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We find that 30-minute changes in bond yields around scheduled Federal Open Market Committee (FOMC) announcements are predictable with the pre-FOMC Blue Chip professionals’ revisions in GDP growth forecasts. A positive pre-FOMC GDP growth revision predicts a contractionary policy news shock...
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the models on "lightly-revised" data instead of using data from the latest-available vintage. Forecast accuracy is … estimation are of a similar maturity to the data in the forecast loss function. The size of the expected reductions in mean …
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