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
收藏
页码：93 / 107
页数：15
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