ICPSR Logo

This study is provided by ICPSR. ICPSR provides leadership and training in data access, curation, and methods of analysis for a diverse and expanding social science research community.

Macroeconomic News and Real Interest Rates (ICPSR 1330) RSS

Principal Investigator(s):

Summary:

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.

Access Notes

  • 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.

  • These data are freely available.

Dataset(s)

Dataset - Download All Files (0 MB)
Data:

Study Description

Citation

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:

Export Citation:

  • RIS (generic format for RefWorks, EndNote, etc.)
  • EndNote XML (EndNote X4.0.1 or higher)

Funding

This study was funded by:

  • Federal Reserve Bank of St. Louis. Research Division

Scope of Study

Subject Terms:   economic forecasting, economic growth, interest rates, macroeconomics

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.

Methodology

Version(s)

Original ICPSR Release:  

Related Publications (see Notes)

Utilities

Metadata Exports

If you're looking for collection-level metadata rather than an individual metadata record, please visit our Metadata Records page.

Download Statistics

Found a problem? Use our Report Problem form to let us know.