Predicting interest rates in real-time

Alberto Caruso and Laura Coroneo

Discussion Papers from Department of Economics, University of York

Abstract: We analyse the predictive ability of real-time macroeconomic information for the yield curve of interest rates. We specify a mixed-frequency macro-yields model in real-time that incorporates interest rate surveys and that treats macroeconomic factors as unobservable components. Results indicate that real-time macroeconomic information is helpful to predict interest rates, and that data revisions drive a superior predictive ability of revised macro data over real-time macro data. Moreover, we find that incorporating interest rate surveys in the model can significantly improve its predictive ability.

Keywords: Government Bonds; Dynamic Factor Models; Real-time Forecasting; Mixed-frequencies. (search for similar items in EconPapers)
JEL-codes: C33 C53 E43 E44 G12 (search for similar items in EconPapers)
Date: 2019-11
New Economics Papers: this item is included in nep-fmk, nep-for, nep-mac and nep-ore
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Persistent link: https://EconPapers.repec.org/RePEc:yor:yorken:19/18

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