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

  • Eric Ghysels
  • Casidhe Horan
  • 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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Paper provided by Federal Reserve Bank of New York in its series Staff Reports with number 581.

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Date of creation: 2012
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Handle: RePEc:fip:fednsr:581
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