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

par Caruso, Alberto ;Coroneo, Laura
Référence Journal of money, credit and banking, 55, 8, page (2027-2059)
Publication Publié, 2023-12

Article révisé par les pairs

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Résumé :

We analyze 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 macroeconomic variables.