Activities per year
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 language | English |
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Journal | Journal of Money Credit and Banking |
Publication status | Accepted/In press - 19 Sep 2022 |
Keywords
- Government Bonds
- Factor Models
- Real-Time Macroeconomics
- survey data
- Forecasting
Activities
- 1 Oral presentation
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Now-Casting presentation
Laura Coroneo (Speaker)
26 Feb 2018Activity: Talk or presentation › Oral presentation