Interest Rate Skewness and Biased Beliefs
研究发现国债收益率的条件偏斜度是宏观经济风险的重要指标，能预测债券超额收益、美联储公告前后的利率变动以及调查预测误差，且信念偏差对统计上的债券风险溢价有显著影响。
ABSTRACT 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.