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SUMMARY:Interest Rate Skewness and Biased Beliefs
DTSTART:20220513T103000
DTEND:20220513T120000
DTSTAMP:20260429T173013Z
UID:8551df879e47469dfa0010d7cc1ae89d262a1e95eb160c0fa05ad9bc
CATEGORIES:Conferences - Seminars
DESCRIPTION:Michael Bauer\, Universität Hamburg\nThe conditional skewness
  of Treasury yields is an important indicator of the risks to the macroeco
 nomic outlook. Positive skewness signals upside risk to interest rates dur
 ing periods of accommodative monetary policy and an upward-sloping yield c
 urve\, and vice versa. Skewness has substantial predictive power for futur
 e bond excess returns\, high-frequency interest rate changes around FOMC a
 nnouncements\, and survey forecast errors for interest rates. The estimate
 d expectational errors\, or biases in beliefs\, are quantitatively importa
 nt for statistical bond risk premia. These findings are consistent with a 
 heterogeneous-beliefs model where one of the agents is wrong about consump
 tion growth.\n\nPaper
LOCATION:UniL Campus\, Extra 126
STATUS:CONFIRMED
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