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Permalink: http://hdl.handle.net/1866/8860

Skewness risk and bond prices

Article [Version of Record]
Thumbnail
2012-14-cah.pdf (489.7Kb)
Is part of
Cahier de recherche ; no. 2012-14.
Publisher(s)
Université de Montréal. Département de sciences économiques.
2012-05
Author(s)
Ruge-Murcia, Francisco
Affiliation
  • Université de Montréal. Faculté des arts et des sciences. Département de sciences économiques
Keywords
  • Term structure of interest rates
  • Bond premia
  • Nonlinear dynamic models
  • Simulated method of moments
Abstract(s)
Statistical evidence is reported that even outside disaster periods, agents face negative consumption skewness, as well as positive inflation skewness. Quantitative implications of skewness risk for nominal loan contracts in a pure exchange economy are derived. Key modeling assumptions are Epstein-Zin preferences for traders and asymmetric distributions for consumption and inflation innovations. The model is solved using a third-order perturbation and estimated by the simulated method of moments. Results show that skewness risk accounts for 6 to 7 percent of the risk premia depending on the bond maturity.
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  • Faculté des arts et des sciences – Département de sciences économiques - Travaux et publications [552]

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