The Impact of FOMC Announcements on Return and Volatility Spillovers in Us Treasury Futures

55 Pages Posted: 16 Oct 2024

See all articles by Yu-Lun Chen

Yu-Lun Chen

Chung Yuan Christian University

Chiu-Ya Fu

Chung Yuan Christian University

J. Jimmy Yang

Oregon State University

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Abstract

We examine the impact of Federal Open Market Committee (FOMC) announcements on the intraday return and volatility of various maturities of U.S. Treasury futures. Our analysis unveils contemporaneous connections in returns and volatilities across all futures, amplified post-FOMC announcements, except for 30-year futures. FOMC announcements strengthen the intertemporal volatility transmitter role of 5-year futures, primarily because of its high liquidity. Forward guidance enhances this role for 2-year and 5-year futures, while large-scale asset purchases trigger volatility transmission from 10-year futures. These results offer valuable insights for market participants seeking to comprehend information transmission and aggregation dynamics among Treasury futures in response to FOMC announcements.

Keywords: US Treasury futures, Federal Open Market Committee (FOMC), Federal funds rate, Price discovery.

Suggested Citation

Chen, Yu-Lun and Fu, Chiu-Ya and Yang, J. Jimmy, The Impact of FOMC Announcements on Return and Volatility Spillovers in Us Treasury Futures. Available at SSRN: https://ssrn.com/abstract=4989774 or http://dx.doi.org/10.2139/ssrn.4989774

Yu-Lun Chen

Chung Yuan Christian University ( email )

22 Pu-Jen, Pu-chung Li
Chung-Li, 32023
Taiwan

Chiu-Ya Fu

Chung Yuan Christian University ( email )

22 Pu-Jen, Pu-chung Li
Chung-Li, 32023
Taiwan

J. Jimmy Yang (Contact Author)

Oregon State University ( email )

426 Austin Hall
Corvallis, OR 97331
United States
5417376005 (Phone)

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