Does Real-Time Macroeconomic Information Help to Predict Interest Rates?

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

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Year of publication:	2020
Authors:	Coroneo, Laura
Other Persons:	Caruso, Alberto (contributor)
Publisher:	[2020]: [S.l.] : SSRN
Subject:	Prognoseverfahren \| Forecasting model \| Zins \| Interest rate \| Zinsstruktur \| Yield curve \| Theorie \| Theory

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