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

Journal of Empirical Finance

Volumn 16, Issue 3, 2009, Pages 430-445

  Dungey, Mardi ^a,b   McKenzie, Michael ^a,c   Smith, L Vanessa ^a  

^a UNIVERSITY OF CAMBRIDGE   (United Kingdom)

^b UNIVERSITY OF TASMANIA   (Australia)

^c UNIVERSITY OF SYDNEY   (Australia)

Author keywords

Cojumping; High frequency; Jumps; Realized variance; US Treasuries

Indexed keywords

EID: 64449084373     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jempfin.2008.12.002     Document Type: Article

References (55)

1. Aït-Sahalia Y., and Jacod J. Testing for Jumps in a Discretely Observed Process. Annals of Statistics 37 (2009) 184-222
2. Aït-Sahalia Y., Mykland P., and Zhang L. How often to sample a continuous-time process in the presence of market microstructure noise. Review of Financial Studies, 2005 18 (2005) 351-416
3. Andersson M. Using Intraday Data to Gauge Financial Market Responses to FED and ECB Monetary Policy Decisions. ECB Working Paper vol. 726 (2007)
4. Andersen T.G., and Bollerslev T. Deutsche Mark-Dollar volatility: intraday activity patterns, macroeconomic announcements, and longer run dependencies. The Journal of Finance 53 1 (1998) 219-265
5. Andersen T.G., and Benzoni L. Do Bonds Span Volatility Risk in the US Treasury Market? A Specification Test for Affine Term Structure Models. NBER Working Paper (2007) vol. 12962
6. Andersen T.G., Bollerslev T., and Diebold X. Roughing it up: including jump components in the measurement, modeling and forecasting of return volatility. Review of Economics and Statistics 89 (2007) 701-720
7. Andersen T.G., Bollerslev T., Diebold X., and Vega C. Real-time price discovery in global stock, bond and foreign exchange markets. Journal of International Economics 73 (2007) 251-277
8. Bae K.H., Karolyi G.A., and Stulz R.M. A new approach to measuring financial contagion. Review of Financial Studies 16 3 (2003) 717-763
9. Balduzzi P., Elton E.J., and Green T.C. Economic news and bond prices: evidence from the U.S. Treasury Market. Journal of Financial and Quantitative Analysis 36 4 (2001) 523-543
10. Bandi F.M., and Russell J.R. Separating micro structure noise from volatility. Journal of Financial Economics 79 (2006) 655-692
11. Barndorff-Neilsen O.E., and Shephard N. Power and bi-power variation with stochastic volatility and jumps. Journal of Financial Econometrics 2 (2004) 1-48
12. Barndorff-Neilsen O.E., and Shephard N. "Measuring the impact of jumps in multivariate price processs using bi-power covariation", manuscript (2004)
13. Barndorff-Nielsen O.E., and Shephard N. Econometrics of testing for jumps in financial economics using bipower variation. Journal of Financial Econometrics 4 (2006) 1-30
14. Barrett W.B., Gosnell T.F., and Heuson A.J. Term-structure factor shifts and economic news. Financial Analysts Journal 60 5 (2004) 81-94
15. Beine M., Lahre J., Laurent S., Neely C., and Palm F. Central Bank intervention and exchange rate volatility, its continuous and jump components. International Journal of Finance and Economics 12 (2007) 201-223
16. Becker K.G., Finnerty J.E., and Kopecky K.J. Macroeconomic news and the efficiency of international bond futures markets. Journal of Futures Markets 16 (1996) 131-145
17. Bollerslev T., Cai J., and Song F.M. Intraday periodicity, long memory volatility, and macroeconomic announcement effects on the US Treasury Bond market. Journal of Empirical Finance 7 (2000) 37-55
18. Bollerslev T., Law T., and Tauchen G. Risk, jumps and diversification. Journal of Econometrics 144 (2007) 234-256
19. Boni L., and Leach C. Expandable limit order markets. Journal of Financial Markets 7 (2004) 145-185
20. Boukus E., and Rosenberg J.V. The information content of FOMC minutes. Working Paper (2006), Federal Reserve Bank of New York
21. Brandt M.W., and Kavajecz K.A. Price discovery in the US treasury market: the impact of orderflow and liquidity on the yield curve. The Journal of Finance 59 6 (2004) 2623-2654
22. Campbell S.D., and Sharpe S.A. Anchoring bias in consensus forecasts and its effect on market prices. Finance and Economics Discussion Series, 2007-12, Federal Reserve Board, Washington, D.C (2007)
23. Das S.R. The surprise element: jumps in interest rates. Journal of Econometrics 106 (2002) 27-65
24. de Goeij P., and Marquering W. Macroeconomic announcements and asymmetric volatility in bond returns. Journal of Banking & Finance 30 (2006) 2659-2680
25. Dungey M., and Martin V.L. Unravelling financial market linkages during crises. Journal of Applied Econometrics 22 1 (2007) 89-119
