Caruso, Alberto and Coroneo, Laura orcid.org/0000-0001-5740-9315 (2023) Does real-time macroeconomic information help to predict interest rates? Journal of Money Credit and Banking. ISSN 0022-2879
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.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2023 The Ohio State University. This is an author-produced version of the published paper. Uploaded in accordance with the publisher’s self-archiving policy. Further copying may not be permitted; contact the publisher for details |
Keywords: | Government Bonds,Factor Models,Real-Time Macroeconomics,survey data,Forecasting |
Dates: |
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Institution: | The University of York |
Academic Units: | The University of York > Faculty of Social Sciences (York) > Economics and Related Studies (York) |
Depositing User: | Pure (York) |
Date Deposited: | 22 Sep 2022 15:31 |
Last Modified: | 17 Mar 2025 00:09 |
Published Version: | https://doi.org/10.1111/jmcb.13021 |
Status: | Published online |
Refereed: | Yes |
Identification Number: | 10.1111/jmcb.13021 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:191271 |