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Macroeconomic Foundations of Higher Moments in Bond Yields

Kurtosis 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.