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Interest Rate Skewness and Biased Beliefs
The conditional skewness of Treasury yields is an important indicator of the risks to the macroeconomic outlook. Positive skewness …
Michael D. Bauer, Mikhail Chernov
PDF NBER Working Paper CEPR Discussion Paper
An Alternative Explanation for the 'Fed Information Effect'
High-frequency changes in interest rates around FOMC announcements are astandard method of measuring monetary policy shocks. However, …
Michael D. Bauer, Eric T. Swanson
PDF Online Appendix FRBSF Working Paper NBER Working Paper