Interest Rate Skewness and Biased Beliefs

• 成果类型: Article
• 署名作者: Bauer, Michael; Chernov, Mikhail
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - San Francisco; Centre for Economic Policy Research - UK; University of California System; University of California Los Angeles; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13276
• 发表日期: 2024
• 页码: 173-217
• 关键词: term structure; monetary-policy; RISK; expectations; INFORMATION; returns; volatility; futures; models; yields

摘要

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 Federal Open Market Committee 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 in which one of the agents is wrong about consumption growth.