Does Real‐Time Macroeconomic Information Help to Predict Interest Rates?
研究了实时宏观经济信息对利率收益率曲线的预测能力，发现实时信息有助于预测，且数据修正使修订后的宏观数据预测能力更强，利率调查也具有额外预测力。
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.