国债收益率曲线利率的共同跳跃

IF 0.7 4区经济学 Q3 ECONOMICS

Studies in Nonlinear Dynamics and Econometrics Pub Date : 2023-11-08 DOI:10.1515/snde-2022-0091

Jozef Baruník, Pavel Fiser

{"title":"国债收益率曲线利率的共同跳跃","authors":"Jozef Baruník, Pavel Fiser","doi":"10.1515/snde-2022-0091","DOIUrl":null,"url":null,"abstract":"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.","PeriodicalId":46709,"journal":{"name":"Studies in Nonlinear Dynamics and Econometrics","volume":" 13","pages":"0"},"PeriodicalIF":0.7000,"publicationDate":"2023-11-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Co-Jumping of Treasury Yield Curve Rates\",\"authors\":\"Jozef Baruník, Pavel Fiser\",\"doi\":\"10.1515/snde-2022-0091\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"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.\",\"PeriodicalId\":46709,\"journal\":{\"name\":\"Studies in Nonlinear Dynamics and Econometrics\",\"volume\":\" 13\",\"pages\":\"0\"},\"PeriodicalIF\":0.7000,\"publicationDate\":\"2023-11-08\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Studies in Nonlinear Dynamics and Econometrics\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1515/snde-2022-0091\",\"RegionNum\":4,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"ECONOMICS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Studies in Nonlinear Dynamics and Econometrics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1515/snde-2022-0091","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"ECONOMICS","Score":null,"Total":0}

引用次数: 0

摘要

摘要本文研究了共同跳变在利率期货市场中的作用。为了从共跳中分离出二次共变的连续部分，我们通过小波系数对共跳进行精确定位，并识别出具有统计意义的共跳。利用美国和欧洲收益率曲线的高频数据，我们量化了共同跳跃对其相关结构的影响。实证研究结果显示，与欧洲相比，美国收益率曲线的共同跳涨行为要强烈得多。此外，我们将共同跳跃行为与货币政策公告联系起来，并研究了2007年1月至2017年12月期间联邦公开市场委员会(FOMC)的103个公告和欧洲央行的119个公告对确定的共同跳跃的影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Co-Jumping of Treasury Yield Curve Rates

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.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Studies in Nonlinear Dynamics and Econometrics Multiple-

CiteScore

1.40

自引率

12.50%

发文量

期刊介绍： Studies in Nonlinear Dynamics & Econometrics (SNDE) recognizes that advances in statistics and dynamical systems theory may increase our understanding of economic and financial markets. The journal seeks both theoretical and applied papers that characterize and motivate nonlinear phenomena. Researchers are required to assist replication of empirical results by providing copies of data and programs online. Algorithms and rapid communications are also published.