Forecasting through the rear-view mirror: data revisions and bond return predictability
Eric Ghysels (eghysels@unc.edu),
Casidhe Horan and
Emanuel Moench
No 581, Staff Reports from Federal Reserve Bank of New York
Abstract:
Real-time macroeconomic data reflect the information available to market participants, whereas final data?containing revisions and released with a delay?overstate the information set available to them. We document that the in-sample and out-of-sample Treasury return predictability is significantly diminished when real-time as opposed to revised macroeconomic data are used. In fact, much of the predictive information in macroeconomic time series is due to the data revision and publication lag components.
Keywords: time series analysis; Macroeconomics; Government securities; Real-time data; Treasury bonds; Rate of return (search for similar items in EconPapers)
Date: 2012
New Economics Papers: this item is included in nep-for
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Journal Article: Forecasting through the Rearview Mirror: Data Revisions and Bond Return Predictability (2018)
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