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

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  • ALBERTO CARUSO
  • LAURA CORONEO

Abstract

We analyze 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 macroeconomic variables.

Suggested Citation

  • Alberto Caruso & Laura Coroneo, 2023. "Does Real‐Time Macroeconomic Information Help to Predict Interest Rates?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 55(8), pages 2027-2059, December.
    • Handle: RePEc:wly:jmoncb:v:55:y:2023:i:8:p:2027-2059
    DOI: 10.1111/jmcb.13021
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