This paper proposes a new econometric approach to disentangle two distinct response patterns of the yield curve to monetary policy announcements. Based on cojumps in intraday tick-data of a short and long term interest rate, we develop a day-wise test that detects the occurrence of a significant...

We establish estimation methods to determine co-jumps in multivariate high-frequency data with nonsynchronous observations and market microstructure noise. The ex-post quadratic covariation of the signal part, which is modeled by an Itˆo-semimartingale, is estimated with a locally adaptive...

We quantify spillovers of inflation expectations between the United States (US) and Euro Area (EA) based on break-even inflation (BEI) rates. In contrast to previous studies, we model US and EA BEI rates jointly in a structural vector autoregressive (SVAR) model. The SVAR approach allows to...

This paper proposes an ESTAR modeling framework to analyze the anchoring of inflation expectations. Anchoring criteria are empirical estimates of a market implied inflation target as well as the strength of the anchor that holds expectations at the target. Results from daily financial market...

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...

This paper proposes a new econometric approach to disentangle two distinct response patterns of the yield curve to monetary policy announcements. Based on cojumps in intraday tick-data of a short and long term interest rate, we develop a day-wise test that detects the occurrence of a significant...

This paper proposes a new approach to assess the degree of anchoring of inflation expectations. We extend the static setup of the predominant news regressions by introducing exponential smooth transition autoregressive dynamics. Our approach provides estimates of a market-perceived inflation...

We establish estimation methods to determine co-jumps in multivariate high-frequency data with non-synchronous observations and market microstructure. A rate-optimal estimator of the entire quadratic covariation of an Itô-semimartingale is constructed by a locally adaptive spectral approach....

We present a three-player game in which a proposer makes a suggestion on how to split $10 with a passive responder. The oer is accepted or rejected depending on the strategy prole of a neutral third-party whose payos are independent from his decisions. If the oer is accepted the split takes...

The distribution of treatment eects extends the prevailing focus on average treatment eects to the tails of the outcome variable and quantile treatment eects denote the predominant technique to compute those eects in the presence of a confounding mechanism. The underlying quantile regression is...