The Review of Financial Studies, Volume 31, Issue 2, 1 February 2018

通过后视镜进行预测:数据修正和债券回报可预测性

作者：E Ghysels（Kenan-Flagler Business School）

C Horan（University of Michigan Ross School of Business）

E Moench（Deutsche Bundesbank）

摘要：之前的文献已经证明，债券收益是由当前不包含在收益中的宏观经济信息预测得到的。这些文献大多依赖于最终修订，而不是实时的宏观经济数据。研究表明，实时数据的使用大大降低了宏观变量对未来债券收益的预测能力，也降低了期限溢价的隐含反周期。我们讨论了对结果的潜在解释。

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

E Ghysels（Kenan-Flagler Business School）, C Horan（University of Michigan Ross School of Business）, E Moench（Deutsche Bundesbank）

ABSTRACT

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.

原文链接：https://academic.oup.com/rfs/article-abstract/31/2/678/4090998?redirectedFrom=fulltext

翻译：黄涛