market reaction due to macroeconomic annoucements has an impact on the probabiliy of a reaction caused by the next release of the same macroeconomic value. We measure this impact by means of both post-event volatility changes and a proposed methodology for jump matching. Our ndings show that previous market impact signicantly changes the probability of an impact detected for the current release.
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