Instrumental variable tests.

This study uses the numerical changes of the systematic skewness factors to reflect investors’ preferences for the systematic skewness of stocks. As systematic skewness describes the correlation between individual stock returns and market volatility, stocks with positive systematic skewness can obtain positive returns during periods of market volatility. Thus, investors’ preferences for the systematic skewness of stocks can reflect their hedging demands. By examining the predictive power of systematic skewness factors on future interest rates, we found that systematic skewness factors have a significant predictive power on future interest rates. This indicates that investors’ hedging demands influence adjustments to interest rates by China’s monetary authorities. Moreover, for both short‑term and long‑term interest rates, prediction errors based on systematic skewness factors are consistently lower than those from an AR model and the extended Taylor‑rule model proposed by Ma et al. (2025). Systematic skewness can serve as an asymmetric pricing signal in the market for extreme interest rate risks. Its increase often indicates a rise in investors’ anxiety over liquidity tightening, thereby providing central banks with a forward-looking sentiment monitoring window independent of traditional economic indicators.本研究借助系统偏度因子（systematic skewness）的数值变化，刻画投资者对个股系统偏度的偏好程度。由于系统偏度刻画了个股收益与市场波动率之间的相关性，因此具备正系统偏度的个股可在市场波动期获得正向收益。据此，投资者对个股系统偏度的偏好，可反映其对冲需求。本研究通过检验系统偏度因子对未来利率的预测效力，发现该因子对未来利率具备显著的预测能力。这表明投资者的对冲需求会影响我国货币当局的利率调整行为。此外，无论是短期利率还是长期利率，基于系统偏度因子得到的预测误差，始终低于自回归（AR）模型与Ma等人（2025）提出的扩展泰勒规则模型的预测误差。系统偏度可作为极端利率风险市场中的非对称定价信号。系统偏度的上升往往预示着投资者对流动性收紧的焦虑情绪升温，进而为各国央行提供了一个独立于传统经济指标的前瞻性情绪监测窗口。