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Quantile-on-quantile connectedness measures: Evidence from the US treasury yield curve

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  • Gabauer, David
  • Stenfors, Alexis

Abstract

This study introduces a novel quantile-on-quantile connectedness approach to explore reversely related and directly related quantile spillovers. To illustrate the benefits of the proposed method, we examine the spillovers across the 2-year US Treasury yield (US2Y) and the yield curve spread between the 10-year and 2-year US Treasury yield (US2Y10Y) from 13 July 1998 to 11 July 2023. The empirical results show that the average total connectedness between reversely related quantiles is substantially higher than directly related quantiles. Additionally, the average quantile-based total connectedness is heterogeneous over time and economic events dependent.

Suggested Citation

  • Gabauer, David & Stenfors, Alexis, 2024. "Quantile-on-quantile connectedness measures: Evidence from the US treasury yield curve," Finance Research Letters, Elsevier, vol. 60(C).
    • Handle: RePEc:eee:finlet:v:60:y:2024:i:c:s1544612323012242
    DOI: 10.1016/j.frl.2023.104852
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    Keywords

    US yield curve; Dynamic connectedness; Quantile-on-quantile;
    All these keywords.

    JEL classification:

    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
    • F65 - International Economics - - Economic Impacts of Globalization - - - Finance
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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