Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/93668
Authors: 
Ghysels, Eric
Horan, Casidhe
Moench, Emanuel
Year of Publication: 
2012
Series/Report no.: 
Staff Report, Federal Reserve Bank of New York 581
Abstract: 
Real-time macroeconomic data refl ect the information available to market participants, whereas fi nal 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 signifi cantly 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.
Subjects: 
return predictability
real-time data
dynamic factor models
JEL: 
G10
G12
Document Type: 
Working Paper

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