# Co-jumping of Treasury Yield Curve Rates

## TL;DR

This paper investigates co-jumps in interest rate futures markets, using wavelet analysis to identify significant co-jumps and examining their relation to monetary policy announcements in the US and Europe.

## Contribution

It introduces a wavelet-based method to precisely localize co-jumps in yield curves and analyzes their impact on correlation structures, highlighting differences between US and European markets.

## Key findings

- US yield curves exhibit stronger co-jumping behavior than European ones.
- Co-jumps are significantly associated with monetary policy announcements.
- The study covers data from 2007 to 2017, analyzing 103 FOMC and 119 ECB events.

## 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.