Quantile-on-quantile connectedness measures: evidence from the US treasury yield curve

David Gabauer, Alexis Stenfors

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Abstract

This study introduces a novel quantile-on-quantile connectedness approach to explore reversely related and directly related quantile spillovers. To illustrate the benefits of the proposed method, we examine the spillovers across the 2-year US Treasury yield (US2Y) and the yield curve spread between the 10-year and 2-year US Treasury yield (US2Y10Y) from 13 July 1998 to 11 July 2023. The empirical results show that the average total connectedness between reversely related quantiles is substantially higher than directly related quantiles. Additionally, the average quantile-based total connectedness is heterogeneous over time and economic events dependent.
Original languageEnglish
Article number104852
Number of pages6
JournalFinance Research Letters
Volume60
Early online date21 Dec 2023
DOIs
Publication statusPublished - 1 Feb 2024

Keywords

  • US yield curve
  • Dynamic connectedness
  • Quantile-on-quantile

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