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Staff Reports |
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Forecasting through the Rear-View Mirror: Data Revisions and Bond Return Predictability |
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| November 2012 Number 581 |
| JEL classification: G10, G12 |
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Authors: Eric Ghysels, Casidhe Horan, and Emanuel Moench 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.
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