Suchergebnisse

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 inflation across monetary policy announcements, inflation, and employment news releases.

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.

This paper develops a two-step inference procedure to test for a local one-for-one relation of contemporaneous jumps in high-frequency financial data corrupted by market microstructure noise. The first step develops a new bivariate Lee-Mykland jump test for pre-averaged, intra-day returns. If a jump is detected in at least one of the two assets, then the second step tests for equal jump sizes. We apply the test procedure to pairs of nominal and inflationindexed government bond yields at monetary policy announcements in the U.S., U.K., and Euro Area. The analysis provides new high-frequency evidence about the anchoring of inflation expectations and central banks' ability to push a measure of inflation expectations towards their inflation target.

This paper develops a two-step inference procedure to test for a local one-for-one relation of contemporaneous jumps in high-frequency financial data corrupted by market microstructure noise. The first step develops a new bivariate Lee-Mykland jump test for pre-averaged, intra-day returns. If a jump is detected in at least one of the two assets, then the second step tests for equal jump sizes. We apply the test procedure to pairs of nominal and inflationindexed government bond yields at monetary policy announcements in the U.S., U.K., and Euro Area. The analysis provides new high-frequency evidence about the anchoring of inflation expectations and central banks' ability to push a measure of inflation expectations towards their inflation target.