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Interest Rate Skewness and Biased Beliefs

Citations

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  2. Michael D. Bauer & Eric T. Swanson, 2023. "A Reassessment of Monetary Policy Surprises and High-Frequency Identification," NBER Macroeconomics Annual, University of Chicago Press, vol. 37(1), pages 87-155.
  3. Marco Graziano & Marius Koechlin & Andreas Tischbirek, 2026. "The Spillovers of LSAPs on Banks in the Euro Area," Finance and Economics Discussion Series 2026-005r1, Board of Governors of the Federal Reserve System (U.S.), revised 22 Jun 2026.
  4. Hilde C. Bjornland & Jamie L. Cross & Jonas Holz, 2025. "Re-visiting the Relationship Between Oil Prices and Monetary Policy," CAMA Working Papers 2025-19, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  5. Jean-Paul Renne & Sarah Mouabbi & Adrien Tschopp, 2026. "Inflation and Growth Risk: Balancing the Scales with Surveys," Working papers 1036, Banque de France.
  6. Ying, Shan & Sheen, Jeffrey & Gu, Xin & Wang, Ben Zhe, 2025. "Does monetary policy uncertainty moderate the transmission of policy shocks to government bond yields?," Journal of International Money and Finance, Elsevier, vol. 154(C).
  7. Michael D. Bauer & Travis J. Berge & Giuseppe Fiori & Francesca Loria & Molin Zhong, 2025. "Accounting for Uncertainty and Risks in Monetary Policy," Finance and Economics Discussion Series 2025-073, Board of Governors of the Federal Reserve System (U.S.).
  8. Marc Burri & Daniel Kaufmann, 2026. "Multiple monetary policy shocks from daily data: A heteroskedasticity IV approach," IRENE Working Papers 26-06, IRENE Institute of Economic Research.
  9. Guljanov, Gaygysyz & Mutschler, Willi & Trede, Mark, 2022. "Pruned Skewed Kalman Filter and Smoother: With Application to the Yield Curve," Dynare Working Papers 78, CEPREMAP.
  10. Foglia, Matteo & Gupta, Rangan & Caraiani, Petre & Pacelli, Vincenzo, 2026. "Time-varying spillover of multi-scale positive and negative bubbles in stock and oil markets," Finance Research Letters, Elsevier, vol. 88(C).
  11. Phillip An & Karlye Dilts Stedman & Amaze Lusompa, 2025. "How High Does High Frequency Need to Be? A Comparison of Daily and Intradaily Monetary Policy Surprises," Research Working Paper RWP 25-03, Federal Reserve Bank of Kansas City.
  12. Sylvérie Herbert & Paul Hubert & Mathias Lé, 2025. "When does Monetary Policy Matter? Policy Stance vs. Term Premium News 1," Sciences Po Economics Publications (main) hal-05481635, HAL.
  13. De Santis, Roberto A. & Tornese, Tommaso, 2024. "US monetary policy is more powerful in low economic growth regimes," Working Paper Series 2919, European Central Bank.
  14. Onur Polat & Rangan Gupta & Riza Demirer & Elie Bouri, 2025. "Implied Skewness of the Treasury Yield: A New Predictor for Stock Market Bubbles," Working Papers 202539, University of Pretoria, Department of Economics.
  15. van der Wel, Michel & Zhang, Yaoyuan, 2026. "Global evidence on unspanned macro risks in dynamic term structure models," Journal of Banking & Finance, Elsevier, vol. 185(C).
  16. Filippo Busetto, 2024. "Asymmetric expectations of monetary policy," Bank of England working papers 1058, Bank of England.
  17. Xinyang Li, 2025. "Tail risk and Flight-to-Safety," Journal of Asset Management, Palgrave Macmillan, vol. 26(4), pages 386-410, July.
  18. Ricardo J. Caballero & Alp Simsek, 2022. "Monetary Policy with Opinionated Markets," American Economic Review, American Economic Association, vol. 112(7), pages 2353-2392, July.
  19. Frédéric Vrins & Linqi Wang, 2023. "Asymmetric short-rate model without lower bound," Quantitative Finance, Taylor & Francis Journals, vol. 23(2), pages 279-295, February.
  20. Gergely Hudecz & Edmund Moshammer & Marco Onofri, 2024. "Option-implied bond spread risk," Working Papers 66, European Stability Mechanism, revised 25 Nov 2024.
  21. Camara, Santiago, 2025. "Spillovers of US interest rates: Monetary policy & information effects," Journal of International Economics, Elsevier, vol. 154(C).
  22. Pin Wang & Guojing Wang & Yang Yang & Jing Yao, 2025. "Tail Conditional Expectation and Tail Variance for Extended Generalized Skew-Elliptical Distributions," Mathematics, MDPI, vol. 13(18), pages 1-24, September.
  23. Chen, Zhengyang, 2026. "Demystifying monetary policy surprises: Fed response to financial conditions and wait and see for new economic data," Journal of Macroeconomics, Elsevier, vol. 87(C).
  24. Heyerdahl-Larsen, Christian & Illeditsch, Philipp, 2026. "Demand disagreement," Journal of Financial Economics, Elsevier, vol. 175(C).
  25. Doshi, Hitesh & Jacobs, Kris & Liu, Rui, 2024. "Modeling volatility in dynamic term structure models," Journal of Financial Economics, Elsevier, vol. 161(C).
  26. Macaulay, Alistair & Song, Wenting, 2022. "Narrative-Driven Fluctuations in Sentiment: Evidence Linking Traditional and Social Media," MPRA Paper 113620, University Library of Munich, Germany.
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