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Economic policy uncertainty and volatility of treasury futures

Author

Listed:
  • Maojun Zhang

    (Suzhou University of Science and Technology)

  • Yang Zhao

    (Suzhou University of Science and Technology)

  • Jiangxia Nan

    (Suzhou University of Science and Technology)

Abstract

This paper investigates the relation between Treasury futures market volatility and economic policy uncertainty using GARCH-MIDAS. We formulated models with the realized volatility of Treasury futures, the level and volatility of economic policy uncertainty. We find that the realized volatility of Treasury futures and economic policy uncertainty play a significant role in the dynamics of long-run volatility in Treasury futures markets in China and United States.

Suggested Citation

  • Maojun Zhang & Yang Zhao & Jiangxia Nan, 2022. "Economic policy uncertainty and volatility of treasury futures," Review of Derivatives Research, Springer, vol. 25(1), pages 93-107, April.
    • Handle: RePEc:kap:revdev:v:25:y:2022:i:1:d:10.1007_s11147-021-09182-8
    DOI: 10.1007/s11147-021-09182-8
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    References listed on IDEAS

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    Cited by:

    1. Zhang, Maojun & Zhang, Rongjia & Zhao, Yang, 2024. "Economic policy uncertainty and volatility of corporate bond credit spread: Evidence from China and the United States," International Review of Economics & Finance, Elsevier, vol. 93(PB), pages 827-841.

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