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Review of Derivatives Research
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03-09-2021

Economic policy uncertainty and volatility of treasury futures

Authors: Maojun Zhang, Yang Zhao, Jiangxia Nan

Published in: Review of Derivatives Research | Issue 1/2022

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Abstract

The article delves into the relationship between economic policy uncertainty (EPU) and the volatility of treasury futures in China and the US. It utilizes GARCH-MIDAS models to analyze how EPU influences the long-term volatility of treasury futures markets. The study covers the period from September 2013 to March 2021, including the COVID-19 pandemic, and finds significant causal effects of EPU on treasury futures volatility. The research highlights the importance of EPU in predicting market volatility and its implications for asset pricing and risk management.
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Metadata
Title
Economic policy uncertainty and volatility of treasury futures
Authors
Maojun Zhang
Yang Zhao
Jiangxia Nan
Publication date
03-09-2021
Publisher
Springer US
Published in
Review of Derivatives Research / Issue 1/2022
Print ISSN: 1380-6645
Electronic ISSN: 1573-7144
DOI
https://doi.org/10.1007/s11147-021-09182-8

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