Skewness Risk and Bond Prices
运用极值理论研究偏度风险对名义贷款合约的影响，发现数据拒绝正态分布假设，偏度风险占风险溢价12%，使债券收益率下降约55个基点。
Summary This paper uses extreme value theory to study the implications of skewness risk for nominal loan contracts in a production economy. Productivity and inflation innovations are drawn from generalized extreme value distributions. The model is solved using a third‐order perturbation and estimated by the simulated method of moments. Results show that the data reject the hypothesis that innovations are drawn from normal distributions and favor instead the alternative that they are drawn from asymmetric distributions. Estimates indicate that skewness risk accounts for 12 % of the risk premia and reduces bond yields by approximately 55 basis points. For a bond that pays 1 dollar at maturity, the adjustment factor associated with skewness risk ranges from 0.15 cents for a 3‐month bond to 2.05 cents for a 5‐year bond. Copyright © 2016 John Wiley & Sons, Ltd.