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Empirical evidence on jumps in the term structure of the US Treasury Market

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  • Dungey, Mardi
  • McKenzie, Michael
  • Smith, L. Vanessa

Abstract

The dynamics of US Treasury prices may be interrupted by jumps, and cojumps -- where these occur simultaneously across the term structure. This paper finds significant evidence of jumps and cojumps in the US term structure using the Cantor-Fitzgerald tick dataset sampled over the period 2002-2006. While cojumping is frequently found in response to scheduled macroeconomic news announcement, around one-fifth of cojumps occur independently of news. The results are discussed in relation to term structure theories, day of the week effects, asymmetric news effects and trading volume.

Suggested Citation

  • Dungey, Mardi & McKenzie, Michael & Smith, L. Vanessa, 2009. "Empirical evidence on jumps in the term structure of the US Treasury Market," Journal of Empirical Finance, Elsevier, vol. 16(3), pages 430-445, June.
    • Handle: RePEc:eee:empfin:v:16:y:2009:i:3:p:430-445
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    More about this item

    Keywords

    US Treasuries High frequency Realized variance Jumps Cojumping;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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