Real-Time Macro Information and Bond Return Predictability
Friday 23 September 2022
This paper proposes a weighted group neural network model and reexamines whether treasury bond returns are predictable when real-time, instead of fully-revised, macro information is used. Real-time macro vintage data and news-based topic attention are taken into account. We find that news contains rich information on future bond returns beyond traditional macro variables.
A Weighted Group Deep Learning Approach