Jumps, Interest Rates, and Monetary Policy

62 Pages Posted: 21 Mar 2011 Last revised: 25 Jan 2012

See all articles by Januj Juneja

Januj Juneja

San Diego State University-College of Business Administration

Kuntara Pukthuanthong

University of Missouri, Columbia

Date Written: January 25, 2012

Abstract

Using daily returns to LIBOR and the US Treasury, we study prominent non-parametric jump measures to test whether the periods of highest jumps occur at the same time as FOMC and MPC meetings, and NBER recession periods. The results suggest important behavior patterns of the FOMC and MPC; unscheduled meetings by the Fed tend to occur before dates when jumps in UK and US interest rates are strongly correlated and in the presence of jumps in monetary policy. The suggested patterns provide implications for portfolio managers who can use jump detection to devise strategies for optimal diversification of correlated events.

Keywords: Jumps, Market Events, Structural Breaks, Monetary Policy

JEL Classification: E58, C51, C22

Suggested Citation

Juneja, Januj and Pukthuanthong, Kuntara, Jumps, Interest Rates, and Monetary Policy (January 25, 2012). Available at SSRN: https://ssrn.com/abstract=1787141 or http://dx.doi.org/10.2139/ssrn.1787141

Januj Juneja (Contact Author)

San Diego State University-College of Business Administration ( email )

5500 Campanile Drive
San Diego, CA 92108
United States
619 594 8397 (Phone)
619 594 3272 (Fax)

HOME PAGE: http://www-rohan.sdsu.edu/~cba/facdev/juneja.html

Kuntara Pukthuanthong

University of Missouri, Columbia ( email )

Robert J. Trulaske, Sr. College of Business
403 Cornell Hall
Columbia, MO 65211
United States
6198076124 (Phone)

HOME PAGE: https://www.kuntara.net/

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