Does Real-Time Macroeconomic Information Help to Predict Interest Rates?

31 Pages Posted: 8 May 2020

See all articles by Laura Coroneo

Laura Coroneo

University of York - Department of Economics and Related Studies

Alberto Caruso

Confindustria, Centro Studi; Université Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES)

Date Written: April 14, 2020

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 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.

Suggested Citation

Coroneo, Laura and Caruso, Alberto, Does Real-Time Macroeconomic Information Help to Predict Interest Rates? (April 14, 2020). Available at SSRN: https://ssrn.com/abstract=3575392 or http://dx.doi.org/10.2139/ssrn.3575392

Laura Coroneo (Contact Author)

University of York - Department of Economics and Related Studies ( email )

Heslington
York, YO1 5DD
United Kingdom

Alberto Caruso

Confindustria, Centro Studi ( email )

viale dell'Astronomia, 30
Rome, 00144
Italy

Université Libre de Bruxelles (ULB) - European Center for Advanced Research in Economics and Statistics (ECARES) ( email )

Ave. Franklin D Roosevelt, 50 - C.P. 114
Brussels, B-1050
Belgium

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