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Co-Jumping of Treasury Yield Curve Rates

Author

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  • Baruník Jozef

    (The Czech Academy of Sciences, Institute of Information Theory and Automation, Pod Vodarenskou Vezi 4, 182 00 Prague, Czech Republic)

  • Fišer Pavel

    (The Czech Academy of Sciences, Institute of Information Theory and Automation, Pod Vodarenskou Vezi 4, 182 00 Prague, Czech Republic)

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.

Suggested Citation

  • Baruník Jozef & Fišer Pavel, 2024. "Co-Jumping of Treasury Yield Curve Rates," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 28(3), pages 481-506.
    • Handle: RePEc:bpj:sndecm:v:28:y:2024:i:3:p:481-506:n:1004
    DOI: 10.1515/snde-2022-0091
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    Cited by:

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    More about this item

    Keywords

    co-jumps; yield curve; wavelets; high frequency data;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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