  We study the role of co-jumps in the interest rate futures markets. To
disentangle continuous part of quadratic covariation from co-jumps, we localize
the co-jumps precisely through wavelet coefficients and identify statistically
significant ones. Using high frequency data about U.S. and European yield
curves we quantify the effect of co-jumps on their correlation structure.
Empirical findings reveal much stronger co-jumping behavior of the U.S. yield
curves in comparison to the European one. Further, we connect co-jumping
behavior to the monetary policy announcements, and study effect of 103 FOMC and
119 ECB announcements on the identified co-jumps during the period from January
2007 to December 2017.