26. Dungey M., Goodhart C., and Tambakis D. The US Treasury market in August 1998: untangling the effects of Hong Kong and Russia with high frequency data. International Journal of Finance and Economics 13 (2008) 400-452
27. Ederington L.H., and Lee J.H. How markets process information: news releases and volatility. Journal of Finance 48 (1993) 1161-1191
28. Fleming M.J. The round-the-clock market for U.S. Treasury Securities. FRBNY Economic Policy Review 3 2 (1997) 9-32
29. Fleming M.J., and Remolona E. What moves the bond market?. Federal Reserve Bank of New York Economic Policy Review 3 (1997) 31-50
30. Fleming M.J., and Remolona E.M. Price formation and liquidity in the U.S. treasury market: the response to public information. Journal of Finance 54 (1999) 1901-1915
31. Fleming M.J., and Remolona E.M. What moves bond prices?. Journal of Portfolio Management 25 (1999) 28-38
32. Goldberg L., and Leonard D. What moves sovereign bond markets? The effects of economic news on US and German yields. Current Issues in Economics and Finance, Federal Reserve Bank of New York 9 (2003) 1-7
33. Green T.C. Economic news and the impact of trading on bond prices. The Journal of Finance 59 3 (2004) 1201-1233
34. Griffin J.E., and Oomen R. Sampling Returns for Realized Variance Calculations: Tick Time or Transaction Time?. Econometric Reviews 27 (2008) 230-253
35. Gurkaynak R., Sack B., and Swanson E. The sensitivity of long-term interest rates to economic news: evidence and implications for macroeconomic models. American Economic Review 95 1 (2005) 425-436
36. Gurkaynak R.S., and Wolfers J. Macroeconomic Derivatives: An Initial Analysis of Market Based Macro Forecasts, Uncertainty, and Risk. NBER Working Paper vol. 11929 (2006)
37. Huang X., and Tauchen G. Anchoring bias in consensus forecasts and its effect on market prices. Journal of Financial Econometrics 3 4 (2005) 456-499
38. Jacod J., and Todorov V. "Testing for common arrivals of jumps for discretely observed multidimensional processes", manuscript (2007)
39. Jiang G., Lo I., and Verdelhan A. "Information Shocks, Liquidity Shocks and Market Behavior: Evidence from the U.S. Treasury Market", manuscript (2007)
40. Johannes M. The statistical and economic role of jumps in continuous-time interest rate models. Journal of Finance 59 1 (2004) 227-260
41. Jones C., Lamont O., and Lumsdaine R. Macroeconomic news and bond market volatility. Journal of Financial Economics 47 3 (1998) 315-337
42. Lahaye J., Laurent S., and Neely S. Jumps, cojumps and macro announcements. Federal Reserve Bank of St. Louis, Working Paper 2007-032A (2007)
43. Li L., and Engle R. Macroeconomic Announcements and Volatility of Treasury Futures (1998), Working Paper, University of California, San Diego
44. Mizrach B., and Neely C.J. The transition to electronic communications networks in the secondary treasury market. Federal Reserve Bank of St. Louis Review 88 (2006) 527-541
45. Mizrach B., and Neely C.J. Information shares in the U.S. Treasury market. Journal of Banking and Finance 32 (2008) 1221-1233
46. Modigliani F., and Sutch R. Innovations in interest rate policy. American Economic Review 56 (1966) 178-197
47. Oomen R. Properties of realized variance under alternative sampling schemes. Journal of Business and Economic Statistics 24 2 (2006) 219-237
48. Pasquariello P., and Vega C. Informed and strategic order flow in the bond markets. Review of Financial Studies 20 (2007) 1975-2019
49. Pérignon C., and Villa C. Sources of time variation in the covariance matrix of interest rates. The Journal of Business 79 3 (2006) 1535-1549
50. Piazzesi M. Bond yields and the Federal Reserve. Journal of Political Economy 113 2 (2005) 311-344
51. Ramchander S., Simpson M.W., and Chaudhry M. The influence of macroeconomic news on term and quality spreads. The Quarterly Review of Economics and Finance 45 (2005) 84-102
52. Simpson M.W., and Ramchander S. An examination of the impact of macroeconomic news on the spot and futures treasuries markets. Journal of Futures Markets 24 5 (2004) 453-478
53. Sheppard K. "Realized Covariance and Scrambling", manuscript (2006), University of Oxford
54. Tauchen G., and Zhou H. Realized jumps on financial markets and predicting credit spreads. The Federal Reserve Board, Finance and Economics Discussion Series (2006) 2006-2035
55. Zhang L., Mykland P.A., and Aït-Sahalia Y. A tale of two time scales: determining integrated volatility with noisy high-frequency data. Journal of the American Statistical Association 100 472 (2005) 1394-1411