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Macroeconomic News and Real Interest Rates (ICPSR 1330)
Principal Investigator(s): Kliesen, Kevin L., Federal Reserve Bank of St. Louis; Schmid, Frank A., National Council on Compensation Insurance
Economic news affects the perceptions of investors, forecasters, and policymakers about the strength or weakness of the economy. These expectations are updated on the basis of regularly occurring surprises in macroeconomic announcement data. The response of asset prices to positive or negative announcement surprises has been a regular feature of the literature for more than 20 years. In this vein, the authors evaluate the responses of the yield of 10-year Treasury inflation-indexed securities to nearly three dozen macroeconomic announcements. They find that the real long-term rate of interest responds positively to surprises in a handful of key macroeconomic indicators, including labor productivity growth. Also, the authors find no support for the proposition that the Federal Reserve has information about its actions or the state of the real economy that is not in the public domain and, hence, not already priced in the real long-term interest rate.
These data are flagged as replication datasets and are distributed exactly as they arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigator(s) if further information is desired.
The public-use data files in this collection are available for access by the general public. Access does not require affiliation with an ICPSR member institution.
Kliesen, Kevin L., and Frank A. Schmid. Macroeconomic News and Real Interest Rates. ICPSR01330-v1. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2006-10-02. http://doi.org/10.3886/ICPSR01330.v1
Persistent URL: http://doi.org/10.3886/ICPSR01330.v1
This study was funded by:
- Federal Reserve Bank of St. Louis. Research Division
Scope of Study
Geographic Coverage: United States
Data Collection Notes:
(1) One program file, 0603kkp.prg, was submitted. (2) These data are part of ICPSR's Publication-Related Archive and are distributed exactly as they arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigators if further information is desired.
Original ICPSR Release: 2006-10-02
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