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Forecasting through the rear-view mirror: data revisions and bond return predictability

Author

Listed:
  • Eric Ghysels
  • Casidhe Horan
  • Emanuel Moench

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.

Suggested Citation

  • Eric Ghysels & Casidhe Horan & Emanuel Moench, 2012. "Forecasting through the rear-view mirror: data revisions and bond return predictability," Staff Reports 581, Federal Reserve Bank of New York.
    • Handle: RePEc:fip:fednsr:581
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    More about this item

    Keywords

    time series analysis; Macroeconomics; Government securities; Real-time data; Treasury bonds; Rate of return;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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    This paper has been announced in the following NEP Reports:

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