Skewness risk and bond prices
dc.contributor.author | Ruge-Murcia, Francisco | |
dc.date.accessioned | 2013-01-09T20:10:07Z | |
dc.date.available | 2013-01-09T20:10:07Z | |
dc.date.issued | 2012-05 | |
dc.identifier.uri | http://hdl.handle.net/1866/8860 | |
dc.publisher | Université de Montréal. Département de sciences économiques. | fr |
dc.subject | Term structure of interest rates | en |
dc.subject | Bond premia | en |
dc.subject | Nonlinear dynamic models | en |
dc.subject | Simulated method of moments | en |
dc.title | Skewness risk and bond prices | en |
dc.type | Article | en |
dc.contributor.affiliation | Université de Montréal. Faculté des arts et des sciences. Département de sciences économiques | |
dcterms.abstract | 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. | en |
dcterms.isPartOf | urn:ISSN:0709-9231 | |
dcterms.language | eng | en |
UdeM.VersionRioxx | Version publiée / Version of Record | |
oaire.citationTitle | Cahier de recherche | |
oaire.citationIssue | 2012-14 |
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