Conditional yield skewness is an important summary statistic of the state of the economy. It exhibits pronounced … curve. Most importantly, variation in yield skewness has substantial forecasting power for future bond excess returns, high … COVID pandemic did not disrupt these relations: historically high skewness correctly anticipated the run-up in long …

Conditional yield skewness is an important summary statistic of the state of the economy. It exhibits pronounced … curve. Most importantly, variation in yield skewness has substantial forecasting power for future bond excess returns, high … COVID pandemic did not disrupt these relations: historically high skewness correctly anticipated the run-up in long …