Macroeconomic News in Asset Pricing and Reality
研究用格林簿预测修正作为经济增长新闻的代理变量，发现未来增长新闻与国债收益率变化弱负相关，当前增长新闻强正相关，这与代表性代理人的债券持有条件难以调和。
ABSTRACT Revisions in successive Greenbook forecasts of quarterly real GDP growth proxy for news of current and expected future economic growth. In the sample 1975 through 2015, news of future growth is slightly negatively related to contemporaneous changes in Treasury bond yields, while news of current growth is strongly positively related to changes in these yields. Both results are difficult to reconcile with a representative agent's bondholding first‐order condition. A continuous‐time dynamic model of output attributes almost all of the covariation with yields to martingale innovations in log output and a minimal amount to innovations in the conditional drift of log output.