Forecasting through the Rearview Mirror: Data Revisions and Bond Return Predictability
研究发现，使用实时宏观经济数据会显著降低宏观变量对未来债券回报的预测能力以及期限溢价的逆周期性，而以往文献多依赖最终修订数据。
A previous literature has documented that bond returns are predicted by macroeconomic information not contained in yields contemporaneously. That literature has mostly relied on final revised, rather than real time macroeconomic data. We show that the use of real time data substantially reduces the predictive power of macro variables for future bond returns as well as the implied countercyclicality of term premiums. We discuss potential interpretations of our results. Received January 26, 2014; editorial decision June 16, 2017 by Editor Geert Bekaert.