Co-jumping of Treasury Yield Curve Rates
Statistical Finance
2019-05-07 v1 General Finance
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
Cite
@article{arxiv.1905.01541,
title = {Co-jumping of Treasury Yield Curve Rates},
author = {Jozef Barunik and Pavel Fiser},
journal= {arXiv preprint arXiv:1905.01541},
year = {2019}
}