Does Real-Time Macroeconomic Information Help to Predict Interest Rates?
50 Pages Posted: 8 May 2020 Last revised: 14 Jul 2022
Date Written: June 16, 2022
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 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. We also find that interest rate surveys can have significant predictive power over and above real-time macro variables.
Keywords: Government Bonds; Dynamic Factor Models; Real-Time Macroeconomics; Survey Data.
JEL Classification: C32, C38, C53, E43, E44, G12.
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