| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w28954 |
| 来源ID | Working Paper 28954 |
| Interest Rate Skewness and Biased Beliefs | |
| Michael D. Bauer; Mikhail Chernov | |
| 发表日期 | 2021-06-28 |
| 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 periods 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 | Macroeconomics ; Money and Interest Rates ; Monetary Policy ; Financial Economics ; Portfolio Selection and Asset Pricing ; COVID-19 |
| URL | https://www.nber.org/papers/w28954 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/586628 |
| 推荐引用方式 GB/T 7714 | Michael D. Bauer,Mikhail Chernov. Interest Rate Skewness and Biased Beliefs. 2021. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w28954.pdf（609KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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