| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP16274 |
| DP16274 Interest Rate Skewness and Biased Beliefs | |
| Michael Bauer; Mikhail Chernov | |
| 发表日期 | 2021-06-17 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | The conditional skewness of Treasury yields is an important indicator of the risks to the macroeconomic outlook. Positive skewness signals upside risk to interest rates during peri- ods of accommodative monetary policy and an upward-sloping yield curve, and vice versa. Skewness has substantial predictive power for future bond excess returns, high-frequency interest rate changes around FOMC announcements, and survey forecast errors for interest rates. The estimated expectational errors, or biases in beliefs, are quantitatively important for statistical bond risk premia. These findings are consistent with a heterogeneous-beliefs model where one of the agents is wrong about consumption growth. |
| 主题 | Financial Economics |
| 关键词 | Bond markets Yield curve Skewness Biased beliefs monetary policy |
| URL | https://cepr.org/publications/dp16274-0 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/545239 |
| 推荐引用方式 GB/T 7714 | Michael Bauer,Mikhail Chernov. DP16274 Interest Rate Skewness and Biased Beliefs. 2021. |
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