Cojump Anchoring

32 Pages Posted: 8 Jan 2021

See all articles by Lars Winkelmann

Lars Winkelmann

Free University of Berlin (FUB)

Wenying Yao

Deakin University - Department of Economics

Date Written: October 24, 2020


This paper develops a two-step inference procedure to test for a local one-for-one relation of contemporaneous jumps in high-frequency financial data corrupted by market microstructure noise. The first step develops a new bivariate Lee-Mykland jump test for pre-averaged, intra-day returns. If a jump is detected in at least one of the two assets, then the second step tests for equal jump sizes. We apply the test procedure to pairs of nominal and inflation-indexed government bond yields at monetary policy announcements in the U.S., U.K., and Euro Area. The analysis provides new high-frequency evidence about the anchoring of inflation expectations and central banks' ability to push a measure of inflation expectations towards their inflation target.

Keywords: High-frequency statistics, pre-averaging, jump test, break-even inflation, anchoring of inflation expectations

JEL Classification: C58, C12, C32, E58

Suggested Citation

Winkelmann, Lars and Yao, Wenying, Cojump Anchoring (October 24, 2020). Available at SSRN: or

Lars Winkelmann (Contact Author)

Free University of Berlin (FUB) ( email )

Van't-Hoff-Str. 8
Berlin, Berlin 14195

Wenying Yao

Deakin University - Department of Economics ( email )


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