Co-jumping of Treasury Yield Curve Rates

37 Pages Posted: 10 Jun 2019

See all articles by Jozef Baruník

Jozef Baruník

Charles University in Prague - Department of Economics; Institute of Information Theory and Automation, Prague

Pavel Fiser

Charles University in Prague, Faculty of Social Sciences, Institute of Economic Studies, Students

Date Written: May 4, 2019

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: Co-jumps, Yield curve, Wavelets, High frequency data

JEL Classification: C14, C53, G17

Suggested Citation

Barunik, Jozef and Fiser, Pavel, Co-jumping of Treasury Yield Curve Rates (May 4, 2019). Available at SSRN: https://ssrn.com/abstract=3382841 or http://dx.doi.org/10.2139/ssrn.3382841

Jozef Barunik (Contact Author)

Charles University in Prague - Department of Economics ( email )

Opletalova 26
Prague 1, 110 00
Czech Republic

HOME PAGE: http://ies.fsv.cuni.cz/en/staff/barunik

Institute of Information Theory and Automation, Prague ( email )

Pod vodarenskou vezi 4
CZ-18208 Praha 8
Czech Republic

HOME PAGE: http://staff.utia.cas.cz/barunik/home.htm

Pavel Fiser

Charles University in Prague, Faculty of Social Sciences, Institute of Economic Studies, Students ( email )

Opletalova 26
Praha 1
Czech Republic

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