The Economic Research Department of CONFINDUSTRIA-General Confederation of Italian Industry has released a study that analyses the predictive ability of real-time macroeconomic information for the yield curve of interest rates.
CONFINDUSTRIA specified a mixed-frequency macro-yields model in real-time that incorporates interest rate surveys and treats macroeconomic factors as unobservable components.
Results indicate that real-time macroeconomic information is helpful to predict interest rates, and that data revisions drive a superior predictive ability of revised macro data over real-time macro data.
CONFINDUSTRIA also found that interest rate surveys can have significant predictive power over and above real-time macro variables.