Abstract

http://ssrn.com/abstract=2175150
 
 

References (26)



 
 

Citations (2)



 
 

Footnotes (2)



 


 



Forecasting through the Rear-View Mirror: Data Revisions and Bond Return Predictability


Eric Ghysels


University of North Carolina Kenan-Flagler Business School; University of North Carolina (UNC) at Chapel Hill - Department of Economics

Casidhe Horan


The Stephen M. Ross School of Business at the University of Michigan

Emanuel Moench


Federal Reserve Bank of New York

March 19, 2014

FRB of New York Staff Report No. 581

Abstract:     
Macroeconomic data are typically subject to future revisions and released with delay. Predictive return regressions using such data therefore potentially overstate the information set available to investors in real time. We document that data revisions account for a sizable share of in-sample and out-of-sample predictive power for Treasury returns found in macroeconomic data. This is partly explained by the fact that information contained in revisions to prior months' releases is incorporated into bond prices. Survey forecasts available in real time contain information about future revised data that is orthogonal to the real-time data and also helps to predict bond returns.

Number of Pages in PDF File: 41

Keywords: return predictability, real-time data, macroeconomic announcements, dynamic factor models

JEL Classification: G10, G12

working papers series


Download This Paper

Date posted: November 13, 2012 ; Last revised: March 22, 2014

Suggested Citation

Ghysels, Eric and Horan, Casidhe and Moench, Emanuel, Forecasting through the Rear-View Mirror: Data Revisions and Bond Return Predictability (March 19, 2014). FRB of New York Staff Report No. 581. Available at SSRN: http://ssrn.com/abstract=2175150 or http://dx.doi.org/10.2139/ssrn.2175150

Contact Information

Eric Ghysels
University of North Carolina Kenan-Flagler Business School ( email )
Kenan-Flagler Business School
Chapel Hill, NC 27599-3490
United States

University of North Carolina (UNC) at Chapel Hill - Department of Economics ( email )
Gardner Hall, CB 3305
Chapel Hill, NC 27599
United States
919-966-5325 (Phone)
919-966-4986 (Fax)
HOME PAGE: http://www.unc.edu/~eghysels/
Casidhe Horan
The Stephen M. Ross School of Business at the University of Michigan ( email )
701 Tappan Street
Ann Arbor, MI MI 48109
United States
Emanuel Moench (Contact Author)
Federal Reserve Bank of New York ( email )
33 Liberty St.
New York, NY 10045
United States
+1(212)7206625 (Phone)
+1(212)7201582 (Fax)
HOME PAGE: http://www.newyorkfed.org/research/economists/moench/index.html
Feedback to SSRN


Paper statistics
Abstract Views: 1,019
Downloads: 281
Download Rank: 61,013
References:  26
Citations:  2
Footnotes:  2

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo7 in 0.328 seconds