Co-Jumping of Treasury Yield Curve Rates

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F24%3A00599185" target="_blank" >RIV/67985556:_____/24:00599185 - isvavai.cz</a>

Výsledek na webu

<a href="https://www.degruyter.com/document/doi/10.1515/snde-2022-0091/html" target="_blank" >https://www.degruyter.com/document/doi/10.1515/snde-2022-0091/html</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1515/snde-2022-0091" target="_blank" >10.1515/snde-2022-0091</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Co-Jumping of Treasury Yield Curve Rates

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Co-Jumping of Treasury Yield Curve Rates

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50202 - Applied Economics, Econometrics

Projekt

<a href="/cs/project/GX19-28231X" target="_blank" >GX19-28231X: Dynamické modely pro digitální finance</a><br>

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2024

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Studies in Nonlinear Dynamics and Econometrics

ISSN

1081-1826

e-ISSN

1558-3708

Svazek periodika

28

Číslo periodika v rámci svazku

3

Stát vydavatele periodika

US - Spojené státy americké

Počet stran výsledku

26

Strana od-do

481-506

Kód UT WoS článku

001101061600001

EID výsledku v databázi Scopus

2-s2.0-85197395201