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Erscheinungsjahr: 
2021
Schriftenreihe/Nr.: 
Discussion Paper No. 2021/15
Verlag: 
Freie Universität Berlin, School of Business & Economics, Berlin
Zusammenfassung: 
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.
Schlagwörter: 
High-frequency data
sequential testing
news announcements
term spread
break-even inflation
JEL: 
C58
C12
E43
E44
Persistent Identifier der Erstveröffentlichung: 
Dokumentart: 
Working Paper

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