Bauer, Michael D.; Chernov, Mikhail - 2021 - First draft: January 2021, this draft: June 16, 2021
curve. Most importantly, variation in yield skewness has substantial forecasting power for future bond excess returns, high …-frequency interest rate changes around FOMC announcements, and consensus survey forecast errors for the ten-year Treasury yield. The …-term Treasury yields starting in late 2020. The connection between skewness, survey forecast errors, excess returns, and departures …