IMFS interest rate skewness and biased beliefs
- Conditional 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.
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| Verfasserangaben: | Michael BauerORCiDGND, Mikhail Chernov |
|---|---|
| URN: | urn:nbn:de:hebis:30:3-617766 |
| URL: | https://www.imfs-frankfurt.de/de/forschung/imfs-working-papers/details/publication/interest-rate-skewness-and-biased-beliefs.html |
| Titel des übergeordneten Werkes (Englisch): | Working paper series / Institute for Monetary and Financial Stability ; 163 |
| Schriftenreihe (Bandnummer): | Working paper series / Institute for Monetary and Financial Stability (163) |
| Verlag: | Johann Wolfgang Goethe-Univ., Inst. for Monetary and Financial Stability |
| Verlagsort: | Frankfurt am Main |
| Dokumentart: | Arbeitspapier |
| Sprache: | Englisch |
| Jahr der Fertigstellung: | 2021 |
| Jahr der Erstveröffentlichung: | 2021 |
| Veröffentlichende Institution: | Universitätsbibliothek Johann Christian Senckenberg |
| Datum der Freischaltung: | 04.08.2021 |
| Freies Schlagwort / Tag: | biased beliefs; bond markets; monetary policy; skewness; yield curve |
| Ausgabe / Heft: | First draft: January 2021 ; This draft: June 16, 2021 |
| Seitenzahl: | 62 |
| Institute: | Wirtschaftswissenschaften / Wirtschaftswissenschaften |
| Wissenschaftliche Zentren und koordinierte Programme / Institute for Monetary and Financial Stability (IMFS) | |
| Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS) | |
| Wissenschaftliche Zentren und koordinierte Programme / Sustainable Architecture for Finance in Europe (SAFE) | |
| DDC-Klassifikation: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
| Sammlungen: | Universitätspublikationen |
| Lizenz (Deutsch): |  Deutsches Urheberrecht |
