| 000 | 02465cam a22003617 4500 | ||
|---|---|---|---|
| 001 | w28954 | ||
| 003 | NBER | ||
| 005 | 20211020103128.0 | ||
| 006 | m o d | ||
| 007 | cr cnu|||||||| | ||
| 008 | 210910s2021 mau fo 000 0 eng d | ||
| 100 | 1 | _aBauer, Michael D. | |
| 245 | 1 | 0 |
_aInterest Rate Skewness and Biased Beliefs / _cMichael D. Bauer, Mikhail Chernov. |
| 260 |
_aCambridge, Mass. _bNational Bureau of Economic Research _c2021. |
||
| 300 |
_a1 online resource: _billustrations (black and white); |
||
| 490 | 1 |
_aNBER working paper series _vno. w28954 |
|
| 500 | _aJune 2021. | ||
| 520 | 3 | _aConditional yield skewness is an important summary statistic of the state of the economy. It exhibits pronounced variation over the business cycle and with the stance of monetary policy, and a tight relationship with the slope of the yield curve. Most importantly, variation in yield skewness has substantial forecasting power for future bond excess returns, high-frequency interest rate changes around FOMC announcements, and consensus survey forecast errors for the ten-year Treasury yield. The COVID pandemic did not disrupt these relations: historically high skewness correctly anticipated the run-up in long-term Treasury yields starting in late 2020. The connection between skewness, survey forecast errors, excess returns, and departures of yields from normality is consistent with a theoretical framework where one of the agents has biased beliefs. | |
| 530 | _aHardcopy version available to institutional subscribers | ||
| 538 | _aSystem requirements: Adobe [Acrobat] Reader required for PDF files. | ||
| 538 | _aMode of access: World Wide Web. | ||
| 588 | 0 | _aPrint version record | |
| 690 | 7 |
_aE43 - Interest Rates: Determination, Term Structure, and Effects _2Journal of Economic Literature class. |
|
| 690 | 7 |
_aE44 - Financial Markets and the Macroeconomy _2Journal of Economic Literature class. |
|
| 690 | 7 |
_aE52 - Monetary Policy _2Journal of Economic Literature class. |
|
| 690 | 7 |
_aG12 - Asset Pricing • Trading Volume • Bond Interest Rates _2Journal of Economic Literature class. |
|
| 700 | 1 |
_aChernov, Mikhail. _929165 |
|
| 710 | 2 | _aNational Bureau of Economic Research. | |
| 830 | 0 |
_aWorking Paper Series (National Bureau of Economic Research) _vno. w28954. |
|
| 856 | 4 | 0 | _uhttps://www.nber.org/papers/w28954 |
| 856 |
_yAcceso en línea al DOI _uhttp://dx.doi.org/10.3386/w28954 |
||
| 942 |
_2ddc _cW-PAPER |
||
| 999 |
_c387875 _d346437 |
||