authors: Alberto Caruso, Laura Coroneo
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.
JEL Classification: C32, C38, C53, E43, E44, G12.
Keywords: Government Bonds, Real-Time Macroeconomics, Forecasting, Survey Data, Factor Models.