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dc.contributor.authorDavid, Backus-
dc.contributor.authorForesi, Silverio-
dc.contributor.authorWu, Liuren-
dc.description.abstractKurtosis in asset prices and returns has been so widely documented it hardly bears comment. Equally interesting, in our view, is the relatively modest kurtosis in consumption growth and inflation. The question is how to reconcile the two: Is kurtosis in asset prices inherited from macroeconomic fundamentals, or does some feature of the economy generate leptokurtotic returns internally? We describe a model that reconciles the two by generating leptokurtotic interest rates from a near-normal pricing kernel.en
dc.subjectterm structureen
dc.subjectskewness and kurtosisen
dc.subjectmulti-factors affine modelsen
dc.subjectpricing kernelsen
dc.subjectconsumption growthen
dc.titleMacroeconomic Foundations of Higher Moments in Bond Yieldsen
dc.typeWorking Paperen
Appears in Collections:Finance Working Papers

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