Conditional skewness of Treasury yields is an important indicator of the risks to the macroeconomic outlook. Positive skewness signals upside risk to interest rates during periods of accommodative monetary policy and an upward-sloping yield curve, and vice versa. Skewness has substantial predictive power for future bond excess returns, high-frequency interest rate changes around Federal Open Market Committee announcements, and survey forecast errors for interest rates. The estimated expectational errors, or biases in beliefs, are quantitatively important for statistical bond risk premia. These findings are consistent with a heterogeneous-beliefs model in which one of the agents is wrong about consumption growth.

中文翻译：

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利率偏度和偏见

美国国债收益率的条件偏度是宏观经济前景风险的重要指标。正偏度表明在宽松货币政策和收益率曲线向上倾斜期间利率存在上行风险，反之亦然。偏度对于未来债券超额回报、联邦公开市场委员会公告周围的高频利率变化以及利率调查预测误差具有显着的预测能力。估计的预期误差或信念偏差对于统计债券风险溢价在数量上很重要。这些发现与异质信念模型一致，其中一位代理人对消费增长的看法是错误的。