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Cojump Anchoring

Authors: Winkelmann, Lars; Yao, Wenying;

Cojump Anchoring

Abstract

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.

Related Organizations
Keywords

High-frequency statistics, break-even inflation, anchoring of inflation expectations, ddc:330, pre-averaging, jump test, C58, E58, high-frequency statistics, 300 Sozialwissenschaften::330 Wirtschaft::332 Finanzwirtschaft, 300 Sozialwissenschaften::300 Sozialwissenschaften, Soziologie::300 Sozialwissenschaften, 300 Sozialwissenschaften::330 Wirtschaft::339 Makroökonomie und verwandte Themen, C32, C12

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
1
Average
Average
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