Revisions in successive Greenbook forecasts of quarterly real GDP growth proxy for news of current and expected future economic growth. In the sample 1975 through 2015, news of future growth is slightly negatively related to contemporaneous changes in Treasury bond yields, while news of current growth is strongly positively related to changes in these yields. Both results are difficult to reconcile with a representative agent's bondholding first-order condition. A continuous-time dynamic model of output attributes almost all of the covariation with yields to martingale innovations in log output and a minimal amount to innovations in the conditional drift of log output.

中文翻译：

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资产定价和现实中的宏观经济新闻

Greenbook 对季度实际 GDP 增长的连续预测进行了修正，以反映当前和预期未来经济增长的消息。在 1975 年至 2015 年的样本中，未来增长的消息与国债收益率的同期变化略有负相关，而当前增长的消息与这些收益率的变化强烈正相关。这两个结果都很难与代表性代理人的债券持有一阶条件相协调。输出的连续时间动态模型将几乎所有协变与产量归因于日志输出中的鞅创新，以及最小量的日志输出条件漂移创新。