Title: Predicting interest rates in real-time
Authors: Laura Coroneo - University of York (United Kingdom) [presenting]
Abstract: The aim is to analyse the predictive ability of real-time macroeconomic information for the yield curve of interest rates. We specify a mixed-frequency real-time macro-yield model that incorporates interest rate surveys and that treats macroeconomic factors as unobservable components that we extract simultaneously with the yield curve factors. Using U.S. data from 1972 to 2016, we find that real-time macroeconomic information was helpful to predict the yield curve of interest rates up to December 2008 but, after this date, interest rate surveys have stronger predicting ability.