Report

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.

Keywords: Time-series analysis; Macroeconomics; Government securities; Real-time data; Treasury bonds; Rate of return;

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Bibliographic Information

Provider: Federal Reserve Bank of New York

Part of Series: Staff Reports

Publication Date: 2012

Number: 581