Faculty of Economics and Business Administration Publications Database

Forecasting through the Rearview Mirror: Data Revisions and Bond Return Predictability

Ghysels, Eric
Horan, Casidhe
Volume: 31
Number: 2
Pages: 678 - 714
Month: February
ISSN-Print: 0893-9454
Link External Source: Online Version
Year: 2018

A previous literature has documented that bond returns are predicted by macroeconomic information not contained in yields contemporaneously. That literature has mostly relied on final revised, rather than real time macroeconomic data. We show that the use of real time data substantially reduces the predictive power of macro variables for future bond returns as well as the implied countercyclicality of term premiums. We discuss potential interpretations of our results.