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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.
|Journal||Journal of Money Credit and Banking|
|Publication status||Accepted/In press - 19 Sep 2022|
- Government Bonds
- Factor Models
- Real-Time Macroeconomics
- survey data