Tests for jumps in yield spreads

Arbeitspapier

This paper develops high-frequency econometric methods to test for jumps in the spread of bond yields. We derive a coherent inference procedure that detects a jump in the yield spread only if at least one of the two underlying bonds displays a jump. We formalize the test as a sequential procedure in the context of an intersection union test in multiple testing and introduce a new bivariate jump test for pre-averaged intra-day returns. In an empirical application involving high-frequency data of U.S. government bonds, we contrast response patterns of term spreads and break-even in ation across monetary policy announcements, in ation, and employment news releases.

Objekt anzeigen

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Discussion Paper ; No. 2021/15

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Financial Econometrics ; Hypothesis Testing: General ; Interest Rates: Determination, Term Structure, and Effects ; Financial Markets and the Macroeconomy
• Thema: High-frequency data ; sequential testing ; news announcements ; term spread ; break-even inflation

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Winkelmann, Lars ; Yao, Wenying
• Ereignis: Veröffentlichung
• (wer): Freie Universität Berlin, School of Business & Economics
• (wo): Berlin
• (wann): 2021

Weitere Informationen

• DOI: doi:10.17169/refubium-32211
• Handle: http://hdl.handle.net/10419/246078
• URN: urn:nbn:de:kobv:188-refubium-32486-3