Abstract
This paper analyzes the connectedness and spillover transmission mechanism in the U.S. Treasury yields with different maturities than previous studies which focused on the spread between short- and long-term rates. We find that 5-year Treasury yields play the role of the transmitter to other yields, conveying their liquidity and center location in yield curve advantages. Most importantly, the information transmitter role of 5-year Treasury yields remains unchanged under unconventional monetary policies even though these policies decrease the total connectedness of Treasury yields. The transmitter role of the 5-year Treasury has also manifested in the Treasury market flash event and in Treasury futures and ETFs.
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