For six important energy futures markets, this study examines whether large price movements (i.e., jumps) are related to the arrival and information content of scheduled macroeconomic announcements. Since prior studies by Kilian and Vega [(2011) Review of Economics and Statistics, 93, 660–671] and Chatrath, Miao, and Ramchander [(2012) Journal of Futures Markets, 32, 536–559] find little evidence of an announcement‐price reaction in mean energy returns, we focus on jump dynamics as a possible conduit for macroeconomic announcements to influence the distribution of returns. We find little evidence of an increase in jump arrival rates coinciding with scheduled releases of economic data. Similarly, there is no compelling evidence that the magnitude and/or sign (“good” vs. “bad”) of the inherent announcement surprises influence the mean jump size. © 2016 Wiley Periodicals, Inc. Jrl Fut Mark 37:71–89, 2017