Journal
REVIEW OF FINANCIAL STUDIES
Volume 31, Issue 2, Pages 678-714Publisher
OXFORD UNIV PRESS INC
DOI: 10.1093/rfs/hhx098
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Funding
- Federal Reserve Bank of New York
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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.
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