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Macroeconomic News and Real Interest Rates

Resource Type
Dataset : survey data
  • Kliesen, Kevin L. (Federal Reserve Bank of St. Louis)
  • Schmid, Frank A. (National Council on Compensation Insurance)
Other Title
  • Version 1 (Subtitle)
Publication Date
Funding Reference
  • Federal Reserve Bank of St. Louis. Research Division
Free Keywords
economic forecasting; economic growth; interest rates; macroeconomics
  • Abstract

    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.
  • Table of Contents


    • DS1: Dataset
Geographic Coverage
  • United States
Collection Mode
  • (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.

This study is freely available to the general public via web download.
Alternative Identifiers
  • 1330 (Type: ICPSR Study Number)
  • Kliesen, Kevin L., Schmid, Frank A.. Macroeconomic news and real interest rates. Federal Reserve Bank of St. Louis Review.88, (2), 133-143.2006.
    • ID: (URL)

Update Metadata: 2015-08-05 | Issue Number: 6 | Registration Date: 2015-06-15

Kliesen, Kevin L.; Schmid, Frank A. (2006): Macroeconomic News and Real Interest Rates. Version 1. Version: v1. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset.