Winkelmann, Lars; Bibinger, Markus; Linzert, Tobias - Verein für Socialpolitik - VfS - 2013
We propose a new monetary policy surprise measure based on cojumps in tick-data of a short and long term interest rate. We extend a recently proposed test for cojumps to distinguish policy announcements that shift the short and long end of the yield curve in the same direction (level shift) and...