Co-Jumping of Treasury Yield Curve Rates

Jozef Baruník and Fišer Pavel
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Fišer Pavel: The Czech Academy of Sciences, Institute of Information Theory and Automation, Pod Vodarenskou Vezi 4, 182 00 Prague, Czech Republic

Studies in Nonlinear Dynamics & Econometrics, 2024, vol. 28, issue 3, 481-506

Abstract: We study the role of co-jumps in the interest rate futures markets. To disentangle continuous part of quadratic covariation from co-jumps, we localize the co-jumps precisely through wavelet coefficients and identify statistically significant ones. Using high frequency data about U.S. and European yield curves we quantify the effect of co-jumps on their correlation structure. Empirical findings reveal much stronger co-jumping behavior of the U.S. yield curves in comparison to the European one. Further, we connect co-jumping behavior to the monetary policy announcements, and study effect of 103 FOMC and 119 ECB announcements on the identified co-jumps during the period from January 2007 to December 2017.

Keywords: co-jumps; yield curve; wavelets; high frequency data (search for similar items in EconPapers)
JEL-codes: C14 C53 G17 (search for similar items in EconPapers)
Date: 2024
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Working Paper: Co-jumping of Treasury Yield Curve Rates (2019)
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DOI: 10.1515/snde-2022-0091

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