Forecasting through the rear-view mirror: data revisions and bond return predictability
Abstract: Real-time macroeconomic data reflect the information available to market participants, whereas final data?containing revisions and released with a delay?overstate the information set available to them. We document that the in-sample and out-of-sample Treasury return predictability is significantly diminished when real-time as opposed to revised macroeconomic data are used. In fact, much of the predictive information in macroeconomic time series is due to the data revision and publication lag components.
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Provider: Federal Reserve Bank of New York
Part of Series: Staff Reports
Publication Date: 2012