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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
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Weekly Market Directions 25th March 2024
(Week 18th March - 22th March)In this edition of Amundi's Weekly Market Directions: Central banks’ divergences in sight The BoJ raised policy rates after many years, ending the era of negative interest rates. However, banks such as the Fed and BoE are looking to cut rates this year, if inflation returns to their targets These divergences in global economy and central bank policies may present opportunities in bonds and equities. Download the Weekly Market Directions (EN)