Forecasting through the Rearview Mirror: Data Revisions and Bond Return Predictability

• 成果类型: Article
• 署名作者: Ghysels, Eric; Horan, Casidhe; Moench, Emanuel
• 署名单位: University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina School of Medicine; Center for Economic & Policy Research (CEPR); University of Michigan System; University of Michigan; Deutsche Bundesbank
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhx098
• 发表日期: 2018
• 页码: 678
• 关键词: term structure models; time price discovery; Macroeconomic news; foreign-exchange; interest-rates; RISK PREMIUMS; announcements; hypothesis; accuracy; MARKETS

摘要

A previous literature has documented that bond returns are predicted by macroeconomic information not contained in yields contemporaneously. That literature has mostly relied on final revised, rather than real time macroeconomic data. We show that the use of real time data substantially reduces the predictive power of macro variables for future bond returns as well as the implied countercyclicality of term premiums. We discuss potential interpretations of our results.