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Co-jumping of Treasury Yield Curve Rates

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  • Jozef Barunik
  • Pavel Fiser

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.

Suggested Citation

  • Jozef Barunik & Pavel Fiser, 2019. "Co-jumping of Treasury Yield Curve Rates," Papers 1905.01541, arXiv.org.
    • Handle: RePEc:arx:papers:1905.01541
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    References listed on IDEAS

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    2. Semeyutin, Artur & Downing, Gareth, 2022. "Co-jumps in the U.S. interest rates and precious metals markets and their implications for investors," International Review of Financial Analysis, Elsevier, vol. 81(C).

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