Does real-time macroeconomic information help to predict interest rates?

Laura Coroneo, Alberto Caruso

Research output: Contribution to journalArticlepeer-review

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.
Original languageEnglish
JournalJournal of Money Credit and Banking
Publication statusAccepted/In press - 19 Sep 2022

Keywords

  • Government Bonds
  • Factor Models
  • Real-Time Macroeconomics
  • survey data
  • Forecasting

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