EMPIRICAL EVIDENCE ON JUMPS IN THE TERM STRUCTURE OF THE US TREASURY MARKET

Mardi Dungey (), Michael McKenzie () and Vanessa Smith ()

CAMA Working Papers from Australian National University, Centre for Applied Macroeconomic Analysis

Abstract: Sufficiently fast and large disruptions to the continuous price process are referred to as jumps. Cojumping arises when jumps occur contemporaneously across assets. This paper finds significant evidence of jumps and cojumps in the US term structure using the Cantor-Fitzgerald tick dataset sampled over the period 2002-2006. Cojumping frequently occurs in response to scheduled macroeconomic news announcements, however, around one-third of cojumps occur independently of any news announcements.

JEL-codes: C22 G14 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mst and nep-rmg
Date: Written 2007-07
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