Durham, J. Benson - Federal Reserve Board (Board of Governors of the … - 2007
The skew, irrespective of the mean and variance, of investors' interest rate expectations may affect required bond ….benson.durham@frb.gov
Abstract
The skew, irrespective of the mean and variance, of investors’ interest rate expectations
may affect required bond …. With negative interest rate skew, investors are willing to pay more
to hold longer-dated bonds, bond prices are …