Co-jumping of Treasury Yield Curve Rates

Jozef Baruník and Pavel Fiser

Papers from arXiv.org

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.

Date: 2019-05
New Economics Papers: this item is included in nep-mon
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Citations: View citations in EconPapers (2)

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Journal Article: Co-Jumping of Treasury Yield Curve Rates (2024)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1905.01541

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