Economic policy uncertainty and volatility of treasury futures

被引：2

作者：

Zhang, Maojun ^{[1
]}

Zhao, Yang ^{[1
]}

Nan, Jiangxia ^{[1
]}

机构：

[1] Suzhou Univ Sci & Technol, Sch Business, Xuefu Rd 99, Suzhou 215009, Jiangsu, Peoples R China

来源：

REVIEW OF DERIVATIVES RESEARCH | 2022年 / 25卷 / 01期

基金：

中国国家自然科学基金;

关键词：

Economic policy uncertainty; Treasury futures; Volatility; Mixed frequency regression; STOCK-MARKET VOLATILITY; GOVERNMENT BOND FUTURES; PRICE DISCOVERY; INFORMATION; IMPACT;

D O I：

10.1007/s11147-021-09182-8

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper investigates the relation between Treasury futures market volatility and economic policy uncertainty using GARCH-MIDAS. We formulated models with the realized volatility of Treasury futures, the level and volatility of economic policy uncertainty. We find that the realized volatility of Treasury futures and economic policy uncertainty play a significant role in the dynamics of long-run volatility in Treasury futures markets in China and United States.

引用

页码：93 / 107

页数：15

共 50 条

[1] Economic policy uncertainty and volatility of treasury futures
Maojun Zhang
Yang Zhao
Jiangxia Nan
[J]. Review of Derivatives Research, 2022, 25 : 93 - 107
[2] Global economic policy uncertainty and oil futures volatility prediction
Zhao, Ling
[J]. FINANCE RESEARCH LETTERS, 2023, 54
[3] Is economic policy uncertainty important to forecast the realized volatility of crude oil futures?
Ma, Feng
Wahab, M. I. M.
Liu, Jing
Liu, Li
[J]. APPLIED ECONOMICS, 2018, 50 (18) : 2087 - 2101
[4] Economic policy uncertainty and grain futures price volatility: evidence from China
Xiao, Xiaoyong
Tian, Qingsong
Hou, Shuxia
Li, Chongguang
[J]. CHINA AGRICULTURAL ECONOMIC REVIEW, 2019, 11 (04) : 642 - 654
[5] Treasury Bond Volatility and Uncertainty about Monetary Policy
Arnold, Ivo J. M.
Vrugt, Evert B.
[J]. FINANCIAL REVIEW, 2010, 45 (03) : 707 - 728
[6] Economic uncertainty, trading activity, and commodity futures volatility
Watugala, Sumudu W.
[J]. JOURNAL OF FUTURES MARKETS, 2019, 39 (08) : 921 - 945
[7] Economic policy uncertainty and cryptocurrency volatility
Yen, Kuang-Chieh
Cheng, Hui-Pei
[J]. FINANCE RESEARCH LETTERS, 2021, 38
[8] Forecasting oil futures price volatility with economic policy uncertainty: a CARR-MIDAS model
Wu, Xinyu
Cui, Hao
Wang, Lu
[J]. APPLIED ECONOMICS LETTERS, 2023, 30 (02) : 120 - 125
[9] Forecasting the volatility of EUA futures with economic policy uncertainty using the GARCH-MIDAS model
Liu, Jian
Zhang, Ziting
Yan, Lizhao
Wen, Fenghua
[J]. FINANCIAL INNOVATION, 2021, 7 (01)
[10] Forecasting the volatility of EUA futures with economic policy uncertainty using the GARCH-MIDAS model
Jian Liu
Ziting Zhang
Lizhao Yan
Fenghua Wen
[J]. Financial Innovation, 7

← 1 2 3 4 5 →