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